Optimize strategies (#23)
* Update Tradingbox + set limit price * Change discord message
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Oda
@@ -7,23 +7,82 @@ using static Managing.Common.Enums;
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namespace Managing.Domain.Shared.Helpers;
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/// <summary>
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/// Configuration for strategy combination logic
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/// </summary>
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public class StrategyComboConfig
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{
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/// <summary>
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/// Minimum percentage of trend strategies that must agree for strong trend (default: 66%)
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/// </summary>
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public decimal TrendStrongAgreementThreshold { get; set; } = 0.66m;
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/// <summary>
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/// Minimum percentage of signal strategies that must agree (default: 50%)
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/// </summary>
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public decimal SignalAgreementThreshold { get; set; } = 0.5m;
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/// <summary>
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/// Whether to allow signal strategies to override conflicting trends (default: true)
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/// This is useful for trend reversal signals
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/// </summary>
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public bool AllowSignalTrendOverride { get; set; } = true;
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/// <summary>
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/// Minimum confidence level to return a signal (default: Low)
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/// </summary>
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public Confidence MinimumConfidence { get; set; } = Confidence.Low;
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/// <summary>
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/// Minimum confidence level required from context strategies (default: Medium)
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/// Context strategies evaluate market conditions - higher requirements mean more conservative trading
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/// </summary>
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public Confidence MinimumContextConfidence { get; set; } = Confidence.Medium;
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/// <summary>
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/// Default exchange to use when signals don't specify one
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/// </summary>
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public TradingExchanges DefaultExchange { get; set; } = TradingExchanges.Binance;
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}
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public static class TradingBox
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{
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private static readonly StrategyComboConfig _defaultConfig = new();
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public static Signal GetSignal(HashSet<Candle> newCandles, HashSet<IStrategy> strategies,
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HashSet<Signal> previousSignal, int? loopbackPeriod = 1)
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{
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return GetSignal(newCandles, strategies, previousSignal, _defaultConfig, loopbackPeriod);
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}
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public static Signal GetSignal(HashSet<Candle> newCandles, HashSet<IStrategy> strategies,
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HashSet<Signal> previousSignal, StrategyComboConfig config, int? loopbackPeriod = 1)
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{
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var signalOnCandles = new HashSet<Signal>();
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var limitedCandles = newCandles.ToList().TakeLast(600).ToList();
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foreach (var strategy in strategies)
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{
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strategy.UpdateCandles(limitedCandles.ToHashSet());
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var signals = strategy.Run();
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if (signals == null || signals.Count == 0) continue;
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if (signals == null || signals.Count == 0)
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{
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// For trend and context strategies, lack of signal might be meaningful
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// Signal strategies are expected to be sparse, so we continue
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if (strategy.SignalType == SignalType.Signal)
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{
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continue;
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}
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// For trend strategies, no signal might mean neutral trend
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// For context strategies, no signal might mean no restrictions
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// We'll let the ComputeSignals method handle these cases
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continue;
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}
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// Ensure limitedCandles is ordered chronologically
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var orderedCandles = limitedCandles.OrderBy(c => c.Date).ToList();
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var loopback = loopbackPeriod.HasValue && loopbackPeriod > 1 ? loopbackPeriod.Value : 1;
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var candleLoopback = orderedCandles.TakeLast(loopback).ToList();
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@@ -49,63 +108,208 @@ public static class TradingBox
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}
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}
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if (signalOnCandles.Count != strategies.Count)
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return null;
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// Remove the restrictive requirement that ALL strategies must produce signals
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// Instead, let ComputeSignals handle the logic based on what we have
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if (!signalOnCandles.Any())
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{
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return null; // No signals from any strategy
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}
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var data = newCandles.First();
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return ComputeSignals(strategies, signalOnCandles, MiscExtensions.ParseEnum<Ticker>(data.Ticker),
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data.Timeframe);
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data.Timeframe, config);
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}
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public static Signal ComputeSignals(HashSet<IStrategy> strategies, HashSet<Signal> signalOnCandles, Ticker ticker,
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Timeframe timeframe)
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{
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Signal signal = null;
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if (strategies.Count > 1)
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{
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var trendSignal = signalOnCandles.Where(s => s.SignalType == SignalType.Trend).ToList();
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var signals = signalOnCandles.Where(s => s.SignalType == SignalType.Signal).ToList();
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var contextStrategiesCount = strategies.Count(s => s.SignalType == SignalType.Context);
