Mutation of nested parameters about gekkoga

[talentoscope]

I don't see any change in the strategy code above other than the name. Were there some other changes that were made?

[rdetwiler]

Can you share your code changes with us?

[mkondel]

var _ = require('lodash');
var log = require('../core/log.js');

var method = {};
method.init = function() {
    // strat name
    this.name = 'tulip-mega-strat';
    // trend information
    this.trend = 'none'
    // tulip indicators use this sometimes
    this.requiredHistory = this.settings.historySize;
    // define the indicators we need
    this.addTulipIndicator('myadx', 'adx', this.settings);
    this.addTulipIndicator('mymacd', 'macd', this.settings);
}

// what happens on every new candle?
method.update = function(candle) {
    // tulip results
    this.adx = this.tulipIndicators.myadx.result.result;
    this.macd = this.tulipIndicators.mymacd.result.macdHistogram;
}
// for debugging purposes log the last
// calculated parameters.
method.log = function() {
    log.debug(
`---------------------
Tulip ADX: ${this.adx}
Tulip MACD: ${this.macd}
`);
}

method.check = function() {
    // just add a long and short to each array when new indicators are used
    const all_long = [
        this.adx > this.settings.up && this.trend!=='long',
        this.settings.macd_up < this.macd && this.trend!=='long',
    ].reduce((total, long)=>long && total, true)
    const all_short = [
        this.adx < this.settings.down && this.trend!=='short',
        this.settings.macd_down > this.macd && this.trend!=='short',
    ].reduce((total, long)=>long && total, true)

    // combining all indicators with AND
    if(all_long){
        log.debug(`tulip-mega-strat In low`);
        this.advice('long');
    }else if(all_short){
        log.debug(`tulip-mega-strat In high`);
        this.advice('short');
    }else{
        log.debug(`tulip-mega-strat In no trend`);
        this.advice();
    }
}

module.exports = method;

[KittenLandmine]

Is there a more elegant way of modifying the GekkoGA code instead of having to flatten all the indicators and strategies?

[mkondel]

@KittenLandmine, you can implement something that parses the config and builds the needed object.

[viking76]

Great i understand now, why my tulind mutlistrad doesn't wan to work thanks a lot mr mkondel

[trainerbill]

So if I wanted to test for StochRSI what would the getProperties be? I currently have

getProperties: () => ({
    // Strat settings must be flattened and cannot be nested for mutation to work properly!

    historySize: randomExt.integer(100, 20),

    interval: randomExt.integer(10, 2),
    low: randomExt.integer(30, 15),
    high: randomExt.integer(85, 75),
    persistence: randomExt.integer(10, 2),
    candleSize: config.candleValues[randomExt.integer(config.candleValues.length -1, 0)]

  })

but am getting an error

TypeError: Cannot read property 'high' of undefined
    at Base.method.check (/home/athroener/gekko/strategies/StochRSI.js:64:46)
    at Base.bound [as check] (/home/athroener/gekko/node_modules/lodash/dist/lodash.js:729:21)
    at Base.propogateTick (/home/athroener/gekko/plugins/tradingAdvisor/baseTradingMethod.js:233:10)
    at Base.bound [as propogateTick] (/home/athroener/gekko/node_modules/lodash/dist/lodash.js:729:21)
    at Base.tick (/home/athroener/gekko/plugins/tradingAdvisor/baseTradingMethod.js:150:10)
    at Base.bound [as tick] (/home/athroener/gekko/node_modules/lodash/dist/lodash.js:729:21)
    at Actor.processCustomCandle (/home/athroener/gekko/plugins/tradingAdvisor/tradingAdvisor.js:79:15)
    at CandleBatcher.bound (/home/athroener/gekko/node_modules/lodash/dist/lodash.js:729:21)
    at emitOne (events.js:115:13)
    at CandleBatcher.emit (events.js:210:7)
--> in Database#all('\n    SELECT * from candles_BTC_TRX\n    WHERE start <= 1515894779 AND start >= 1515891780\n    ORDER BY start ASC\n  ', [Function])
    at Reader.get (/home/athroener/gekko/plugins/sqlite/reader.js:98:11)
    at Reader.bound [as get] (/home/athroener/gekko/node_modules/lodash/dist/lodash.js:729:21)
    at Market.get (/home/athroener/gekko/core/markets/backtest.js:61:15)
    at Market.bound [as get] (/home/athroener/gekko/node_modules/lodash/dist/lodash.js:729:21)
    at Market.processCandles (/home/athroener/gekko/core/markets/backtest.js:105:10)
    at bound (/home/athroener/gekko/node_modules/lodash/dist/lodash.js:729:21)
    at Statement.<anonymous> (/home/athroener/gekko/plugins/sqlite/reader.js:108:5)

which I am guessing is because threshold is undefinded.

[generalectric]

For help getting it running I recommend dropping by our discord server https://discord.gg/cj34wxw

[trainerbill]

Thanks for the invite! I ended up copying the default strategy in gekko and flattening the threshold object like @mkondel said. Just took a bit to figure out what he was talking about :)

[astepanov256]

My solution was to use one of many "flattening" modules available on NPM and tweak mutate() and crossover() so that the input objects would be flattened and then once the mutations are calculated, "unflattened" to their original shape. Seems to work just fine so far, and accommodates for practically any shape of the params

[H256]

Should be solved with #34 . @astepanov256 's approach is used here ;)

[generalectric]

@H256 have you tested this nested more than 1 level deep? I ended up with only the first element mutating for some reason though it could have been an operator error...

trend: {
  accumulate: {
    up: 0.3,
    down: -0.3
  }
}

[H256]

@generalectric I've tested it with something like this:

getProperties: () => ({
    historySize: randomExt.integer(100, 20),
    weight: randomExt.integer(35, 5),
    thresholds: {
      down: randomExt.float(0, -0.3),
      up: randomExt.float(0.3, 0)
    },
    // Nested Parameters
    testMutation: {
      one: {
        two: randomExt.integer(35, 5),
        three: { number: randomExt.integer(35, 5)}
      },
      four:randomExt.float(0.3, 0)
    },

    candleSize: config.candleValues[randomExt.integer(config.candleValues.length - 1, 0)]

  })

The first generation gives me:

 { historySize: 60,
  weight: 28,
  thresholds: { down: -0.230725980037592, up: 0.02893010413118295 },
  testMutation: { one: { two: 22, three: [Object] }, four: 0.21912992458765415 },
  candleSize: 15 }

the next epoch, it has changed to

   { historySize: 33,
  weight: 30,
  thresholds: { down: -0.2351412333200722, up: 0.007525782034289929 },
  testMutation: { one: { two: 17, three: [Object] }, four: 0.11544516373376212 },
  candleSize: 30 }

So I assumed, that it works ;)

[generalectric]

@H256 I appreciate you buddy, thanks for your contribution.