zp_ema_dema.js

//
//   This file is part of ZenProfits.
//   Copyright (C) 2021, Luis Martínez.
//
//   Please refer to AUTHORS.rst for a complete list of Copyright holders.
//
//   ZenProfits is free software: you can redistribute it and/or modify
//   it under the terms of the GNU General Public License as published by
//   the Free Software Foundation, either version 3 of the License, or
//   (at your option) any later version.
//
//   ZenProfits is distributed in the hope that it will be useful,
//   but WITHOUT ANY WARRANTY; without even the implied warranty of
//   MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
//   GNU General Public License for more details.
//
//   You should have received a copy of the GNU General Public License
//   along with this program. If not, see http://www.gnu.org/licenses.
//

const z = require('zero-fill')
const n = require('numbro')
const debug = require('../../../lib/debug')
const zp_stddev = require('../../../lib/zp_stddev')
const zp_trema = require('../../../lib/zp_trema')
const zp_adx = require('../../../lib/zp_adx')
const zp_stochastic = require('../../../lib/zp_stochastic')
const Phenotypes = require('../../../lib/phenotype')

module.exports = {
  name: 'zp_ema_dema',
  description: 'Trades with trend_ema behavior when in strong trend bullish market, ' + 
               'switches to stochastic when in ranging bullish market. Does nothing when in bearish market.',

  getOptions: function () {
    this.option('period', 'period length, same as --period_length', String, '15m')
    this.option('period_length', 'period length, same as --period', String, '15m')
    this.option('min_periods', 'min. number of history periods', Number, 52)
    this.option('ema_trend_period', 'number of periods for trend EMA', Number, 5)
    this.option('ema_short_period', 'number of periods for the shorter EMA', Number, 13)
    this.option('ema_long_period', 'number of periods for the longer EMA', Number, 89)
    this.option('adx_periods', 'number of periods for ADX', Number, 14)
    this.option('adx_threshold', 'ADX threshold for trending market', Number, 20)
    this.option('fast_k_periods', 'periods for building the Fast-K line', Number, 14)
    this.option('slow_k_periods', 'periods for building the Slow-K line', Number, 3)
    this.option('slow_k_ma_type', 'type of Moving Average for Slow-K: SMA,EMA,WMA,DEMA,TEMA,TRIMA,KAMA,MAMA,T3', String, 'SMA')
    this.option('slow_d_periods', 'periods for building the Slow-D line', Number, 3)
    this.option('slow_d_ma_type', 'type of Moving Average for Slow-D: SMA,EMA,WMA,DEMA,TEMA,TRIMA,KAMA,MAMA,T3', String, 'SMA')
  },

  calculate: function(s) {
    if (s.in_preroll) return
  },

  onPeriod: function (s, cb) {
    function pushMessage(title, message) {
      if (s.options.mode === 'live' || s.options.mode === 'paper') {
        s.notifier.pushMessage(title, message)
        debug.msg(title + ': ' + message)
      }
    }

    if (s.in_preroll) return cb()

    if (s.options.mode === 'live' || s.options.mode === 'paper') {
      process.stdout.write('\n' + [
        z(19, 'DATE', ' ').grey,
        z(18, 'PRICE', ' ').grey,
        z(9, 'DIFF', ' ').grey,
        z(11, 'DEMA', ' ').grey,
        z(9, 'ADX', ' ').grey,
        z(9, 'STOCH', ' ').grey,
        z(11, 'EMA', ' ').grey,
      ].join('') + '\n')
    }

    zp_trema(s, s.options.ema_trend_period,
             s.options.ema_short_period, s.options.ema_long_period).then((trema) => {
      zp_adx(s, s.options.adx_periods).then((adx) => {
        zp_stochastic(s, s.options.fast_k_periods,
                      s.options.slow_k_periods, s.options.slow_k_ma_type,
                      s.options.slow_d_periods, s.options.slow_d_ma_type).then((stoch) => {

          s.period.K = stoch.K
          s.period.D = stoch.D
          s.period.ema_trend = trema[0]
          s.period.ema_short = trema[1]
          s.period.ema_long = trema[2]
          s.period.adx = adx[0]

          if (typeof s.period.ema_short === 'number' && !isNaN(s.period.ema_short) &&
              typeof s.period.ema_long === 'number' && !isNaN(s.period.ema_long)) {
            s.period.dema_histogram = s.period.ema_short - s.period.ema_long
          }

