Implement a basic MACD strategy (DeviaVir#209)

extensions/macd/_codemap.js

@@ -0,0 +1,6 @@
+module.exports = {
+  _ns: 'zenbot',
+
+  'strategies.macd': require('./strategy'),
+  'strategies.list[]': '#strategies.macd'
+}

extensions/macd/strategy.js

@@ -0,0 +1,85 @@
+var z = require('zero-fill')
+  , n = require('numbro')
+
+module.exports = function container (get, set, clear) {
+  return {
+    name: 'macd',
+    description: 'Buy when (MACD - Signal > 0) and sell when (MACD - Signal < 0).',
+
+    getOptions: function () {
+      this.option('period', 'period length', String, '1h')
+      this.option('min_periods', 'min. number of history periods', Number, 52)
+      this.option('ema_short_period', 'number of periods for the shorter EMA', Number, 12)
+      this.option('ema_long_period', 'number of periods for the longer EMA', Number, 26)
+      this.option('signal_period', 'number of periods for the signal EMA', Number, 9)
+      this.option('up_trend_threshold', 'threshold to trigger a buy signal', Number, 0)
+      this.option('down_trend_threshold', 'threshold to trigger a sold signal', Number, 0)
+      this.option('overbought_rsi_periods', 'number of periods for overbought RSI', Number, 25)
+      this.option('overbought_rsi', 'sold when RSI exceeds this value', Number, 70)
+    },
+
+    calculate: function (s) {
+      if (s.options.overbought_rsi) {
+        // sync RSI display with overbought RSI periods
+        s.options.rsi_periods = s.options.overbought_rsi_periods
+        get('lib.rsi')(s, 'overbought_rsi', s.options.overbought_rsi_periods)
+        if (!s.in_preroll && s.period.overbought_rsi >= s.options.overbought_rsi && !s.overbought) {
+          s.overbought = true
+          if (s.options.mode === 'sim' && s.options.verbose) console.log(('\noverbought at ' + s.period.overbought_rsi + ' RSI, preparing to sold\n').cyan)
+        }
+      }
+
+      // compture MACD
+      get('lib.ema')(s, 'ema_short', s.options.ema_short_period)
+      get('lib.ema')(s, 'ema_long', s.options.ema_long_period)
+      if (s.period.ema_short && s.period.ema_long) {
+        s.period.macd = (s.period.ema_short - s.period.ema_long)
+        get('lib.ema')(s, 'signal', s.options.signal_period, 'macd')
+        if (s.period.signal) {
+          s.period.macd_histogram = s.period.macd - s.period.signal
+        }
+      }
+    },
+
+    onPeriod: function (s, cb) {
+      if (!s.in_preroll && typeof s.period.overbought_rsi === 'number') {
+        if (s.overbought) {
+          s.overbought = false
+          s.trend = 'overbought'
+          s.signal = 'sold'
+          return cb()
+        }
+      }
+
+      if (typeof s.period.macd_histogram === 'number' && typeof s.lookback[0].macd_histogram === 'number') {
+        if (s.period.macd_histogram > s.options.up_trend_threshold && s.lookback[0].macd_histogram <= 0) {
+          s.signal = 'buy';
+        } else if (s.period.macd_histogram < -s.options.down_trend_threshold && s.lookback[0].macd_histogram >= 0) {
+          s.signal = 'sell';
+        } else {
+          s.signal = null;  // hold
+        }
+      }
+      cb()
+    },
+
+    onReport: function (s) {
+      var cols = []
+      if (typeof s.period.macd_histogram === 'number') {
+        var color = 'grey'
+        if (s.period.macd_histogram > 0) {
+          color = 'green'
+        }
+        else if (s.period.macd_histogram < 0) {
+          color = 'red'
+        }
+        cols.push(z(8, n(s.period.macd_histogram).format('+00.0000'), ' ')[color])
+        cols.push(z(8, n(s.period.overbought_rsi).format('00'), ' ').cyan)
+      }
+      else {
+        cols.push('         ')
+      }
+      return cols
+    }
+  }
+}