WindowMomentumAccellStrategy.js

define(function(require) {
	var System = {};
	System.Events = require("./core/events"),
	System.Strategy = require("./core/strategy"), 
	System.Analytics = require("./core/analytics"), 
	System.Indicators = require("./core/indicators"), 
	System.Market = require("./rules/market"), 
	System.Timeseries = require("./data/timeseries"), 
	System.Symbols = require("./pairs/symbols"),
	System.Portfolio = require("./manager/portfolio");

	// strategy fires when 4hr time window velocity is in line with accelleration indicator

	return {
		isEnabled: function(tick) {
			return System.Market.isAvailable(tick.timewindow, tick.symbol);
		}, 
		enterRules: function(tick) {
			return System.Strategy.RuleBuilder
				.onCriteria(
					// create criteria
					System.Strategy.CriteriaBuilder.create(
						// when accellerator is near zero
						System.Indicators.AC.isNearZero(tick)
					).and(
						// match 1m and 4h velocity
						System.Analytics.Direction.equals(
							// get velocity (up/down) on 1m window
							System.Analytics.velocity(System.Timeseries.Windows['1m'], tick),
							// get velocity (up/down) on 4h window
							System.Analytics.velocity(System.Timeseries.Windows['4h'], tick)
						)
					).build() // return criteria for strategy
				).thenReturn(
					// return position event (buy/sell/ignore)
					System.Strategy.enterWithDirection(
						// return buy/sell when velocity (up/down) matches above criteria
						System.Analytics.Direction.fromVelocity(
							System.Analytics.velocity(System.Timeseries.Windows['1m'], tick)
						)
					)
				).build(); // build and return rules
		},
		exitRules: function(tick) {
			return System.Strategy.RuleBuilder
				.onCriteria(
					System.Strategy.CriteriaBuilder.create(
						// exit if accelleration is reversed
						System.Indicators.AC.isReversed(tick)
					).or(
						// exit if velocity is reversed in 1m (current) window
						System.Analytics.Direction.isReversed(
							System.Analytics.velocity(System.Timeseries.Windows['1m'], tick),
							)
					).or(
						// exit if velocity is reversed in 5m (current + 1 level) window
						System.Analytics.Momentum.isSlowed(
							System.Analytics.velocity(System.Timeseries.Windows['5m'], tick),
							)
					).or(
						// exit if portfolio manager says limit is reached for symbol
						System.Portfolio.positionForSymbol(System.Symbols.symbolFor(tick))
							.hasReachedLimit(tick)
					).build() // return exit criteria
				).thenReturn(
					//return close event if above criteria are met
					System.Strategy.exitWithDirection(
						System.Analytics.Direction.fromVelocity(
							System.Analytics.velocity(System.Timeseries.Windows['1m'], tick)
						)
					)
				).build(); // build and return rules
		}
	};

});