Feature/strategy keltner channel (#1516)

* add docker mount for forex_analytics models (#1369)

* Implementation of Keltner Channels Strategy

extensions/strategies/kc/strategy.js

@@ -0,0 +1,81 @@
+var z = require('zero-fill')
+  , n = require('numbro')
+  , kc = require('../../../lib/kc')
+  , Phenotypes = require('../../../lib/phenotype')
+
+module.exports = {
+  name: 'kc',
+  description: 'Buy when (Signal ≤ Lower Keltner Channel) and sell when (Signal ≥ Upper Keltner Channel).',
+
+  getOptions: function () {
+    this.option('period', 'period length, same as --period_length', String, '1h')
+    this.option('period_length', 'period length, same as --period', String, '1h')
+    this.option('kc_size', 'period size', Number, 20)
+    this.option('kc_multiplier', 'multiplier for the average true range', Number, 1)
+    this.option('kc_upper_channel_pct', 'pct the current price should be near the keltner upper channel before we sell', Number, 0)
+    this.option('kc_lower_channel_pct', 'pct the current price should be near the keltner lower channel before we buy', Number, 0)
+  },
+
+  calculate: function (s) {
+    // calculate Keltner Channels
+    kc(s, 'kc', s.options.kc_size)
+  },
+
+  onPeriod: function (s, cb) {
+    if (s.period.kc) {
+      if (s.period.kc.upper && s.period.kc.lower) {
+        let upperChannel = s.period.kc.upper[s.period.kc.upper.length-1]
+        let lowerChannel = s.period.kc.lower[s.period.kc.lower.length-1]
+        if (s.period.close > (upperChannel / 100) * (100 - s.options.kc_upper_channel_pct)) {  
+          s.signal = 'sell'
+        } else if (s.period.close < (lowerChannel / 100) * (100 + s.options.kc_lower_channel_pct)) {
+          s.signal = 'buy'
+        } else {
+          s.signal = null // hold
+        }
+      }
+    }
+    cb()
+  },
+
+  onReport: function (s) {
+    var cols = []
+    if (s.period.kc) {
+      if (s.period.kc.upper && s.period.kc.lower) {
+        let upperChannel = s.period.kc.upper[s.period.kc.upper.length-1]
+        let lowerChannel = s.period.kc.lower[s.period.kc.lower.length-1]
+        var color = 'grey'
+        if (s.period.close > (upperChannel / 100) * (100 - s.options.kc_upper_channel_pct)) {
+          color = 'green'
+        } else if (s.period.close < (lowerChannel / 100) * (100 + s.options.kc_lower_channel_pct)) {
+          color = 'red'
+        }
+        cols.push(z(8, n(s.period.close).format('+00.0000'), ' ')[color])
+        cols.push(z(8, n(lowerChannel).format('0.000000').substring(0,7), ' ').cyan)
+        cols.push(z(8, n(upperChannel).format('0.000000').substring(0,7), ' ').cyan)
+      }
+    }
+    else {
+      cols.push('         ')
+    }
+    return cols
+  },
+
+  phenotypes: {
+    // -- common
+    period_length: Phenotypes.RangePeriod(1, 120, 'm'),
+    markdown_buy_pct: Phenotypes.RangeFloat(-1, 5),
+    markup_sell_pct: Phenotypes.RangeFloat(-1, 5),
+    order_type: Phenotypes.ListOption(['maker', 'taker']),
+    sell_stop_pct: Phenotypes.Range0(1, 50),
+    buy_stop_pct: Phenotypes.Range0(1, 50),
+    profit_stop_enable_pct: Phenotypes.Range0(1, 20),
+    profit_stop_pct: Phenotypes.Range(1,20),
+
+    // -- strategy
+    kc_size: Phenotypes.Range(1, 40),
+    kc_upper_channel_pct: Phenotypes.RangeFloat(-1, 30),
+    kc_lower_channel_pct: Phenotypes.RangeFloat(-1, 30)
+  }
+}
+

lib/bollinger.js

@@ -1,4 +1,4 @@
-// Linear Regression Curve
+// Bollinger Bands
 var bollingerbands = require('bollinger-bands')
 module.exports = function bollinger (s, key, length, source_key) {
   if (!source_key) source_key = 'close'

lib/kc.js

@@ -0,0 +1,18 @@
+// Keltner Channels
+var keltnerchannel = require('keltnerchannel').kc
+module.exports = function kc (s, key, length, source_key) {
+  if (!source_key) source_key = 'close'
+  if (s.lookback.length > length) {
+    let data = []
+    for (var i=length-1; i>=0; i--) {
+      data.push({
+        high: s.lookback[i].high,
+        low: s.lookback[i].low,
+        close: s.lookback[i].close
+      })
+    }
+    let result = keltnerchannel(data, s.options.kc_size, s.options.kc_multiplier)
+    s.period[key] = result
+  }
+}
+

package.json

@@ -62,6 +62,7 @@
     "ip": "~1.1.5",
     "jasmine": "^2.8.0",
     "jquery": "^3.2.1",
+    "keltnerchannel": "^1.4.2",
     "kraken-api": "^1.0.0",
     "lint-staged": "^7.0.0",
     "lodash": "^4.17.4",