Srsi macd (#369)

* updates to srsi_macd

* rename strategy to srsi_macd

* srsi_macd and sma indicator tweaks

* fixed type in length

* fixes

extensions/strategies/srsi_macd/_codemap.js

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

extensions/strategies/srsi_macd/strategy.js

@@ -0,0 +1,77 @@
+let z = require('zero-fill')
+  , n = require('numbro')
+
+module.exports = function container (get, set, clear) {
+  return {
+    name: 'rsi_macd',
+    description: 'Stochastic MACD Strategy',
+
+    getOptions: function () {
+      this.option('period', 'period length', String, '30m')
+      this.option('min_periods', 'min. number of history periods', Number, 200)
+      this.option('rsi_periods', 'number of RSI periods', 14)
+      this.option('srsi_periods', 'number of RSI periods', Number, 9)
+      this.option('srsi_k', '%D line', Number, 5)
+      this.option('srsi_d', '%D line', Number, 3)
+      this.option('oversold_rsi', 'buy when RSI reaches or drops below this value', Number, 20)
+      this.option('overbought_rsi', 'sell when RSI reaches or goes above this value', Number, 80)
+      this.option('ema_short_period', 'number of periods for the shorter EMA', Number, 24)
+      this.option('ema_long_period', 'number of periods for the longer EMA', Number, 200)
+      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)
+    },
+
+    calculate: function (s) {
+		// compute Stochastic RSI
+		get('lib.srsi')(s, 'srsi', s.options.rsi_periods, s.options.srsi_k, s.options.srsi_d)
+
+        // compute 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)
+			if (typeof s.period.macd_histogram === 'number' && typeof s.lookback[0].macd_histogram === 'number' && typeof s.period.srsi_K === 'number' && typeof s.period.srsi_D === 'number')
+				// Buy signal
+        		if (s.period.macd_histogram >= s.options.up_trend_threshold)
+					if (s.period.srsi_K > s.period.srsi_D && s.period.srsi_K > s.lookback[0].srsi_K && s.period.srsi_K < s.options.oversold_rsi)
+						s.signal = 'buy'
+
+				// Sell signal
+				if (s.period.macd_histogram < s.options.down_trend_threshold)
+					if (s.period.srsi_K < s.period.srsi_D && s.period.srsi_K < s.lookback[0].srsi_K && s.period.srsi_K > s.options.overbought_rsi)
+						s.signal = 'sell'
+
+				// Hold
+				//s.signal = null;
+		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.srsi_K).format('000'), ' ').cyan)
+      }
+      else {
+        cols.push('         ')
+      }
+      return cols
+    }
+	}
+}

lib/_codemap.js

@@ -6,6 +6,7 @@ module.exports = {
   'engine': require('./engine'),
   'normalize-selector': require('./normalize-selector'),
   'rsi': require('./rsi'),
+  'sma': require('./sma'),
   'srsi': require('./srsi'),
   'stddev': require('./stddev')
-}
+}

lib/sma.js

@@ -2,15 +2,13 @@ module.exports = function container (get, set, clear) {
   return function sma (s, key, length, source_key) {
     if (!source_key) source_key = 'close'
     if (s.lookback.length >= length) {
-      var prev_sma = s.lookback[0][key]
-      if (typeof prev_sma === 'undefined' || isNaN(prev_sma)) {
-        var sum = 0
-        s.lookback.slice(0, length).forEach(function (period) {
-          sum += period[source_key]
-        })
-        prev_sma = sum / length
-      }
-      s.period[key] = prev_sma
+      let SMA = s.lookback
+        .slice(0, length)
+        .reduce((sum, cur) => {
+          return sum + cur[source_key]
+        }, 0)
+
+      s.period[key] = SMA / length
     }
   }
 }