StochRSI_MACD.js

/*

  StochRSI - SamThomp 11/06/2014

  (updated by askmike) @ 30/07/2016

 */
// helpers
var _ = require('lodash');
var log = require('../core/log.js');

var RSI = require('./indicators/RSI.js');

// let's create our own method
var method = {};

// prepare everything our method needs
method.init = function() {
	this.interval = this.settings.interval;

  this.trend = {
    direction: 'none',
    duration: 0,
    persisted: false,
    adviced: false
  };

  this.requiredHistory = this.tradingAdvisor.historySize;

  // define the indicators we need
	this.addIndicator('rsi', 'RSI', { interval: this.interval });
	this.addIndicator('macd', 'MACD', this.settings);
	this.addIndicator('bb', 'BB', this.settings.bbands);
	this.RSIhistory = [];
}

// what happens on every new candle?
method.update = function(candle) {
	this.rsi = this.indicators.rsi.result;

	this.RSIhistory.push(this.rsi);

	if(_.size(this.RSIhistory) > this.interval)
		// remove oldest RSI value
		this.RSIhistory.shift();

	this.lowestRSI = _.min(this.RSIhistory);
	this.highestRSI = _.max(this.RSIhistory);
	this.stochRSI = ((this.rsi - this.lowestRSI) / (this.highestRSI - this.lowestRSI)) * 100;
	
	
}

// for debugging purposes log the last
// calculated parameters.
method.log = function(candle) {
  var digits = 8;

	log.debug('calculated StochRSI properties for candle:');
	log.debug('\t', 'rsi:', this.rsi.toFixed(digits));
	log.debug("StochRSI min:\t\t" + this.lowestRSI.toFixed(digits));
	log.debug("StochRSI max:\t\t" + this.highestRSI.toFixed(digits));
	log.debug("StochRSI Value:\t\t" + this.stochRSI.toFixed(2));
	//MACD

	var macd = this.indicators.macd;
	var diff = macd.diff;
	var signal = macd.signal.result;
        var BB = this.indicators.bb;
 	var price = candle.close;
	var macddiff = this.indicators.macd.result;
        //BB
        var BB = this.indicators.bb;
       //BB.lower; BB.upper; BB.middle are your line values 
    
	var MACDsaysBUY = macddiff > this.settings.thresholds.up;
	var MACDsaysSELL = macddiff <= this.settings.thresholds.down;
	var StochRSIsaysBUY = this.stochRSI < this.settings.thresholds.low;
	var StochRSIsaysSELL = this.stochRSI >= this.settings.thresholds.high;
	var BBsayBUY=price >= (BB.middle-(BB.middle-BB.lower)/4);
	var BBsaySELL=price <= BB.lower; //>= BB.upper || price <= BB.lower 

	log.debug('calculated MACD properties for candle:');
	log.debug('\t', 'short:', macd.short.result.toFixed(digits));
	log.debug('\t', 'long:', macd.long.result.toFixed(digits));
	log.debug('\t', 'macd:', diff.toFixed(digits));
	log.debug('\t', 'signal:', signal.toFixed(digits));
	log.debug('\t', 'macdiff:', macd.result.toFixed(digits));

        log.debug('\t', 'BB.lower:', BB.lower.toFixed(digits));
	log.debug('\t', 'BB.middle:', BB.middle.toFixed(digits));
	log.debug('\t', 'BB.upper:', BB.upper.toFixed(digits));
	log.debug('\t', 'price', price.toFixed(digits));
	if(BBsayBUY) {
		log.debug('\t', 'BBsaysBUY');
	}
	if(MACDsaysBUY) {
		log.debug('\t', 'MACDsaysBUY');
	}
	if(StochRSIsaysBUY) {
		log.debug('\t', 'StochRSIsaysBUY');
	}
	if(BBsaySELL) {
		log.debug('\t', 'BBsaysSELL');
	}
	if(MACDsaysSELL) {
		log.debug('\t', 'MACDsaysSELL');
	}
	if(StochRSIsaysSELL) {
		log.debug('\t', 'StochRSIsaysSELL');
	}
	if(MACDsaysSELL && StochRSIsaysSELL) {
       		log.debug('\t', 'StochRSIsaysSELL and MACDsaysSELL');
	}
	if(MACDsaysBUY && StochRSIsaysBUY && BBsayBUY) {
       		log.debug('\t', 'MACDsaysBUY and StochRSIsaysBUY and BBsaysBUY');
	}
}

method.check = function(candle) {
	//MACD
	var macddiff = this.indicators.macd.result;
        //BB
        var BB = this.indicators.bb;
       //BB.lower; BB.upper; BB.middle are your line values 
	var price = candle.close;
    	//buy when stochRSI in low and MACD in up
	//short->sell, long->buy
     