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var validContext = true;
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return ComputeSignals(strategies, signalOnCandles, ticker, timeframe, _defaultConfig);
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}
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if (contextStrategiesCount > 0 &&
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signalOnCandles.Count(s => s.SignalType == SignalType.Context) != contextStrategiesCount)
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{
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validContext = false;
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}
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if (signals.All(s => s.Direction == TradeDirection.Long) &&
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trendSignal.All(t => t.Direction == TradeDirection.Long) && validContext)
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{
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signal = new Signal(
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ticker,
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TradeDirection.Long,
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Confidence.High,
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signals.Last().Candle,
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signals.Last().Date,
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signals.Last().Exchange,
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StrategyType.Composite, SignalType.Signal);
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}
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else if (signals.All(s => s.Direction == TradeDirection.Short) &&
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trendSignal.All(t => t.Direction == TradeDirection.Short) && validContext)
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{
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signal = new Signal(
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ticker,
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TradeDirection.Short,
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Confidence.High,
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signals.Last().Candle,
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signals.Last().Date,
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signals.Last().Exchange,
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StrategyType.Composite, SignalType.Signal);
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}
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}
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else
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public static Signal ComputeSignals(HashSet<IStrategy> strategies, HashSet<Signal> signalOnCandles, Ticker ticker,
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Timeframe timeframe, StrategyComboConfig config)
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{
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if (strategies.Count == 1)
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{
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// Only one strategy, we just add the single signal to the bot
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signal = signalOnCandles.Single();
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// Only one strategy, return the single signal
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return signalOnCandles.Single();
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}
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return signal;
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// Group signals by type for analysis
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var signalStrategies = signalOnCandles.Where(s => s.SignalType == SignalType.Signal).ToList();
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var trendStrategies = signalOnCandles.Where(s => s.SignalType == SignalType.Trend).ToList();
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var contextStrategies = signalOnCandles.Where(s => s.SignalType == SignalType.Context).ToList();
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// Context validation - evaluates market conditions based on confidence levels
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if (!ValidateContextStrategies(strategies, contextStrategies, config))
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{
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return null; // Context strategies are blocking the trade
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}
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// Trend analysis - evaluate overall market direction
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var trendDirection = EvaluateTrendDirection(trendStrategies, config);
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// Signal analysis - evaluate entry signals
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var signalDirection = EvaluateSignalDirection(signalStrategies, config);
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// Determine final direction and confidence
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var (finalDirection, confidence) = DetermineFinalSignal(signalDirection, trendDirection, signalStrategies, trendStrategies, config);
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if (finalDirection == TradeDirection.None || confidence < config.MinimumConfidence)
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{
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return null; // No valid signal or below minimum confidence
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}
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// Create composite signal
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var lastSignal = signalStrategies.LastOrDefault() ?? trendStrategies.LastOrDefault() ?? contextStrategies.LastOrDefault();
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return new Signal(
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ticker,
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finalDirection,
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confidence,
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lastSignal?.Candle,
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lastSignal?.Date ?? DateTime.UtcNow,
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lastSignal?.Exchange ?? config.DefaultExchange,
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StrategyType.Composite,
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SignalType.Signal);
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}
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/// <summary>
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/// Validates context strategies based on confidence levels indicating market condition quality
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/// </summary>
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private static bool ValidateContextStrategies(HashSet<IStrategy> allStrategies, List<Signal> contextSignals, StrategyComboConfig config)
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{
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var contextStrategiesCount = allStrategies.Count(s => s.SignalType == SignalType.Context);
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if (contextStrategiesCount == 0)
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{
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return true; // No context strategies, no restrictions
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}
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// Check if we have signals from all context strategies
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if (contextSignals.Count != contextStrategiesCount)
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{
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return false; // Missing context information
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}
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// All context strategies must meet minimum confidence requirements
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// This ensures market conditions are suitable for trading
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return contextSignals.All(s => s.Confidence >= config.MinimumContextConfidence);
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}
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/// <summary>
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/// Evaluates trend direction using majority voting with neutral handling
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/// </summary>
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private static TradeDirection EvaluateTrendDirection(List<Signal> trendSignals, StrategyComboConfig config)
