added more comparators and indicators

Tradegen · May 5, 2021 · 056b924 · 056b924
1 parent 61d57f1
commit 056b924
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Showing 18 changed files with 503 additions and 57 deletions.
diff --git a/backtest.js b/backtest.js
@@ -130,6 +130,7 @@ async function updateDatabase(backtestResults, strategyID, hasErrors)
         backTestResultsID: backtestID,
         tradeFrequency: modifiedBacktestResults.tradeFrequency,
         alpha: modifiedBacktestResults.alpha,
+        totalReturn: modifiedBacktestResults.totalReturn,
         status: "Backtest complete"
     });
 
@@ -215,7 +216,7 @@ async function getSPYHistory(date)
 {
     var SPYresults = [];
     var cloud = axios.default.create({});
-    let url = 'https://api.polygon.io/v2/aggs/ticker/SPY/range/1/month/2019-12-01/' + date + '?unadjusted=false&sort=asc&limit=5000&apiKey=APIKEY';
+    let url = 'https://api.polygon.io/v2/aggs/ticker/SPY/range/1/month/2019-12-01/' + date + '?unadjusted=false&sort=asc&limit=5000&apiKey=Rm1obTikWQybL7LDoH_yYojQBrrr0SQg';
     try 
     {
         let res2 = await cloud.get(url).then(function (data) {
@@ -226,6 +227,7 @@ async function getSPYHistory(date)
     } 
     catch (err) 
     {
+        console.log(err);
         return;
     }
 
@@ -291,7 +293,7 @@ async function runBacktest(strategyParams, availableDates)
     for (var i = 0; i < symbols.length; i+=1)
     {
         var cloud = axios.default.create({});
-        let url = 'https://api.polygon.io/v2/aggs/ticker/' + symbols[i] + '/range/1/day/2020-01-02/2020-01-02?unadjusted=false&sort=asc&limit=1&apiKey=APIKEY';
+        let url = 'https://api.polygon.io/v2/aggs/ticker/' + symbols[i] + '/range/1/day/2020-01-02/2020-01-02?unadjusted=false&sort=asc&limit=1&apiKey=Rm1obTikWQybL7LDoH_yYojQBrrr0SQg';
 
         try 
         {
@@ -744,6 +746,7 @@ async function runBacktest(strategyParams, availableDates)
         trades: trades,
         tradeFrequency: tradeFrequency,
         sharpeRatio: sharpeRatio,
+        todayChange: 0,
         alpha: alpha,
         ROIs: ROIs,
         wins: wins,
@@ -761,7 +764,7 @@ async function getChunk(symbol, start, end, timeframe)
 {
     let bars = [];
     var cloud = axios.default.create({});
-    let url = 'https://api.polygon.io/v2/aggs/ticker/' + symbol + '/range/' + timeframe.toString() + '/minute/' + start + '/' + end + '?unadjusted=false&sort=asc&limit=50000&apiKey=';
+    let url = 'https://api.polygon.io/v2/aggs/ticker/' + symbol + '/range/' + timeframe.toString() + '/minute/' + start + '/' + end + '?unadjusted=false&sort=asc&limit=50000&apiKey=Rm1obTikWQybL7LDoH_yYojQBrrr0SQg';
     try 
     {
         let res2 = await cloud.get(url).then(function (data) {

diff --git a/comparators/BouncesHigherOff.js b/comparators/BouncesHigherOff.js
@@ -20,6 +20,11 @@ class BouncesHigherOff extends Comparator {
         let currentCandle = this.indicator1.getValue();
         let indicator2Value = this.indicator2.getValue();
 
+        if (currentCandle == -1)
+        {
+            return false;
+        }
+
         if (indicator2Value == -1)
         {
             return false;

diff --git a/comparators/BouncesLowerOff.js b/comparators/BouncesLowerOff.js
@@ -20,6 +20,11 @@ class BouncesLowerOff extends Comparator {
         let currentCandle = this.indicator1.getValue();
         let indicator2Value = this.indicator2.getValue();
 
+        if (currentCandle == -1)
+        {
+            return false;
+        }
+
         if (indicator2Value == -1)
         {
             return false;

diff --git a/comparators/BreaksAbove.js b/comparators/BreaksAbove.js
@@ -20,6 +20,11 @@ class BreaksAbove extends Comparator {
         let currentCandle = this.indicator1.getValue();
         let indicator2Value = this.indicator2.getValue();
 
+        if (currentCandle == -1)
+        {
+            return false;
+        }
+
         if (indicator2Value == -1)
         {
             return false;

diff --git a/comparators/BreaksBelow.js b/comparators/BreaksBelow.js
@@ -20,6 +20,11 @@ class BreaksBelow extends Comparator {
         let currentCandle = this.indicator1.getValue();
         let indicator2Value = this.indicator2.getValue();
 
+        if (currentCandle == -1)
+        {
+            return false;
+        }
+
         if (indicator2Value == -1)
         {
             return false;

diff --git a/comparators/Closes.js b/comparators/Closes.js
@@ -16,16 +16,60 @@ class Closes extends Comparator {
         return;
     }
 
