Gekko 交易機器人 - TEMA 策略 (Triple EMA strategy)，附帶有安全網機制 (SafetyNet) 來避免在熊市被套牢

這是一個以 EMA (指數移動平均) 決定做多做空的交易策略，但當短期趨勢超過了 EMA 線則會在上方使用一個更長時間的 SMA (簡單移動平均) 作為整個交易系統的安全網 (SafetyNet)，在短期的 SMA 超越這個安全網前會避免任何可能被套牢的交易。所以簡單理解的概念就是在市場看多的時候進行交易，而市場下跌時則避免摻入其中，但實際上的運作狀況仍然有待測試。

JS Code :
/*
TEMA
Triple EMA strategy with 'safety net'
---
Uses 1x TEMA to go long/short if short trend is over TEMA.
On top of this it uses a longer SMA as a safety net and simple
stays out of the market if short SMA is under that SMA.
---
The general idea is to buy in good market conditions and simply not
be a part of longer downwards trends.
*/

// req's
var log = require ('../core/log.js');
var config = require ('../core/util.js').getConfig();

// strategy
var strat = {


/* INIT */
init: function()
{
// base
this.name = 'TEMA';
this.requiredHistory = config.tradingAdvisor.historySize;
this.debug = false; // outputs messages, set to false to increase performance

// add indicators and reset trend
this.resetTrend();
this.addTulipIndicator('maSlow', 'tema', { optInTimePeriod: this.settings.long });
this.addTulipIndicator('maFast', 'sma', { optInTimePeriod: this.settings.short });

// check if long SMA is to be used
if( this.settings.SMA_long > 0 )
{
this.useSafety = true;
this.addTulipIndicator('maSlowest', 'sma', { optInTimePeriod: this.settings.SMA_long });
}

// set startTime to measure execution time @ end()
this.startTime = new Date();

}, // init()



/* RESET TREND */
resetTrend: function()
{
var trend = {
duration: 0,
direction: 'none',
longPos: false,
};

this.trend = trend;

}, // resetTrend()



/* CHECK */
check: function()
{
// do nothing if we don't got enough history
if( this.candle.close.length < this.requiredHistory ) return;

// fetch indicators
let ti = this.tulipIndicators;
let maFast = ti.maFast.result.result,
maSlow = ti.maSlow.result.result;


// check if safety option > 0
if( this.useSafety )
{
let maSlowest = ti.maSlowest.result.result;
if( maSlow < maSlowest )
{
this.short();
return; // quit
}
}

// other rules
if( maFast > maSlow ) { this.long(); }
else if( maFast < maSlow ) { this.short(); }

}, // check()



/* LONG */
long: function()
{
if( this.trend.direction !== 'up' )
{
this.resetTrend();
this.trend.direction = 'up';
this.advice('long');
}

if( this.debug )
{
this.trend.duration++;
log.debug ('Positive since', this.trend.duration, 'candle(s)');
}
},



/* SHORT */
short: function()
{
if( this.trend.direction !== 'down' )
{
this.resetTrend();
this.trend.direction = 'down';
this.advice('short');
}

if( this.debug )
{
this.trend.duration++;
log.debug ('Negative since', this.trend.duration, 'candle(s)');
}
},


/* END */
end: function()
{
let seconds = ((new Date()- this.startTime)/1000),
minutes = seconds/60,
str;

minutes < 1 ? str = seconds + ' seconds' : str = minutes + ' minutes';

log.debug('Finished in ' + str);
}

}; // strat{}



/* EXPORT */
module.exports = strat;
Toml Code : 
# Short / Long (EMA/TEMA)
short = 10
long = 80

# Safety (SMA, 0 = disable)
SMA_long = 200

其實安全網本身是可以關掉的，可以測試看看不同的參數和開關的差異。