trailing sl

src/quanta/trade/entry_signal/rule/exit2.clj

@@ -0,0 +1,101 @@
+(ns quanta.trade.entry-signal.rule.exit2)
+
+(defprotocol IExit
+  (check-exit [_ bar]))
+
+(defrecord TakeProfit [position level label]
+  IExit
+  (check-exit [_ {:keys [high low]}]
+    (case (:side position)
+      :long
+      (when (>= high level)
+        [label level])
+      :short
+      (when (<= low level)
+        [label level]))))
+
+(defrecord StopLoss [position level label]
+  IExit
+  (check-exit [_ {:keys [high low]}]
+    (case (:side position)
+      :short
+      (when (>= high level)
+        [label level])
+      :long
+      (when (<= low level)
+        [label level]))))
+
+(defrecord MaxTime [position max-idx label]
+  IExit
+  (check-exit [_ {:keys [idx close]}]
+    (when (>= idx max-idx)
+      [label close])))
+
+(comment
+  (def p {:side :long :entry-idx 1})
+
+  (def tp (TakeProfit. p 10000 :take-profit))
+  tp
+  (check-exit tp {:high 9000 :low 9000 :close 9000})
+  (check-exit tp {:high 11000 :low 11000 :close 11000})
+
+  (def sl (StopLoss. p 10000 :stop-loss))
+  sl
+  (check-exit sl {:high 9000 :low 9000 :close 9000})
+  (check-exit sl {:high 11000 :low 11000 :close 11000})
+
+  (def mt (MaxTime. p 5 :time))
+  mt
+  (check-exit mt {:idx 4})
+  (check-exit mt {:idx 10 :close 5000})
+  ;
+  )
+
+(defmulti exit-rule
+  (fn [{:keys [type]}] type))
+
+(defmethod exit-rule :profit-prct [{:keys [position label prct]
+                                    :or {label :profit-prct}}]
+  (assert prct "take-profit-prct needs :prct parameter")
+  (assert prct "take-profit-prct needs :position parameter")
+  (let [{:keys [entry-price side]} position]
+    ;(println "creating profit-prct rule for position: " position)
+    (assert entry-price "take-profit-prct needs :position :entry-price")
+    (assert side "take-profit-prct needs :position :side")
+    (let [prct (/ prct 100.0)
+          level (case side
+                  :long (* entry-price (+ 1.0 prct))
+                  :short (/ entry-price (+ 1.0 prct)))]
+      (TakeProfit. position level label))))
+
+(defrecord TrailingTakeProfit [position level adjust-level-fn label]
+  IExit
+  (check-exit [_ {:keys [high low] :as row}]
+    (let [r (case (:side position)
+              :long
+              (when (>= high @level)
+                [label level])
+              :short
+              (when (<= low @level)
+                [label level]))
+          new-level (adjust-level-fn position level row)]
+      (when new-level
+        (println "TrailingTakeProfit changes to: " level)
+        (reset! level new-level))
+      r)))
+
+(defrecord TrailingStopLoss [position level adjust-level-fn label]
+  IExit
+  (check-exit [_ {:keys [high low] :as row}]
+    (let [r (case (:side position)
+              :short
+              (when (>= high level)
+                [label level])
+              :long
+              (when (<= low level)
+                [label level]))
+          new-level (adjust-level-fn position level row)]
+      (when new-level
+        (println "TrailingStopLoss changes to: " level)
+        (reset! level new-level))
+      r)))