          if (typeof s.period.K === 'number' && !isNaN(s.period.K) &&
              typeof s.period.D === 'number' && !isNaN(s.period.D)) {
            s.period.stoch_histogram = s.period.K - s.period.D
          }

          if (typeof s.period.ema_trend === 'number' && !isNaN(s.period.ema_trend) &&
              typeof s.lookback[0].ema_trend === 'number' && !isNaN(s.lookback[0].ema_trend)) {
            s.period.ema_trend_rate = s.lookback[0].ema_trend ?
              ((s.period.ema_trend - s.lookback[0].ema_trend) / s.lookback[0].ema_trend) * 100 : 0
          } else {
            s.period.ema_trend_rate = 0
          }

          zp_stddev(s, s.options.ema_trend_period).then((stddev) => {
            s.period.ema_trend_stddev = stddev

            // if indicators are not ready, we do nothing
            if (typeof s.period.K !== 'number' || isNaN(s.period.K) ||
                typeof s.period.D !== 'number' || isNaN(s.period.D) ||
                typeof s.period.ema_trend !== 'number' || isNaN(s.period.ema_trend) ||
                typeof s.period.ema_short !== 'number' || isNaN(s.period.ema_short) ||
                typeof s.period.ema_long !== 'number' || isNaN(s.period.ema_long) ||
                typeof s.period.adx !== 'number' || isNaN(s.period.adx) ||
                typeof s.period.ema_trend_stddev !== 'number' || isNaN(s.period.ema_trend_stddev) ||
                typeof s.period.dema_histogram !== 'number' || isNaN(s.period.dema_histogram) ||
                typeof s.lookback[0].dema_histogram !== 'number' || isNaN(s.lookback[0].dema_histogram) ||
                typeof s.period.stoch_histogram !== 'number' || isNaN(s.period.stoch_histogram) ||
                typeof s.lookback[0].stoch_histogram !== 'number' || isNaN(s.lookback[0].stoch_histogram) ||
                typeof s.period.ema_trend_rate !== 'number' || isNaN(s.period.ema_trend_rate) ||
                typeof s.lookback[0].ema_trend_rate !== 'number' || isNaN(s.lookback[0].ema_trend_rate)) {
              s.signal = null
              return cb()
            }

            // bullish market, we buy
            if (s.period.dema_histogram > 0) {
              if (s.lookback[0].dema_histogram <= 0) {
                pushMessage(`[${s.exchange.name}.${s.asset}-${s.currency}]`,
                            'intel: 😍 entering bullish market')
                s.signal = 'buy'
                return cb()
              }

              // solid trend market, we enter ema_trend behavior
              if (s.period.adx > s.options.adx_threshold) {
                if (s.lookback[0].adx <= s.options.adx_threshold) {
                  if (s.period.ema_trend_rate > 0) {
                    pushMessage(`[${s.exchange.name}.${s.asset}-${s.currency}]`,
                                'intel: ↗ the market started a strong bullish trend')
                    s.signal = 'buy'
                    return cb()
                  } else {
                    pushMessage(`[${s.exchange.name}.${s.asset}-${s.currency}]`,
                                'intel: ↘ the market started a strong bearish trend')
                    s.signal = 'sell'
                    return cb()
                  }
                }

                // ema_trend slope is upward beyond the standard deviation, we buy
                // negative to positive
                if ((s.period.ema_trend_rate - s.period.ema_trend_stddev) > 0) {
                  if ((s.lookback[0].ema_trend_rate - s.lookback[0].ema_trend_stddev) <= 0) {
                    s.signal = 'buy'
                    return cb()
                  }

                // ema_trend slope is downward beyond the standard deviation, we sell
                // positive to negative
                } else if ((s.period.ema_trend_rate + s.period.ema_trend_stddev) <= 0) {
                  if ((s.lookback[0].ema_trend_rate + s.lookback[0].ema_trend_stddev) > 0) {
                    s.signal = 'sell'
                    return cb()
                  }
                }

              // sideways market, we use stochastic lines crossover for signals
              } else if (s.period.adx <= s.options.adx_threshold) {
                if (s.lookback[0].adx > s.options.adx_threshold) {
                  if (s.period.stoch_histogram > 0) {
                    pushMessage(`[${s.exchange.name}.${s.asset}-${s.currency}]`,
                                'intel: ↕ the market started moving sideways on a bullish trend')
                    s.signal = 'buy'
                    return cb()
                  } else {
                    pushMessage(`[${s.exchange.name}.${s.asset}-${s.currency}]`,
                                'intel: ↕ the market started moving sideways on a bearish trend')
                    s.signal = 'sell'
                    return cb()
                  }
                }

