drift

type DriftMA struct {
	types.SeriesBase
	// contains filtered or unexported fields
}

type Strategy struct {
	Symbol string `json:"symbol"`

	bbgo.StrategyController
	types.Market
	types.IntervalWindow
	bbgo.SourceSelector

	*bbgo.Environment
	*types.Position    `persistence:"position"`
	*types.ProfitStats `persistence:"profit_stats"`
	*types.TradeStats  `persistence:"trade_stats"`

	StopLoss                  fixedpoint.Value `json:"stoploss"`
	CanvasPath                string           `json:"canvasPath"`
	PredictOffset             int              `json:"predictOffset"`
	HighLowVarianceMultiplier float64          `json:"hlVarianceMultiplier"`
	NoTrailingStopLoss        bool             `json:"noTrailingStopLoss"`
	TrailingStopLossType      string           `json:"trailingStopLossType"` // trailing stop sources. Possible options are `kline` for 1m kline and `realtime` from order updates
	HLRangeWindow             int              `json:"hlRangeWindow"`
	Window1m                  int              `json:"window1m"`
	FisherTransformWindow1m   int              `json:"fisherTransformWindow1m"`
	SmootherWindow1m          int              `json:"smootherWindow1m"`
	SmootherWindow            int              `json:"smootherWindow"`
	FisherTransformWindow     int              `json:"fisherTransformWindow"`
	ATRWindow                 int              `json:"atrWindow"`
	PendingMinutes            int              `json:"pendingMinutes"`  // if order not be traded for pendingMinutes of time, cancel it.
	NoRebalance               bool             `json:"noRebalance"`     // disable rebalance
	TrendWindow               int              `json:"trendWindow"`     // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote
	RebalanceFilter           float64          `json:"rebalanceFilter"` // beta filter on the Linear Regression of trendLine
	TrailingCallbackRate      []float64        `json:"trailingCallbackRate"`
	TrailingActivationRatio   []float64        `json:"trailingActivationRatio"`

	DriftFilterNeg  float64 `json:"driftFilterNeg"`
	DriftFilterPos  float64 `json:"driftFilterPos"`
	DDriftFilterNeg float64 `json:"ddriftFilterNeg"`
	DDriftFilterPos float64 `json:"ddriftFilterPos"`

	// This is not related to trade but for statistics graph generation
	// Will deduct fee in percentage from every trade
	GraphPNLDeductFee bool   `json:"graphPNLDeductFee"`
	GraphPNLPath      string `json:"graphPNLPath"`
	GraphCumPNLPath   string `json:"graphCumPNLPath"`
	// Whether to generate graph when shutdown
	GenerateGraph bool `json:"generateGraph"`

	ExitMethods bbgo.ExitMethodSet `json:"exits"`
	Session     *bbgo.ExchangeSession
	*bbgo.GeneralOrderExecutor
	// contains filtered or unexported fields
}