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{
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if (!trendSignals.Any())
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{
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return TradeDirection.None; // No trend information available
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}
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var longCount = trendSignals.Count(s => s.Direction == TradeDirection.Long);
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var shortCount = trendSignals.Count(s => s.Direction == TradeDirection.Short);
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var neutralCount = trendSignals.Count(s => s.Direction == TradeDirection.None);
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// Strong trend agreement using configurable threshold
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var totalTrend = trendSignals.Count;
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if (longCount > totalTrend * config.TrendStrongAgreementThreshold)
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return TradeDirection.Long;
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if (shortCount > totalTrend * config.TrendStrongAgreementThreshold)
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return TradeDirection.Short;
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// Moderate trend agreement (> 50% but <= strong threshold)
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if (longCount > shortCount && longCount > neutralCount)
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return TradeDirection.Long;
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if (shortCount > longCount && shortCount > neutralCount)
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return TradeDirection.Short;
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// No clear trend or too many neutrals
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return TradeDirection.None;
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}
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/// <summary>
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/// Evaluates signal direction using weighted majority voting
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/// </summary>
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private static TradeDirection EvaluateSignalDirection(List<Signal> signalStrategies, StrategyComboConfig config)
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{
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if (!signalStrategies.Any())
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{
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return TradeDirection.None; // No signal strategies
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}
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// For signal strategies, we need stronger agreement since they're rare and should be precise
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var longCount = signalStrategies.Count(s => s.Direction == TradeDirection.Long);
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var shortCount = signalStrategies.Count(s => s.Direction == TradeDirection.Short);
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// Use configurable agreement threshold for signals
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var totalSignals = signalStrategies.Count;
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if (longCount > totalSignals * config.SignalAgreementThreshold)
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return TradeDirection.Long;
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if (shortCount > totalSignals * config.SignalAgreementThreshold)
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return TradeDirection.Short;
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return TradeDirection.None;
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}
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/// <summary>
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/// Determines final signal direction and confidence based on signal and trend analysis
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/// </summary>
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private static (TradeDirection Direction, Confidence Confidence) DetermineFinalSignal(
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TradeDirection signalDirection,
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TradeDirection trendDirection,
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List<Signal> signalStrategies,
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List<Signal> trendStrategies,
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StrategyComboConfig config)
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{
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// Priority 1: If we have signal strategies, they take precedence
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if (signalDirection != TradeDirection.None)
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{
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// Signal strategies have fired - check if trend supports or conflicts
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if (trendDirection == signalDirection)
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{
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// Perfect alignment - signal and trend agree
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return (signalDirection, Confidence.High);
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}
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else if (trendDirection == TradeDirection.None)
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{
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// No trend information or neutral trend - medium confidence
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return (signalDirection, Confidence.Medium);
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}
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else if (config.AllowSignalTrendOverride)
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{
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// Trend conflicts with signal but we allow override
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// This could be a trend reversal signal
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return (signalDirection, Confidence.Low);
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}
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else
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{
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// Trend conflicts and we don't allow override
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return (TradeDirection.None, Confidence.None);
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}
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}
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// Priority 2: Only trend strategies available
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if (trendDirection != TradeDirection.None)
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{
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// Calculate confidence based on trend strength
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var totalTrend = trendStrategies.Count;
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var majorityDirection = trendDirection == TradeDirection.Long
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? trendStrategies.Count(s => s.Direction == TradeDirection.Long)
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: trendStrategies.Count(s => s.Direction == TradeDirection.Short);
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var agreementPercentage = (decimal)majorityDirection / totalTrend;
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if (agreementPercentage >= 0.8m)
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return (trendDirection, Confidence.High);
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else if (agreementPercentage >= config.TrendStrongAgreementThreshold)
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return (trendDirection, Confidence.Medium);
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else
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return (trendDirection, Confidence.Low);
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}
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// No valid signal found
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return (TradeDirection.None, Confidence.None);
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}
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public static MoneyManagement GetBestMoneyManagement(List<Candle> candles, List<Position> positions,
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