Parabolic SAR strategy

extensions/strategies/sar/_codemap.js

@@ -0,0 +1,6 @@
+module.exports = {
+  _ns: 'zenbot',
+
+  'strategies.sar': require('./strategy'),
+  'strategies.list[]': '#strategies.sar'
+}

extensions/strategies/sar/strategy.js

@@ -0,0 +1,86 @@
+var z = require('zero-fill')
+  , n = require('numbro')
+
+module.exports = function container (get, set, clear) {
+  return {
+    name: 'sar',
+    description: 'Parabolic SAR',
+
+    getOptions: function () {
+      this.option('period', 'period length', String, '1m')
+      this.option('min_periods', 'min. number of history periods', Number, 52)
+      this.option('sar_af', 'acceleration factor for parabolic SAR', Number, 0.025)
+      this.option('sar_max_af', 'max acceleration factor for parabolic SAR', Number, 0.55)
+    },
+
+    calculate: function (s) {
+      if (s.lookback.length >= s.options.min_periods) {
+        if (!s.trend) {
+          if (s.period.high > s.lookback[s.lookback.length - 1].high) {
+            // start with uptrend
+            s.trend = 'up'
+            s.sar = Math.min(s.lookback[1].low, s.lookback[0].low)
+            s.sar_ep = s.period.high
+            s.sar_af = s.options.sar_af
+            for (var idx = 0; idx < s.lookback.length; idx++) {
+              s.sar_ep = Math.max(s.sar_ep, s.lookback[idx].high)
+            }
+          }
+          else {
+            s.trend = 'down'
+            s.sar = Math.max(s.lookback[1].high, s.lookback[0].high)
+            s.sar_ep = s.period.low
+            s.sar_af = s.options.sar_af
+            for (var idx = 0; idx < s.lookback.length; idx++) {
+              s.sar_ep = Math.min(s.sar_ep, s.lookback[idx].low)
+            }
+          }
+        }
+      }
+    },
+
+    onPeriod: function (s, cb) {
+      if (typeof s.sar === 'number') {
+        if (s.trend === 'up') {
+          s.sar = Math.min(s.lookback[1].low, s.lookback[0].low, s.sar + (s.sar_af * (s.sar_ep - s.sar)))
+        }
+        else {
+          s.sar = Math.max(s.lookback[1].high, s.lookback[0].high, s.sar - (s.sar_af * (s.sar - s.sar_ep)))
+        }
+        if (s.trend === 'down') {
+          if (s.period.high >= s.sar) {
+            s.trend = 'up'
+            s.signal = 'buy'
+            s.sar_ep = s.period.low
+            s.sar_af = s.options.sar_af
+          }
+          else if (s.period.low < s.sar_ep && s.sar_af < s.options.sar_max_af) {
+            s.sar_ep = s.period.low
+            s.sar_af += s.options.sar_af
+          }
+        }
+        else if (s.trend === 'up') {
+          if (s.period.low <= s.sar) {
+            s.trend = 'down'
+            s.signal = 'sell'
+            s.sar_ep = s.period.high
+            s.sar_af = s.options.sar_af
+          }
+          else if (s.period.high > s.sar_ep && s.sar_af < s.options.sar_max_af) {
+            s.sar_ep = s.period.high
+            s.sar_af += s.options.sar_af
+          }
+        }
+      }
+      cb()
+    },
+
+    onReport: function (s) {
+      var cols = []
+      if (typeof s.sar === 'number') {
+        cols.push(z(8, n(s.sar).subtract(s.period.close).divide(s.period.close).format('0.00%'), ' ').grey)
+      }
+      return cols
+    }
+  }
+}

lib/engine.js

@@ -295,8 +295,8 @@ module.exports = function container (get, set, clear) {
                   var mid_price = n(quote.ask).add(quote.bid).divide(2)
                   if (type === 'buy') {
                     marked_price = n(mid_price).subtract(n(mid_price).multiply(so.markup_pct / 100)).format(s.product.increment, Math.floor)
-                    msg(marked_price + ' vs our ' + order.price)
                     if (n(order.price).value() < marked_price) {
+                      msg(marked_price + ' vs our ' + order.price)
                       cancelOrder(true)
                     }
                     else {
@@ -306,8 +306,8 @@ module.exports = function container (get, set, clear) {
                   }
                   else {
                     marked_price = n(mid_price).add(n(mid_price).multiply(so.markup_pct / 100)).format(s.product.increment, Math.ceil)
-                    msg(marked_price + ' vs our ' + order.price)
                     if (n(order.price).value() > marked_price) {
+                      msg(marked_price + ' vs our ' + order.price)
                       cancelOrder(true)
                     }
                     else {