feat(strategy): include turtle trading strategy (#109)

examples/strategies/emacross.go

@@ -28,6 +28,7 @@ func (e *CrossEMA) OnCandle(df *ninjabot.Dataframe, broker service.Broker) {
 	assetPosition, quotePosition, err := broker.Position(df.Pair)
 	if err != nil {
 		log.Error(err)
+		return
 	}
 
 	if quotePosition > 10 && df.Metadata["ema8"].Crossover(df.Metadata["ema21"]) {

examples/strategies/ocosell.go

@@ -38,6 +38,7 @@ func (e *OCOSell) OnCandle(df *model.Dataframe, broker service.Broker) {
 	assetPosition, quotePosition, err := broker.Position(df.Pair)
 	if err != nil {
 		log.Error(err)
+		return
 	}
 
 	buyAmount := 4000.0

examples/strategies/turtle.go

@@ -0,0 +1,66 @@
+package strategies
+
+import (
+	"github.com/rodrigo-brito/ninjabot"
+	"github.com/rodrigo-brito/ninjabot/service"
+
+	"github.com/markcheno/go-talib"
+	log "github.com/sirupsen/logrus"
+)
+
+// https://www.investopedia.com/articles/trading/08/turtle-trading.asp
+type Turtle struct{}
+
+func (e Turtle) Timeframe() string {
+	return "4h"
+}
+
+func (e Turtle) WarmupPeriod() int {
+	return 40
+}
+
+func (e Turtle) Indicators(df *ninjabot.Dataframe) {
+	df.Metadata["turtleHighest"] = talib.Max(df.Close, 40)
+	df.Metadata["turtleLowest"] = talib.Min(df.Close, 20)
+}
+
+func (e *Turtle) OnCandle(df *ninjabot.Dataframe, broker service.Broker) {
+	closePrice := df.Close.Last(0)
+	highest := df.Metadata["turtleHighest"].Last(0)
+	lowest := df.Metadata["turtleLowest"].Last(0)
+
+	assetPosition, quotePosition, err := broker.Position(df.Pair)
+	if err != nil {
+		log.Error(err)
+		return
+	}
+
+	// If position already open wait till it will be closed
+	if assetPosition == 0 && closePrice >= highest {
+		_, err := broker.CreateOrderMarketQuote(ninjabot.SideTypeBuy, df.Pair, quotePosition/2)
+		if err != nil {
+			log.WithFields(map[string]interface{}{
+				"pair":  df.Pair,
+				"side":  ninjabot.SideTypeBuy,
+				"close": closePrice,
+				"asset": assetPosition,
+				"quote": quotePosition,
+			}).Error(err)
+		}
+		return
+	}
+
+	if assetPosition > 0 && closePrice <= lowest {
+		_, err := broker.CreateOrderMarket(ninjabot.SideTypeSell, df.Pair, assetPosition)
+		if err != nil {
+			log.WithFields(map[string]interface{}{
+				"pair":  df.Pair,
+				"side":  ninjabot.SideTypeSell,
+				"close": closePrice,
+				"asset": assetPosition,
+				"quote": quotePosition,
+				"size":  assetPosition,
+			}).Error(err)
+		}
+	}
+}