-    checkConditions() {
+    checkConditions()
+    {
         if (this.indicator2.getName() == "Up")
         {
-            let currentCandle = this.indicator1.getValue();
-            return (currentCandle.c > currentCandle.o);
+            if (this.indicator1.getName() == "PreviousNCandles")
+            {
+                let priceHistory = this.indicator1.getValue();
+
+                for (var i = 1; i < priceHistory.length; i++)
+                {
+                    if (priceHistory[i].c <= priceHistory[i - 1].c)
+                    {
+                        return false;
+                    }
+                }
+
+                return true;
+            }
+            else
+            {
+
+                let currentCandle = this.indicator1.getValue();
+                if (currentCandle == -1)
+                {
+                    return false;
+                }
+                return (currentCandle.c > currentCandle.o);
+            }
         }
         else if (this.indicator2.getName() == "Down")
         {
-            let currentCandle = this.indicator1.getValue();
-            return (currentCandle.c < currentCandle.o);
+            if (this.indicator1.getName() == "PreviousNCandles")
+            {
+                let priceHistory = this.indicator1.getValue();
+
+                for (var i = 1; i < priceHistory.length; i++)
+                {
+                    if (priceHistory[i].c >= priceHistory[i - 1].c)
+                    {
+                        return false;
+                    }
+                }
+
+                return true;
+            }
+            else
+            {
+                let currentCandle = this.indicator1.getValue();
+                if (currentCandle == -1)
+                {
+                    return false;
+                }
+                return (currentCandle.c > currentCandle.o);
+            }
         }
 
         return false;

diff --git a/comparators/ClosesAbove.js b/comparators/ClosesAbove.js
@@ -20,11 +20,31 @@ class ClosesAbove extends Comparator {
         let currentCandle = this.indicator1.getValue();
         let indicator2Value = this.indicator2.getValue();
 
+        if (currentCandle == -1)
+        {
+            return false;
+        }
+
         if (indicator2Value == -1)
         {
             return false;
         }
 
+        if (this.indicator1.getName() == "PreviousNCandles")
+        {
+            let priceHistory = this.indicator1.getValue();
+
+            for (var i = 0; i < priceHistory.length; i++)
+            {
+                if (priceHistory[i].c <= indicator2Value)
+                {
+                    return false;
+                }
+            }
+
+            return true;
+        }
+
         if (currentCandle.c > indicator2Value && this.indicator2.getName() == "HighOfFirstNMinutes")
         {
             this.indicator2.alreadyMetConditions = true;

diff --git a/comparators/ClosesBelow.js b/comparators/ClosesBelow.js
@@ -20,11 +20,31 @@ class ClosesBelow extends Comparator {
         let currentCandle = this.indicator1.getValue();
         let indicator2Value = this.indicator2.getValue();
 
+        if (currentCandle == -1)
+        {
+            return false;
+        }
+
         if (indicator2Value == -1)
         {
             return false;
         }
 
+        if (this.indicator1.getName() == "PreviousNCandles")
+        {
+            let priceHistory = this.indicator1.getValue();
+
+            for (var i = 0; i < priceHistory.length; i++)
+            {
+                if (priceHistory[i].c >= indicator2Value)
+                {
+                    return false;
+                }
+            }
+
+            return true;
+        }
+
         if (currentCandle.c < indicator2Value && this.indicator2.getName() == "LowOfFirstNMinutes")
         {
             this.indicator2.alreadyMetConditions = true;

diff --git a/comparators/CrossesAbove.js b/comparators/CrossesAbove.js
@@ -0,0 +1,38 @@
+const Comparator = require("../comparator");
+
+class CrossesAbove extends Comparator {
+    constructor(indicator1, indicator2) {
+      super(indicator1, indicator2); // call the super class constructor and pass in the name parameter
+      this.indicator1 = indicator1;
+      this.indicator2 = indicator2;
+    }
+
+    initialize() {
+        return;
+    }
+
+    reset()
+    {
+        return;
+    }
+
+    checkConditions() {
+        let indicator1History = this.indicator1.getHistory();
+        let indicator2History = this.indicator2.getHistory();
+
+        if (indicator1History.length < 2)
+        {
+            return false;
+        }
+
+        if (indicator2History.length < 2)
+        {
+            return false;
+        }
+
+        return (indicator1History[indicator1History.length - 2] < indicator2History[indicator2History.length - 2]
+            && indicator1History[indicator1History.length - 1] > indicator2History[indicator2History.length - 1]);
+    }
+}
+
+module.exports = CrossesAbove;
diff --git a/comparators/CrossesBelow.js b/comparators/CrossesBelow.js
@@ -0,0 +1,38 @@
+const Comparator = require("../comparator");
+
+class CrossesBelow extends Comparator {
+    constructor(indicator1, indicator2) {
+      super(indicator1, indicator2); // call the super class constructor and pass in the name parameter
+      this.indicator1 = indicator1;
+      this.indicator2 = indicator2;
+    }
+
+    initialize() {
+        return;
+    }
+
+    reset()
+    {
+        return;
+    }
+
+    checkConditions() {
+        let indicator1History = this.indicator1.getHistory();
+        let indicator2History = this.indicator2.getHistory();
+
+        if (indicator1History.length < 2)
+        {
+            return false;
+        }
+
+        if (indicator2History.length < 2)
+        {
+            return false;
+        }
+
+        return (indicator1History[indicator1History.length - 2] > indicator2History[indicator2History.length - 2]
+            && indicator1History[indicator1History.length - 1] < indicator2History[indicator2History.length - 1]);
+    }
+}
+
+module.exports = CrossesBelow;
diff --git a/comparators/FallsTo.js b/comparators/FallsTo.js
@@ -20,6 +20,11 @@ class FallsTo extends Comparator {
         let currentCandle = this.indicator1.getValue();
         let indicator2Value = this.indicator2.getValue();
 
+        if (currentCandle == -1)
+        {
+            return false;
+        }
+
         if (indicator2Value == -1)
         {
             return false;