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genetic.js
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genetic.js
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// Node.js program to demonstrate the
// fs.createReadStream() method
// Include fs module
const DataSource = require('./datasource.js');
const Trade = require('./trade.js');
const DEBUG = require('./debug.js');
const Utils = require('./utils.js');
const Strategy = require('./strategy.js');
const fs = require('fs');
const Genetic = require('async-genetic').Genetic;
const config = {
mutationFunction: mutationFunction,
crossoverFunction: crossoverFunction,
fitnessFunction: fitnessFunction, // async
populationSize: 300, // defaults to 100,
randomFunction: randomFunction,
mutateProbability: 0.2
}
const GENERATIONS = 50;
const population = [];
const RANDOM_MIN = 0.001;
const RANDOM_MAX = 0.15;
const STAKE_SIZE = 1000
const MULTIPLIER = 1;
for (let i = 0; i < config.populationSize; i++) {
population.push(randomFunction());
}
let writeStream = fs.createWriteStream('./results.txt', {encoding: 'utf-8'});
var startingLoss = 0;
var losingResult = 0;
var totalPL = 0;
var iterations = 0;
const genetic = new Genetic(config, population);
async function solve() {
genetic.seed();
for (let i = 0; i <= GENERATIONS; i++) {
console.count('Generation', i);
await genetic.estimate();
genetic.breed();
let best = {
fitness: await fitnessFunction(genetic.best(1)[0]),
item: genetic.best(1)[0]
}
writeStream.write(JSON.stringify(best) + "\n");
}
let best = {
fitness: await fitnessFunction(genetic.best(20)[0]),
item: genetic.best(1)[0]
}
writeStream.write(JSON.stringify(best) + "\n");
}
// solve();
calculateFitness(new Strategy(0.07, 0.0125, 0.0125)).then(function(val) {
console.log(val);
})
function randomFunction() {
// create random strings that are equal in length to solution
return new Strategy(Utils.getRandomInRange(RANDOM_MIN, RANDOM_MAX), Utils.getRandomInRange(RANDOM_MIN, RANDOM_MAX), Utils.getRandomInRange(RANDOM_MIN, RANDOM_MAX));
}
function calculateFitness(strategy) {
return new Promise(function(resolve) {
let funds = {
"USD": 2100,
"BTC": 0
}
let metrics = {
profitableTrades: 0,
lossTrades: 0,
largestProfit: 0,
largestLoss: 0
}
let longTrade = null;
let shortTrade = null;
const FEE = 0.0025;
let currentBid, currentAsk;
let randomSources = ['./data/binance_btc_usd_full.txt', './data/binance_eos_usd_full.txt', './data/binance_eth_usd_full.txt', './data/binance_ltc_usd_full.txt', './data/binance_xrp_usd_full.txt']
const random = Math.floor(Math.random() * randomSources.length);
const source = new DataSource('./data/binance_btc_usd_full.txt');
source.start(function(data) {
currentBid = data.bid;
currentAsk = data.ask;
if (data.count == 1) {
openDualTrades(data, strategy);
} else if (data.count > 1) {
if (longTrade == null && shortTrade == null) {
if (funds.USD >= 400) {
losingResult = 0;
openDualTrades(data, strategy);
} else {
resolve({
funds: funds,
metrics: metrics,
strategy: strategy
});
return;
}
}
if (longTrade) {
let longLiveResult = longTrade.getResult(data.bid);
// DEBUG.log("Long result", longLiveResult, Math.abs(data.ask - data.bid), data.bid, data.ask, longTrade.value);
if (longTrade && shortTrade) {
if (longLiveResult <= -(longTrade.stake * strategy.stopLoss)) {
// DEBUG.log("Long hit stop loss", longLiveResult, data.bid);
losingResult = longLiveResult;
closeTrade(longTrade, data.bid);
} else if (longTrade.trailingStopLevel != null) {
if (longLiveResult <= longTrade.trailingStopLevel) {
// DEBUG.log("Long hit trailing stop");
losingResult = longLiveResult;
closeTrade(longTrade, data.bid);
}
}
} else if (longTrade) {
if (longTrade.getResult(data.bid) >= Math.abs(losingResult) * MULTIPLIER) {
// DEBUG.log("Long hit close at profit", longLiveResult + losingResult, data.bid);
closeTrade(longTrade, data.bid);
}
}
}
if (shortTrade) {
let shortLiveResult = shortTrade.getResult(data.ask);
// DEBUG.log("Short result", shortLiveResult, Math.abs(data.ask - data.bid), data.bid, data.ask, shortTrade.value);
if (longTrade && shortTrade) {
if (shortLiveResult <= -(shortTrade.stake * strategy.stopLoss)) {
// DEBUG.log("Short hit stop loss", shortLiveResult, data.bid);
losingResult = shortLiveResult;
closeTrade(shortTrade, data.ask);
} else if (shortTrade.trailingStopLevel != null) {
if (shortLiveResult <= shortTrade.trailingStopLevel) {
// DEBUG.log("Short hit trailing stop", shortLiveResult);
