add talib "TRIX - 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA" …

…strategy (#1280)

README.md

@@ -482,6 +482,15 @@ ta_macd
     --overbought_rsi_periods=<value>  number of periods for overbought RSI (default: 25)
     --overbought_rsi=<value>  sold when RSI exceeds this value (default: 70)
 
+ta_trix
+  description:
+    TRIX - 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA with rsi oversold
+  options:
+    --period=<value>  period length eg 10m (default: 5m)
+    --timeperiod=<value>  timeperiod for TRIX (default: 30)
+    --overbought_rsi_periods=<value>  number of periods for overbought RSI (default: 25)
+    --overbought_rsi=<value>  sold when RSI exceeds this value (default: 70)
+
 trend_ema (default)
   description:
     Buy when (EMA - last(EMA) > 0) and sell when (EMA - last(EMA) < 0). Optional buy on low RSI.

extensions/strategies/ta_trix/_codemap.js

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

extensions/strategies/ta_trix/strategy.js

@@ -0,0 +1,82 @@
+var z = require('zero-fill')
+  , n = require('numbro')
+
+module.exports = function container (get, set, clear) {
+  return {
+    name: 'ta_trix',
+    description: 'TRIX - 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA with rsi oversold',
+
+    getOptions: function () {
+      this.option('period', 'period length eg 10m', String, '5m')
+      this.option('timeperiod', 'timeperiod for TRIX', Number, 30)
+      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)
+          }
+        }
+      }
+    },
+
+    onPeriod: function (s, cb) {
+      if (!s.in_preroll && typeof s.period.overbought_rsi === 'number') {
+        if (s.overbought) {
+          s.overbought = false
+          s.signal = 'sell'
+          return cb()
+        }
+      }
+
+      get('lib.ta_trix')(s, s.options.timeperiod).then(function(signal) {
+        s.period['trix'] = signal;
+
+        if (s.period.trix && s.lookback[0] && s.lookback[0].trix) {
+          s.period.trend_trix = s.period.trix >= 0 ? 'up' : 'down';
+        }
+
+        if (s.period.trend_trix == 'up') {
+          if (s.trend !== 'up') {
+            s.acted_on_trend = false
+          }
+
+          s.trend = 'up'
+          s.signal = !s.acted_on_trend ? 'buy' : null
+        } else if (s.period.trend_trix == 'down') {
+          if (s.trend !== 'down') {
+            s.acted_on_trend = false
+          }
+
+          s.trend = 'down'
+          s.signal = !s.acted_on_trend ? 'sell' : null
+        }
+
+        cb()
+      }).catch(function(error) {
+        console.log(error)
+        cb()
+      })
+    },
+
+    onReport: function (s) {
+      let cols = []
+
+      if (typeof s.period.trix === 'number') {
+        let color = s.period.trix > 0 ? 'green' : 'red';
+
+        cols.push(z(8, n(s.period.trix).format('0.0000'), ' ')[color])
+     }
+
+      return cols
+    }
+  }
+}

lib/_codemap.js

@@ -1,9 +1,9 @@
 module.exports = {
   _ns: 'zenbot',
   _folder: 'lib',
-
   'ta_ema': require('./ta_ema'),
   'ta_macd': require('./ta_macd'),
+  'ta_trix': require('./ta_trix'),
   'cci': require('./cci'),
   'ema': require('./ema'),
   'engine': require('./engine'),

lib/ta_trix.js

@@ -0,0 +1,43 @@
+var talib = require('talib')
+
+module.exports = function container (get, set, clear) {
+  return function trix(s, timeperiod) {
+    return new Promise(function(resolve, reject) {
+      // create object for talib. only close is used for now but rest might come in handy
+      if (!s.marketData) {
+        s.marketData = { open: [], close: [], high: [], low: [], volume: [] };
+      }
+
+      if (s.lookback.length > s.marketData.close.length) {
+        for (var i = (s.lookback.length - s.marketData.close.length) - 1; i >= 0; i--) {
+          s.marketData.close.push(s.lookback[i].close);
+        }
+      }
+
+      if (s.marketData.close.length < timeperiod) {
+        resolve();
+        return;
+      }
+
+      let tmpMarket = JSON.parse(JSON.stringify(s.marketData.close));
+
+      // add current period
+      tmpMarket.push(s.period.close)
+
+      talib.execute({
+        name: "TRIX",
+        startIdx: 0,
+        endIdx: tmpMarket.length -1,
+        inReal: tmpMarket,
+        optInTimePeriod: timeperiod
+      }, function (err, result) {
+        if (err) {
+          reject(err, result);
+          return
+        }
+
+        resolve(result.result.outReal[(result.nbElement - 1)]);
+      });
+    });
+  };
+}