Standard Deviation Strategy

extensions/strategies/stddev/_codemap.js

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

extensions/strategies/stddev/strategy.js

@@ -0,0 +1,51 @@
+//"sudo ./zenbot.sh sim --strategy=stddev --trendtrades_1=2500 --days=7 --period=100ms --min_periods=3000";
+var z = require('zero-fill')
+var stats = require('stats-lite')
+var n = require('numbro')
+var math = require('mathjs');
+var tl0mp = []
+module.exports = function container (get, set, clear) {
+  return {
+    name: 'stddev',
+    description: 'Trade when % change from last two 1m periods is higher than average.',
+
+    getOptions: function () {
+      this.option('period', 'period length', String, '100ms')
+      this.option('trendtrades_1', "Trades for trend 1", Number, 2500)
+      this.option('selector', "Selector", String, 'Gdax.BTC-USD')
+      this.option('min_periods', "min_periods", Number, 3000)
+    },
+
+
+    calculate: function (s) {
+      get('lib.ema')(s, 'stddev', s.options.stddev)
+      var tl0 = []
+      if (s.lookback[s.options.trendtrades_1]) {
+          for (let i = 0; i < s.options.trendtrades_1; i++) { tl0.push(s.lookback[i].close) }
+      s.tlst0 = stats.stdev(tl0)
+      s.mean = math.mean(tl0)
+      s.sign = s.mean - s.tlst0
+      s.sig = tl0[0] - s.sign
+    }
+},
+
+    onPeriod: function (s, cb) {
+            if (
+                  s.sig > 0
+
+               ) {
+                  s.signal = 'buy'
+               }
+             else {
+                  s.signal = 'sell'
+              }
+      cb()
+    },
+
+    onReport: function (s) {
+      var cols = []
+      cols.push(z(s.signal, ' ')[s.signal === false ? 'red' : 'green'])
+            return cols
+      },
+    }
+  }

package.json

@@ -54,7 +54,9 @@
     "talib": "^1.0.3",
     "timebucket": "^0.4.0",
     "ws": "^3.2.0",
-    "zero-fill": "^2.2.3"
+    "zero-fill": "^2.2.3",
+    "stats-lite": "2.1.0",
+    "stats-array": "0.1.2"
   },
   "devDependencies": {
     "eslint": "^4.7.1"

simulations/index.php

@@ -0,0 +1,23 @@
+<?php
+$path_to_check = '';
+$needle = 'end balance:';
+$needle2 = 'error rate: ';
+foreach(glob($path_to_check . '*.html') as $filename)
+{
+  foreach(file($filename) as $fli=>$fl)
+  {
+    if(strpos($fl, $needle)!==false)
+    {
+      echo $filename . ' on line ' . ($fli+1) . ': ' . $fl;
+    }
+  }
+  foreach(file($filename) as $fli=>$fly)
+  {
+    if(strpos($fly, $needle2)!==false)
+    {
+      echo $fly;
+      echo '<br>';
+    }
+  }
+}
+?>