                // negative to positive %K - %D
                if (s.period.stoch_histogram > 0) {
                  if (s.lookback[0].stoch_histogram <= 0) {
                    if (s.period.K <= 20 || s.lookback[0].K <= 20 || s.lookback[1].K <= 20) {
                      s.signal = 'buy'
                      return cb()
                    }
                  }

                // positive to negative %K - %D
                } else if (s.period.stoch_histogram <= 0) {
                  if (s.lookback[0].stoch_histogram > 0) {
                    if (s.period.K >= 80 || s.lookback[0].K >= 80 || s.lookback[1].K >= 80) {
                      s.signal = 'sell'
                      return cb()
                    }
                  }
                }
              }

            // bearish market, we sell and do nothing, wait for bullish market
            } else if (s.period.dema_histogram <= 0) {
              if (s.lookback[0].dema_histogram > 0) {
                pushMessage(`[${s.exchange.name}.${s.asset}-${s.currency}]`,
                            'intel: 😅 entering bearish market')
                s.signal = 'sell'
                return cb()
              }
            }

            s.signal = null
            return cb()

          }).catch((error) => {
            console.log(error)
            return cb()
          })
        }).catch((error) => {
          console.log(error)
          return cb()
        })
      }).catch((error) => {
        console.log(error)
        return cb()
      })
    }).catch((error) => {
      console.log(error)
      return cb()
    })

  },

  onReport: function(s) {
    var cols = []
    var emacolor = 'grey'
    var demacolor = 'grey'
    var stochcolor = 'grey'
    var adxcolor = 'grey'
    if (typeof s.period.dema_histogram !== 'number' || isNaN(s.period.dema_histogram) ||
        typeof s.period.stoch_histogram !== 'number' || isNaN(s.period.stoch_histogram) ||
        typeof s.period.adx !== 'number' || isNaN(s.period.adx) ||
        typeof s.period.ema_trend_rate !== 'number' || isNaN(s.period.ema_trend_rate) ||
        typeof s.period.ema_trend_stddev !== 'number' || isNaN(s.period.ema_trend_stddev)) {
      cols.push('         ')
      return cols
    }
    if (s.period.dema_histogram > 0) {
      demacolor = 'green'
    } else if (s.period.dema_histogram <= 0) {
      demacolor = 'red'
    }
    if (s.period.stoch_histogram > 0) {
      stochcolor = 'green'
    } else if (s.period.stoch_histogram <= 0) {
      stochcolor = 'red'
    }
    if (s.period.adx > s.options.adx_threshold) {
      adxcolor = 'green'
    } else if (s.period.adx <= s.options.adx_threshold) {
      adxcolor = 'red'
    }
    if ((s.period.ema_trend_rate - s.period.ema_trend_stddev) > 0) {
      emacolor = 'green'
    } else if ((s.period.ema_trend_rate + s.period.ema_trend_stddev) <= 0) {
      emacolor = 'red'
    }
    cols.push(z(10, n(s.period.dema_histogram).format('+0.000000'), ' ')[demacolor])
    cols.push(z(8, n(s.period.stoch_histogram).format('+0.00'), ' ')[stochcolor])
    cols.push(z(8, n(s.period.adx).format('+0.00'), ' ')[adxcolor])
    cols.push(z(10, n(s.period.ema_trend_rate).format('+0.000000'), ' ')[emacolor])
    return cols
  },

  phenotypes: {
    // -- common
    period_length: Phenotypes.ListOption([15, 30, 45, 60]),
    profit_stop_enable_pct: Phenotypes.ListOption([6, 8, 10, 12]),
    profit_stop_pct: Phenotypes.ListOption([0.5, 1, 2, 3]),
    max_buy_loss_pct: Phenotypes.ListOption([0.1, 0.2, 0.5, 1]),
    max_sell_loss_pct: Phenotypes.ListOption([0.1, 0.2, 0.5, 1]),
    sell_stop_pct: Phenotypes.ListOption([1, 2, 3, 4]),
    buy_stop_pct: Phenotypes.ListOption([1, 2, 3, 4]),
    // -- strategy
    ema_trend_period: Phenotypes.ListOption([5, 8, 13, 21]),
    ema_short_period: Phenotypes.ListOption([21, 34, 55, 89]),
    ema_long_period: Phenotypes.ListOption([55, 89, 144, 233]),
  },
}