drift

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

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

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

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

	MinInterval types.Interval `json:"MinInterval"` // minimum interval referred for doing stoploss/trailing exists and updating highest/lowest

	Debug                     bool             `json:"debug" modifiable:"true"`                // to print debug message or not
	UseStopLoss               bool             `json:"useStopLoss" modifiable:"true"`          // whether to use stoploss rate to do stoploss
	UseAtr                    bool             `json:"useAtr" modifiable:"true"`               // use atr as stoploss
	StopLoss                  fixedpoint.Value `json:"stoploss" modifiable:"true"`             // stoploss rate
	PredictOffset             int              `json:"predictOffset"`                          // the lookback length for the prediction using linear regression
	HighLowVarianceMultiplier float64          `json:"hlVarianceMultiplier" modifiable:"true"` // modifier to set the limit order price
	NoTrailingStopLoss        bool             `json:"noTrailingStopLoss" modifiable:"true"`   // turn off the trailing exit and stoploss
	HLRangeWindow             int              `json:"hlRangeWindow"`                          // ma window for kline high/low changes
	SmootherWindow            int              `json:"smootherWindow"`                         // window that controls the smoothness of drift
	FisherTransformWindow     int              `json:"fisherTransformWindow"`                  // fisher transform window to filter drift's negative signals
	ATRWindow                 int              `json:"atrWindow"`                              // window for atr indicator
	PendingMinInterval        int              `json:"pendingMinInterval" modifiable:"true"`   // if order not be traded for pendingMinInterval of time, cancel it.
	NoRebalance               bool             `json:"noRebalance" modifiable:"true"`          // 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" modifiable:"true"`      // beta filter on the Linear Regression of trendLine
	TrailingCallbackRate      []float64        `json:"trailingCallbackRate" modifiable:"true"`
	TrailingActivationRatio   []float64        `json:"trailingActivationRatio" modifiable:"true"`

	// This is not related to trade but for statistics graph generation
	// Will deduct fee in percentage from every trade
	GraphPNLDeductFee bool   `json:"graphPNLDeductFee"`
	CanvasPath        string `json:"canvasPath"`       // backtest related. the path to store the indicator graph
	GraphPNLPath      string `json:"graphPNLPath"`     // backtest related. the path to store the pnl % graph per trade graph.
	GraphCumPNLPath   string `json:"graphCumPNLPath"`  // backtest related. the path to store the asset changes in graph
	GraphElapsedPath  string `json:"graphElapsedPath"` // the path to store the elapsed time in ms
	GenerateGraph     bool   `json:"generateGraph"`    // whether to generate graph when shutdown

	ExitMethods bbgo.ExitMethodSet `json:"exits"`
	Session     *bbgo.ExchangeSession

	*bbgo.FastOrderExecutor
	// contains filtered or unexported fields
}