obv_pump_dump.js

'use strict';

let SignalResult = require('../dict/signal_result')

module.exports = class {
    getName() {
        return 'obv_pump_dump'
    }

    buildIndicator(indicatorBuilder, options) {
        indicatorBuilder.add('obv', 'obv', '1m')

        indicatorBuilder.add('ema', 'ema', '1m', {
            'length': 200,
        })
    }

    async period(indicatorPeriod, options) {
        let triggerMultiplier = options['trigger_multiplier'] || 2
        let triggerTimeWindows = options['trigger_time_windows'] || 3

        let obv = indicatorPeriod.getIndicator('obv')

        if (!obv || obv.length <= 20) {
            return
        }

        let price = indicatorPeriod.getPrice()
        let ema = indicatorPeriod.getIndicator('ema').slice(-1)[0];

        let debug = {
            'obv': obv.slice(-1)[0],
            'ema': ema,
        }

        if (price > ema) {
            // long
            debug['trend'] = 'up'

            let before = obv.slice(-20, triggerTimeWindows * -1)

            let highest = before.sort((a, b) => b - a).slice(0, triggerTimeWindows)
            let highestOverage = highest.reduce((a, b) => a + b, 0) / highest.length

            let current = obv.slice(triggerTimeWindows * -1)

            let currentAverage = current.reduce((a, b) => a + b, 0) / current.length

            debug['highest_overage'] = highestOverage
            debug['current_average'] = currentAverage

            if (currentAverage < highestOverage) {
                return SignalResult.createEmptySignal(debug)
            }

            let difference = Math.abs(currentAverage / highestOverage)

            debug['difference'] = difference

            if(difference >= triggerMultiplier) {
                return SignalResult.createSignal('long', debug)
            }
        } else {
            // short
            debug['trend'] = 'down'
        }

        return SignalResult.createEmptySignal(debug)
    }

    getOptions() {
        return {
            'period': '15m',
            'trigger_multiplier': 2,
            'trigger_time_windows': 3,
        }
    }
}