	var MACDsaysBUY = macddiff > this.settings.thresholds.up;
	var MACDsaysSELL = macddiff <= this.settings.thresholds.down;
	var StochRSIsaysBUY = this.stochRSI < this.settings.thresholds.low;
	var StochRSIsaysSELL = this.stochRSI >= this.settings.thresholds.high;
	var BBsayBUY=price >= (BB.middle-(BB.middle-BB.lower)/4);
	var BBsaySELL=price <= BB.lower; //>= BB.upper || price <= BB.lower 
        if(MACDsaysSELL && StochRSIsaysSELL) {
		// new trend detected
		if(this.trend.direction !== 'high')
			this.trend = {
				duration: 0,
				persisted: false,
				direction: 'high',
				adviced: false
			};

		this.trend.duration++;

		log.debug('In high since', this.trend.duration, 'candle(s)');

		if(this.trend.duration >= this.settings.thresholds.persistence )
			this.trend.persisted = true;

		if(this.trend.persisted && !this.trend.adviced) {
			this.trend.adviced = true;
			this.advice('short');
		} else
			this.advice();

	} 
	//buy when stochRSI in high and MACD in low	
	else if(MACDsaysBUY && StochRSIsaysBUY && BBsayBUY) {

		// new trend detected
		if(this.trend.direction !== 'low')
			this.trend = {
				duration: 0,
				persisted: false,
				direction: 'low',
				adviced: false
			};

		this.trend.duration++;

		log.debug('In low since', this.trend.duration, 'candle(s)');

		if(this.trend.duration >= this.settings.thresholds.persistence)
			this.trend.persisted = true;

		if(this.trend.persisted && !this.trend.adviced) {
			this.trend.adviced = true;
			this.advice('long');
		} else
			this.advice();

	} else {
		// trends must be on consecutive candles
		this.trend.duration = 0;
		log.debug('In no trend');

		this.advice();
	}

}

module.exports = method;

What are the needed parameters in the .toml file in config for this?

And I'm using these parameters, taken from StochRSI and MACD:
interval = 14
short = 10
long = 21
signal = 9

[thresholds]
low = 20
high = 80
persistence = 3
down = -0.025
up = 0.025

However, when I click Backtest, nothing happens. Are the parameters above the correct parameters I should be using in the gekko-stable/config/StochRSI_MACD.toml file? Thanks.

Has this strategy worked for you?

@patjk your persistence value is a bit high. You could use 1 or 2.

@patjk - almost mate, just needed to add the bbands section.
eg: (nb the settings here are pretty whacked and will pretty much never enter a trade)

StochRSI_MACD.toml

short = 10
long = 21
signal = 9
interval = 3

[thresholds]
down = -0.025
up = 0.025
persistence = 1
low = 20
high = 80

[bbands]
TimePeriod = 1
NbDevDn = 1.96
NbDevUp = 1.96

Hi guys,
please help me. I've created StochRSI_MACD.js and put it in strategies folder. I've created StochRSI_MACD.toml and put it config/strategies. I select the dataset but unfortunately when I click on "Backctest" button nothing happens. Please could you help me.?
thanks
joe

2018-02-07 17:39:13 (INFO): Setting up Gekko in backtest mode
2018-02-07 17:39:13 (INFO):
2018-02-07 17:39:13 (INFO): Setting up:
2018-02-07 17:39:13 (INFO): Trading Advisor
2018-02-07 17:39:13 (INFO): Calculate trading advice
2018-02-07 17:39:13 (INFO): Using the strategy: StochRSI_MACD
xxx POST /api/backtest 500 185ms -

Error: non-error thrown: Child process has died.
at Object.onerror (/Users/avi/Documents/gekko/node_modules/koa/lib/context.js:105:40)
at
at process._tickCallback (internal/process/next_tick.js:160:7)

getting this error when running the script on Gekko

I'm just curious about the part var BBsaySELL=price <= BB.lower;
I know that I should BUY shares at the point because if the price is lower than the lower bound of Bollinger bands, that point might be the lowest price.

Why is BBsaySELL not used in the if condition?
if(MACDsaysSELL && StochRSIsaysSELL)

Did anyone figure out the error?

Error: non-error thrown: Child process has died.
at Object.onerror (/Users/avi/Documents/gekko/node_modules/koa/lib/context.js:105:40)
at
at process._tickCallback (internal/process/next_tick.js:160:7)

@John1231983 Did you use Windows for this one and were able to get the TALIB working? I cant get mine to install and I think thats causing the error some are seeing.

Thanks for all your effort with this, could you post instructions on how to get this running on Gekko, the instructions seem to be fragmented across a few gists and I can't seem to get it working. thanks

I am having the following error after adding this into the strategies directory.

  This Gekko instance encountered an error and can't continue
      at Object.onerror (/opt/gekko/gekko/node_modules/koa/lib/context.js:105:40)
      at <anonymous>
      at process._tickCallback (internal/process/next_tick.js:188:7)```

@p0nt, i am the same error as well.. Is anybody able to run this strat ?

Can you create SMA and RSI ?
Thank