@tradejs/strategies 1.0.0

package/dist/strategy-UZBWST3G.mjs

@@ -0,0 +1,156 @@
+import {
+  config,
+  trendLineManifest
+} from "./chunk-MVIV5ZII.mjs";
+import "./chunk-HEBXNMVQ.mjs";
+
+// src/TrendLine/strategy.ts
+import { createStrategyRuntime } from "@tradejs/node/strategies";
+
+// src/TrendLine/core.ts
+import { round } from "@tradejs/core/math";
+import { createTrendlineEngine } from "@tradejs/core/indicators";
+
+// src/TrendLine/filters.ts
+import { diffRel } from "@tradejs/core/math";
+import { ATR_PCT } from "@tradejs/indicators";
+var MAX_CANDLE_VOLATILITY = 0.025;
+var filterByVeryVolatility = (data) => {
+  const lastCandle = data[data.length - 1];
+  const prevCandle = data[data.length - 2];
+  const isVeryVolatility = diffRel(lastCandle.low, lastCandle.high) > MAX_CANDLE_VOLATILITY || diffRel(prevCandle.low, prevCandle.high) > MAX_CANDLE_VOLATILITY;
+  if (isVeryVolatility) {
+    return false;
+  }
+  return true;
+};
+
+// src/TrendLine/figures.ts
+var buildTrendLineFigures = (bestLine) => ({
+  lines: [
+    {
+      id: bestLine.id,
+      kind: "trendline",
+      points: [...bestLine.points ?? []].sort(
+        (left, right) => left.timestamp - right.timestamp
+      ),
+      color: bestLine.mode === "lows" ? "#facc15" : "#fb923c",
+      width: 2,
+      style: "solid"
+    }
+  ],
+  points: [
+    {
+      id: `${bestLine.id}-points`,
+      kind: "trendline_points",
+      points: [...bestLine.points ?? [], ...bestLine.touches ?? []].sort(
+        (left, right) => left.timestamp - right.timestamp
+      ),
+      color: "#ef4444",
+      radius: 4
+    }
+  ]
+});
+
+// src/TrendLine/core.ts
+var createTrendLineCore = async ({ config: config2, data: cachedData, strategyApi, indicatorsState }) => {
+  const {
+    ENV,
+    TRENDLINE,
+    FEE_PERCENT,
+    MAX_LOSS_VALUE,
+    MAX_CORRELATION,
+    HIGHS,
+    LOWS
+  } = config2;
+  const lastTradeController = strategyApi.createLastTradeController();
+  const trendlineOptions = {
+    bestLines: 1,
+    capture: true,
+    ...TRENDLINE
+  };
+  const getLowsTrendlines = createTrendlineEngine(cachedData, {
+    mode: "lows",
+    ...trendlineOptions
+  });
+  const getHighsTrendlines = createTrendlineEngine(cachedData, {
+    mode: "highs",
+    ...trendlineOptions
+  });
+  return async (candle) => {
+    const lowsTrendlines = getLowsTrendlines.next(candle);
+    const highsTrendlines = getHighsTrendlines.next(candle);
+    indicatorsState.onBar();
+    const bestLine = lowsTrendlines.length > 0 ? lowsTrendlines[0] : highsTrendlines[0];
+    if (!bestLine) {
+      return strategyApi.skip("NO_TRENDLINE");
+    }
+    const positionExists = await strategyApi.isCurrentPositionExists();
+    if (positionExists) {
+      return strategyApi.skip("POSITION_EXISTS");
+    }
+    if (lastTradeController.isInCooldown(candle.timestamp)) {
+      return strategyApi.skip("DEV_TRADE_COOLDOWN");
+    }
+    const { fullData, timestamp, currentPrice } = await strategyApi.getMarketData();
+    if (!filterByVeryVolatility(fullData)) {
+      return strategyApi.skip("VERY_VOLATILITY");
+    }
+    const modeConfig = bestLine.mode === "highs" ? HIGHS : LOWS;
+    const { direction, TP, SL, minRiskRatio, enable } = modeConfig;
+    if (!enable) {
+      return strategyApi.skip("STRATEGY_DISABLED");
+    }
+    const { stopLossPrice, takeProfitPrice, riskRatio, qty } = strategyApi.getDirectionalTpSlPrices({
+      price: currentPrice,
+      direction,
+      takeProfitDelta: TP,
+      stopLossDelta: SL,
+      unit: "percent",
+      maxLossValue: MAX_LOSS_VALUE,
+      feePercent: Number(FEE_PERCENT ?? 0)
+    });
+    if (!qty || !Number.isFinite(qty) || qty <= 0) {
+      return strategyApi.skip("INVALID_QTY");
+    }
+    if (riskRatio <= minRiskRatio) {
+      return strategyApi.skip(`RISK_RATIO:${round(riskRatio)}`);
+    }
+    const indicators = indicatorsState.snapshot();
+    const correlation = indicatorsState.latestNumber("correlation");
+    if (ENV !== "BACKTEST" && correlation != null && correlation >= MAX_CORRELATION) {
+      return strategyApi.skip(`MAX_CORRELATION:${round(correlation)}`);
+    }
+    lastTradeController.markTrade(timestamp);
+    return strategyApi.entry({
+      code: "TRENDLINE_SIGNAL",
+      figures: {
+        ...buildTrendLineFigures(bestLine)
+      },
+      direction,
+      indicators,
+      additionalIndicators: {
+        touches: bestLine.touches.length + 2,
+        distance: bestLine.distance,
+        trendLine: bestLine
+      },
+      orderPlan: {
+        qty,
+        stopLossPrice,
+        takeProfits: [{ rate: 1, price: takeProfitPrice }]
+      }
+    });
+  };
+};
+
+// src/TrendLine/strategy.ts
+var TrendlineStrategyCreator = createStrategyRuntime({
+  strategyName: "TrendLine",
+  defaults: config,
+  createCore: createTrendLineCore,
+  manifest: trendLineManifest,
+  strategyDirectory: __dirname
+});
+export {
+  TrendlineStrategyCreator
+};