const { SYMBOL, STRATEGY_INTERVAL, TICK, rsiLowerBound, rsiFloor, positionEpsilon, maxWaitTicksForBottom, STOP_LOSS_PCT, TRAIL_STOP_PCT, FREEZE_TICKS, SELL_WATCH_TICKS, TRAIL_TIMEOUT_TICKS, } = require('./constants.js'); const initialState = { readyToBuy: false, bottomPrice: null, waitBottomFromTick: null, entryPrice: null, freezeUntilTick: null, sellState: 'idle', watchingFromTick: null, trailPeakPrice: null, trailFromTick: null, }; function hasPosition(portfolio) { const p = portfolio.positions.find((x) => x.symbol === SYMBOL); const qty = p ? Math.abs(p.qty) : 0; return qty > positionEpsilon; } function strategyFn(ctx) { const { tick, data, portfolio, state } = ctx; const bars = data.ohlcvs[SYMBOL]?.[STRATEGY_INTERVAL]; const bbData = data.features['bb_20']; const rsiData = data.features['rsi_14']; if (!bars || bars.length === 0) throw new Error('OHLCV not found for ' + SYMBOL + ' ' + STRATEGY_INTERVAL); if (!bbData || bbData.length === 0) throw new Error('Feature "bb_20" not found or empty'); if (!rsiData || rsiData.length === 0) throw new Error('Feature "rsi_14" not found or empty'); const bar = bars[bars.length - 1]; const bbNow = bbData[bbData.length - 1]; const rsiNow = rsiData[rsiData.length - 1]; const C_t = bar.close; const H_t = bar.high; const L_t = bar.low; const UB_t = bbNow.upperBand_20; const SD_t = bbNow.stdDev_20; const RSI_t = rsiNow.rsi_14; const tickTime = tick; const inPos = hasPosition(portfolio); let next = { ...state }; let logs = []; if (!next.readyToBuy && RSI_t < rsiLowerBound) { next.readyToBuy = true; next.bottomPrice = null; next.waitBottomFromTick = null; logs.push(`[BUY SIG] RSI=${RSI_t.toFixed(2)} < ${rsiLowerBound} -> readyToBuy=true`); } if (next.readyToBuy && next.bottomPrice == null && RSI_t >= rsiFloor) { next.bottomPrice = C_t - SD_t; next.waitBottomFromTick = tickTime; logs.push( `[BUY SIG] RSI=${RSI_t.toFixed(2)} >= ${rsiFloor} -> bottomPrice=${next.bottomPrice.toFixed(2)} (C=${C_t.toFixed( 2 )} - SD=${SD_t.toFixed(2)})` ); } if (next.bottomPrice != null && next.waitBottomFromTick != null) { const elapsed = tickTime - next.waitBottomFromTick; if (elapsed > maxWaitTicksForBottom * TICK) { const oldBottom = next.bottomPrice; next.bottomPrice = null; next.waitBottomFromTick = null; next.readyToBuy = false; logs.push( `[BUY SIG] Bottom wait expired: ${(elapsed / TICK).toFixed( 1 )} ticks > ${maxWaitTicksForBottom} -> reset (was bottomPrice=${oldBottom.toFixed(2)})` ); } } let target = null; if (!inPos) { if (next.freezeUntilTick != null && tickTime < next.freezeUntilTick) { const remainingTicks = (next.freezeUntilTick - tickTime) / TICK; logs.push(`[FREEZE] ${remainingTicks.toFixed(1)} ticks remaining after stop loss, no entry allowed`); } else { if (next.freezeUntilTick != null) { logs.push('[FREEZE] Freeze period ended, entries allowed'); next.freezeUntilTick = null; } } if (next.freezeUntilTick == null && next.bottomPrice != null && L_t <= next.bottomPrice) { target = { date: tickTime, instruction: { type: 'allocate', weights: [{ symbol: SYMBOL, weight: 1.0 }] }, meta: { reason: 'Entry: L<=bottomPrice after RSI oversold/recover' }, }; const oldBottom = next.bottomPrice; next.readyToBuy = false; next.bottomPrice = null; next.waitBottomFromTick = null; next.entryPrice = C_t; logs.push( `[EXEC BUY] L=${L_t.toFixed(2)} <= bottomPrice=${oldBottom.toFixed(2)} -> BUY 100% ${SYMBOL} @ ${C_t.toFixed(2)}` ); } } else { if (next.entryPrice != null && C_t < next.entryPrice * (1 - STOP_LOSS_PCT)) { const stopPrice = next.entryPrice * (1 - STOP_LOSS_PCT); target = { date: tickTime, instruction: { type: 'allocate', weights: [{ symbol: SYMBOL, weight: 0.0 }] }, meta: { reason: `Stop Loss: C dropped