Merge pull request #49 from Artimatic/feature/29-Backtesting-and-ml

Feature/29 backtesting and ml

Author: Artimatic

package-lock.json

@@ -5,7 +5,7 @@
   "main": "server/app.js",
   "scripts": {
     "ng": "ng",
-    "start": "npm run serve",
+    "start": "npm run build && npm run serve",
     "build": "ng build --aot && npm run build-ts && npm run tslint",
     "serve": "node dist/app.js",
     "test-server": "npm run build-ts && node server-tests.js",
@@ -44,6 +44,7 @@
     "cookie-parser": "^1.4.3",
     "core-js": "^2.6.1",
     "d3fc-financial-feed": "^3.0.0",
+    "elliptic": "^6.5.4",
     "errorhandler": "^1.5.0",
     "errors": "^0.3.0",
     "eslint": "^6.8.0",
@@ -76,7 +77,10 @@
     "tslib": "^1.10.0",
     "tulind": "^0.8.15",
     "twilio": "^3.50.0",
+    "typescript": "3.5.3",
+    "websocket-extensions": "^0.1.4",
     "xlsx": "^0.14.2",
+    "y18n": "^4.0.1",
     "yahoo-finance-data": "^3.2.0",
     "zone.js": "^0.9.1"
   },
@@ -107,11 +111,10 @@
     "nodemon": "^1.14.1",
     "protractor": "^5.4.2",
     "ts-node": "^3.3.0",
-    "tslint": "^5.15.0",
-    "typescript": "^3.5.3"
+    "tslint": "^5.15.0"
   },
   "engines": {
-    "node": ">=12.18.3"
+    "node": "12.18.3"
   },
   "babel": {
     "presets": [

package.json

@@ -12,11 +12,14 @@ class AlgoService {
   }
 
   checkVwma(lastClose: number, vwma: number): DaytradeRecommendation {
-    if (lastClose > vwma) {
-      return DaytradeRecommendation.Bearish;
-    } else {
-      return DaytradeRecommendation.Neutral;
+    if (_.isNumber(lastClose) && _.isNumber(vwma)) {
+      if (lastClose >= vwma) {
+        return DaytradeRecommendation.Bullish;
+      } if (lastClose < vwma) {
+        return DaytradeRecommendation.Bearish;
+      }
     }
+    return DaytradeRecommendation.Neutral;
   }
 
   checkMfi(mfi: number): DaytradeRecommendation {
@@ -73,23 +76,24 @@ class AlgoService {
     return counter;
   }
 
-  checkRocCrossover(roc70Previous: number, roc70: number): DaytradeRecommendation {
-    if (roc70Previous > 0 && roc70 < 0) {
+  checkRocCrossover(roc70Previous: number, roc70: number, mfi: number): DaytradeRecommendation {
+    if (roc70Previous > 0 && roc70 < 0 && mfi > 78) {
       return DaytradeRecommendation.Bearish;
     }
-    if (roc70Previous < 0 && roc70 > 0) {
+    if (roc70Previous < 0 && roc70 > 0 && mfi < 23) {
       return DaytradeRecommendation.Bullish;
     }
 
     return DaytradeRecommendation.Neutral;
   }
 
-  checkMfiTrend(mfiPrevious: number, mfi: number): DaytradeRecommendation {
+  checkMfiTrend(mfiPrevious: number, mfi: number, roc10Previous: number, roc10: number): DaytradeRecommendation {
     const change = DecisionService.getPercentChange(mfi, mfiPrevious);
-    if (change > 0.3) {
-      return DaytradeRecommendation.Bearish;
-    } else if (change < -0.3) {
+    const changeRoc = Math.abs(DecisionService.getPercentChange(roc10, roc10Previous));
+    if (change > 0.2 && roc10 > roc10Previous && changeRoc > 0.1) {
       return DaytradeRecommendation.Bullish;
+    } else if (change < -0.2 && roc10Previous > roc10 && changeRoc > 0.1) {
+      return DaytradeRecommendation.Bearish;
     }
 