losingResult = shortLiveResult;
closeTrade(shortTrade, data.ask);
}
}
} else if (shortTrade) {
if (shortTrade.getResult(data.ask) >= Math.abs(losingResult) * MULTIPLIER) {
// DEBUG.log("Short hit close at profit", shortLiveResult + losingResult, data.bid);
closeTrade(shortTrade, data.ask);
}
}
}
}
iterations += 1;
}, function() {
if (shortTrade) {
DEBUG.log("Closing short trade");
closeTrade(shortTrade, currentAsk);
}
if (longTrade) {
DEBUG.log("Closing long trade")
closeTrade(longTrade, currentBid);
}
resolve({
funds: funds,
metrics: metrics,
strategy: strategy
});
})
function openDualTrades(data, strategy) {
let tradeID = Utils.guid();
let half = funds.USD / 2.2;
longTrade = placeTrade(tradeID, 'BTC/USD', 'long', half, Number(data.ask), strategy);
shortTrade = placeTrade(tradeID, 'BTC/USD', 'short', half, Number(data.bid), strategy);
startingLoss = longTrade.getResult(Number(data.bid)) + shortTrade.getResult(Number(data.ask));
}
function placeTrade(id, pair, side, stake, price, strategy) {
if (side == 'long') {
let boughtCurrency = ((1 / price) * stake) * (1 - FEE);
let currencyA = pair.split('/')[0];
let currencyB = pair.split('/')[1];
funds[currencyA] += boughtCurrency;
funds[currencyB] -= stake;
let trade = new Trade(id, pair, stake, boughtCurrency, side, strategy, price);
trade.openIteration = iterations;
return trade;
} else if (side == 'short') {
//The amount of currency 'borrowed' using the USD
let shortedCurrency = ((1 / price) * stake) * (1 - FEE);
let currencyB = pair.split('/')[1];
// funds[currencyA] += boughtCurrency;
funds[currencyB] -= stake;
let trade = new Trade(id, pair, stake, shortedCurrency, side, strategy, price);
trade.openIteration = iterations;
return trade;
}
}
function closeTrade(trade, price) {
if (trade.direction == 'long') {
let closedAmount = (price * trade.value) * (1 - FEE);
let currencyA = trade.pair.split('/')[0];
let currencyB = trade.pair.split('/')[1];
funds[currencyA] -= trade.value;
funds[currencyB] += closedAmount;
longTrade = null;
let pl = closedAmount - trade.stake;
if (pl > 0) {
metrics.profitableTrades += 1
} else {
metrics.lossTrades += 1;
}
if (pl > metrics.largestProfit) {
metrics.largestProfit = pl;
}
if (pl < metrics.largestLoss) {
metrics.largestLoss = pl;
}
totalPL += pl;
DEBUG.log(`Closed a long trade for $${pl} ${closedAmount} ${trade.value} ${trade.openPrice} ${price} ${totalPL} ${iterations - trade.openIteration}`);
} else if (trade.direction == 'short') {
let costToBuyBack = ((price) * trade.value) * (1 - FEE);
let currencyB = trade.pair.split('/')[1];
let netResult = trade.stake - costToBuyBack;
funds[currencyB] += trade.stake + netResult;
shortTrade = null;
let pl = netResult;
if (pl > 0) {
metrics.profitableTrades += 1
} else {
metrics.lossTrades += 1;
}
if (pl > metrics.largestProfit) {
metrics.largestProfit = pl;
}
if (pl < metrics.largestLoss) {
metrics.largestLoss = pl;
}
totalPL += pl
DEBUG.log(`Closed a short trade for $${pl} ${trade.stake + netResult} ${trade.value} ${trade.openPrice} ${price} ${totalPL} ${iterations - trade.openIteration}`);
}
}
})
}
async function fitnessFunction(entity) {
let fitness = await calculateFitness(entity);
return fitness.funds.USD;
}
async function doesABeatB(phenotypeA, phenotypeB) {
return fitnessFunction(phenotypeA) >= fitnessFunction(phenotypeB)
}
function crossoverFunction(phenotypeA, phenotypeB) {
if (Utils.getRandomInRange(0, 1) > 0.5) {
phenotypeA.takeProfit = phenotypeB.takeProfit;
} else {
phenotypeB.takeProfit = phenotypeA.takeProfit;
}
if (Utils.getRandomInRange(0, 1) > 0.5) {
phenotypeA.stopLoss = phenotypeB.stopLoss;
} else {
phenotypeB.stopLoss = phenotypeA.stopLoss;
}
if (Utils.getRandomInRange(0, 1) > 0.5) {
phenotypeA.trailingStop = phenotypeB.trailingStop;
} else {
phenotypeB.trailingStop = phenotypeA.trailingStop;
}
return [phenotypeA, phenotypeB];
}
function mutationFunction(entity) {
let newStrategy = new Strategy(null, null, null);
if (Utils.getRandomInRange(0, 1) > 0.5) {
newStrategy.takeProfit = Utils.getRandomInRange(RANDOM_MIN, RANDOM_MAX);
} else {
newStrategy.takeProfit = entity.takeProfit;
}
if (Utils.getRandomInRange(0, 1) > 0.5) {
newStrategy.stopLoss = Utils.getRandomInRange(RANDOM_MIN, RANDOM_MAX);
} else {
newStrategy.stopLoss = entity.stopLoss;
}
if (Utils.getRandomInRange(0, 1) > 0.5) {
newStrategy.trailingStop = Utils.getRandomInRange(RANDOM_MIN, RANDOM_MAX);
} else {
newStrategy.trailingStop = entity.trailingStop;
}
return newStrategy;
}