below ${(STOP_LOSS_PCT * 100).toFixed(0)}% of entry` }, }; next.sellState = 'idle'; next.watchingFromTick = null; next.trailPeakPrice = null; next.trailFromTick = null; next.entryPrice = null; next.freezeUntilTick = tickTime + FREEZE_TICKS * TICK; logs.push( `[STOP LOSS] C=${C_t.toFixed(2)} < entry*${(1 - STOP_LOSS_PCT).toFixed(2)}=${stopPrice.toFixed( 2 )} -> SELL 100% ${SYMBOL}, freeze for ${FREEZE_TICKS} ticks` ); return { target, state: next, logs: logs.join(' | ') }; } if (next.sellState === 'idle' && H_t > UB_t * 1.01) { next.sellState = 'watchingForSell'; next.watchingFromTick = tickTime; logs.push(`[SELL SIG] H=${H_t.toFixed(2)} > UB*1.01=${(UB_t * 1.01).toFixed(2)} -> watchingForSell`); } if (next.sellState === 'watchingForSell') { const elapsed = tickTime - next.watchingFromTick; if (elapsed > SELL_WATCH_TICKS * TICK) { next.sellState = 'idle'; next.watchingFromTick = null; logs.push( `[SELL SIG] watchingForSell timeout: ${(elapsed / TICK).toFixed(1)} ticks > ${SELL_WATCH_TICKS} -> idle` ); } else if (C_t < UB_t * 0.99) { next.sellState = 'trailTracking'; next.trailPeakPrice = C_t; next.trailFromTick = tickTime; next.watchingFromTick = null; logs.push( `[SELL SIG] C=${C_t.toFixed(2)} < UB*0.99=${(UB_t * 0.99).toFixed(2)} -> trailTracking (peak=${C_t.toFixed( 2 )})` ); } } if (next.sellState === 'trailTracking') { const elapsed = tickTime - next.trailFromTick; if (C_t > next.trailPeakPrice) { const oldPeak = next.trailPeakPrice; next.trailPeakPrice = C_t; next.trailFromTick = tickTime; logs.push(`[SELL SIG] New peak: ${oldPeak.toFixed(2)} -> ${C_t.toFixed(2)}`); } const trailStopPrice = next.trailPeakPrice * (1 - TRAIL_STOP_PCT); if (C_t < trailStopPrice) { target = { date: tickTime, instruction: { type: 'allocate', weights: [{ symbol: SYMBOL, weight: 0.0 }] }, meta: { reason: 'Exit: C dropped below trailing stop after breakout' }, }; const oldPeak = next.trailPeakPrice; next.sellState = 'idle'; next.trailPeakPrice = null; next.trailFromTick = null; next.entryPrice = null; logs.push( `[EXEC SELL] C=${C_t.toFixed(2)} < trailStop=${trailStopPrice.toFixed(2)} (peak=${oldPeak.toFixed( 2 )}) -> SELL 100% ${SYMBOL}` ); } else if (elapsed > TRAIL_TIMEOUT_TICKS * TICK) { const oldPeak = next.trailPeakPrice; next.sellState = 'idle'; next.trailPeakPrice = null; next.trailFromTick = null; logs.push( `[SELL SIG] trailTracking timeout: ${(elapsed / TICK).toFixed( 1 )} ticks > ${TRAIL_TIMEOUT_TICKS} -> idle (was peak=${oldPeak.toFixed(2)})` ); } } } const posStatus = inPos ? 'IN POS' : 'NO POS'; let buyStatus; if (next.freezeUntilTick != null) { const remainingTicks = (next.freezeUntilTick - tickTime) / TICK; buyStatus = `FROZEN: ${remainingTicks.toFixed(1)} ticks remaining`; } else if (next.bottomPrice != null) { buyStatus = `bottomPrice=${next.bottomPrice.toFixed(2)}, L=${L_t.toFixed(2)}`; } else if (next.readyToBuy) { buyStatus = `readyToBuy=true, RSI=${RSI_t.toFixed(2)}, waiting for RSI>=${rsiFloor}`; } else { buyStatus = `RSI=${RSI_t.toFixed(2)}, waiting for RSI<${rsiLowerBound}`; } let sellStatus; if (next.sellState === 'trailTracking') { sellStatus = `trailTracking: peak=${next.trailPeakPrice.toFixed(2)}, C=${C_t.toFixed(2)}`; } else if (next.sellState === 'watchingForSell') { sellStatus = `watchingForSell: C=${C_t.toFixed(2)}, waiting for C<${(UB_t * 0.99).toFixed(2)}`; } else { sellStatus = `idle: H=${H_t.toFixed(2)}, waiting for H>${(UB_t * 1.01).toFixed(2)}`; } if (logs.length === 0) logs.push(`[${posStatus}] Buy: ${buyStatus} | Sell: ${sellStatus}`); return { target, state: next, logs: logs.join(' | ') }; } module.exports = { strategyFn, initialState, hasPosition };

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