     return DaytradeRecommendation.Neutral;
@@ -98,12 +102,13 @@ class AlgoService {
   checkMfiDivergence(mfiPrevious: number, mfi: number, roc10Previous: number, roc10: number): DaytradeRecommendation {
     const mfiChange = Math.abs(DecisionService.getPercentChange(mfi, mfiPrevious));
     const roc10Change = Math.abs(DecisionService.getPercentChange(roc10, roc10Previous));
-    if (mfiChange > 0.1 && roc10Change > 0.3 && mfiPrevious < mfi && roc10Previous > roc10) {
-      return DaytradeRecommendation.Bullish;
-    } else if (mfiChange > 0.1 && roc10Change > 0.3 && mfiPrevious > mfi && roc10Previous < roc10) {
-      return DaytradeRecommendation.Bearish;
+    if (mfiChange > 0.18 && roc10Change > 0.1) {
+      if (mfiPrevious < mfi && roc10Previous > roc10) {
+        return DaytradeRecommendation.Bullish;
+      } else if (mfiPrevious > mfi && roc10Previous < roc10) {
+        return DaytradeRecommendation.Bearish;
+      }
     }
-
     return DaytradeRecommendation.Neutral;
   }
 
@@ -121,21 +126,17 @@ class AlgoService {
     return DaytradeRecommendation.Neutral;
   }
 
-  checkMacdDaytrade(indicator: Indicators, roc10Previous: number, roc10: number): DaytradeRecommendation {
-    const macd = indicator.macd[2];
-
-    if (roc10Previous > 0 && roc10 < 0) {
-      if (macd[macd.length - 1] <= 0) {
-        return DaytradeRecommendation.Bearish;
-      }
-    }
+  checkMacdDaytrade(currentMacd: any, previousMacd: any): DaytradeRecommendation {
+    if (previousMacd) {
+      const macd = currentMacd[2];
+      const prevMacd = previousMacd[2];
 
-    if (roc10Previous < 0 && roc10 > 0) {
-      if (macd[macd.length - 1] > 0) {
+      if (macd[macd.length - 1] > 0 && prevMacd[prevMacd.length - 1] <= 0) {
         return DaytradeRecommendation.Bullish;
+      } else if (macd[macd.length - 1] <= 0 && prevMacd[prevMacd.length - 1] > 0) {
+        return DaytradeRecommendation.Bearish;
       }
     }
-
     return DaytradeRecommendation.Neutral;
   }
 

server/api/backtest/algo.service.ts

@@ -225,7 +225,7 @@ class BacktestController extends BaseController {
   }
 
   getDaytradeIndicators(request, response) {
-    BacktestService.getDaytradeIndicators(request.body.quotes, request.body.period)
+    BacktestService.getCurrentDaytradeIndicators(request.body.symbol, request.body.period)
       .then((data) => BaseController.requestGetSuccessHandler(response, data))
       .catch((err) => BaseController.requestErrorHandler(response, err));
   }
@@ -238,23 +238,24 @@ class BacktestController extends BaseController {
       !request.body.parameters) {
       return response.status(Boom.badRequest().output.statusCode).send(Boom.badRequest().output);
     }
-    response.status(200).send(BacktestService.runDaytradeBacktest(request.body.symbol,
+    BacktestService.runDaytradeBacktest(request.body.symbol,
       request.body.currentDate,
       request.body.startDate,
-      request.body.parameters));
+      request.body.parameters)
+      .then((data) => BaseController.requestGetSuccessHandler(response, data))
+      .catch((err) => BaseController.requestErrorHandler(response, err));
   }
 
-  getDaytrade(request, response) {
+  getCurrentDaytrade(request, response) {
     if (_.isEmpty(request.body) ||
-      !request.body.indicators ||
-      !request.body.parameters) {
+      !request.body.symbol) {
       return response.status(Boom.badRequest().output.statusCode).send(Boom.badRequest().output);
     }
-    BacktestService.getDaytrade(request.body.price,
+    BacktestService.getCurrentDaytrade(
+      request.body.symbol,
+      request.body.price,
       request.body.paidPrice,
-      request.body.indicators,
       request.body.parameters, response);
-
   }
 
   calibrateDaytrade(request, response) {