Script to detect darth maul candles from bitmex 1h interval data

main.js

require('./util');

const Candler = require('./candle-db');

const ATR_LENGTH = 24;
const SMA_LENGTH = 24;

let trs = [];    // series. needed by atr() function.

// Open the database, cut down version to save size, contains only 2019 1h candle data
let candler = new Candler('./bitmex-xbt-1h-2019-only.db');

// Get H1 xbtusd candles from 2019 year open
let candles = candler.get_range('bitmex', '1h', 'btcusd', date(2019,1,1), Date.now());


// Go through each of the candles, starting from the first one at 00:00 on 1st January 2019
for (let i=0; i < candles.length; i++)
{
  // Current ATR for this candle
  let a = atr( candles, i, ATR_LENGTH );

  // Let's also compute the SMA(24) of the close price:
  let s = sma ( (candles.slice(0, i + 1)).map ( e => e.close ), SMA_LENGTH );

  // uncomment this line to see the atr and sma for this H1 candle:
  // console.log(`atr = ${a}, sma = ${s} timestamp = ${strdate(candles[i].timestamp)}`);

  let dm = is_darth_maul( candles[i], a, s );

  if (dm)
  {
    console.log(`\n🚨 The Sith will rule the galaxy: ${strdate(candles[i].timestamp)}`);
    console.log( candles[i] );
  }

}


function is_darth_maul(candle, current_atr, current_sma)
{
  const DARTH_MAUL_RANGE = 1.0; // wicks that are +100% outside the ATR band's range

  // The way this works is we compute an ATR 'band' using the SMA of the close
  // price and the ATR of the current candle

  let atr_upper_band = current_sma + current_atr;
  let atr_lower_band = current_sma - current_atr;
  let band_range = atr_upper_band - atr_lower_band;

  // Now we see by how much (if at all) the wicks extended through the band's range

  let upper_wick_dev = candle.high - atr_upper_band;
  let lower_wick_dev = atr_lower_band - candle.low;

  // if either wick inside the band, it's definitely not a Darth Maul, return

  if (upper_wick_dev < 0 || lower_wick_dev < 0)
    return false;

  // Ok, they both exceeded the band, but by what factor?

  let upper_factor = upper_wick_dev / band_range;
  let lower_factor = lower_wick_dev / band_range;

  // Make sure they both did, upside or downside only doesn't count
  if (upper_factor >= DARTH_MAUL_RANGE && lower_factor >= DARTH_MAUL_RANGE)
    return true;


  return false;
}


// Function to compute ATR
function atr(candles, index, length)
{
  // Get the current candle
  let candle0 = candles[index];

  // Get the previous candle
  let candle1 = (index >= 0) ? candles[index-1] : null;

  // not sure if I need to do this or can use candle0 alone :thonking:
  if (!candle1) return;

  // First, let's calculate the True Range, from the PineScript documentation:
  // max(high - low, abs(high - close[1]), abs(low - close[1]))

  let tr = Math.max(  candle0.high - candle0.low,
                      Math.max(
                          Math.abs(candle0.high - candle1.close),
                          Math.abs(candle0.low  - candle1.close)
                      )
                    );

  // Save our ongoing series of True Ranges
  trs.push(tr)

  // Now return the simple-moving-average of them (see util.js):
  return sma( trs, length );

}