Stop loss strategy added. (#203)

# Describe Request Stop loss strategy added. # Change Type New strategy.
cinar · Sep 1, 2024 · 23c7b8d · 23c7b8d
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diff --git a/README.md b/README.md
@@ -158,6 +158,7 @@ Decorator strategies offer a way to alter the recommendations of other strategie
 
 -   [Inverse Strategy](strategy/decorator/README.md#type-inversestrategy)
 -   [No Loss Strategy](strategy/decorator/README.md#type-nolossstrategy)
+-   [Stop Loss Strategy](strategy/decorator/README.md#type-stoplossstrategy)
 
 🗃 Repositories
 --------------

diff --git a/strategy/decorator/README.md b/strategy/decorator/README.md
@@ -34,6 +34,11 @@ The information provided on this project is strictly for informational purposes
   - [func \(n \*NoLossStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#NoLossStrategy.Compute>)
   - [func \(n \*NoLossStrategy\) Name\(\) string](<#NoLossStrategy.Name>)
   - [func \(n \*NoLossStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#NoLossStrategy.Report>)
+- [type StopLossStrategy](<#StopLossStrategy>)
+  - [func NewStopLossStrategy\(innerStrategy strategy.Strategy, percentage float64\) \*StopLossStrategy](<#NewStopLossStrategy>)
+  - [func \(s \*StopLossStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#StopLossStrategy.Compute>)
+  - [func \(s \*StopLossStrategy\) Name\(\) string](<#StopLossStrategy.Name>)
+  - [func \(s \*StopLossStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#StopLossStrategy.Report>)
 
 
 <a name="InverseStrategy"></a>
@@ -136,4 +141,57 @@ func (n *NoLossStrategy) Report(c <-chan *asset.Snapshot) *helper.Report
 
 Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
 
+<a name="StopLossStrategy"></a>
+## type [StopLossStrategy](<https://github.com/cinar/indicator/blob/master/strategy/decorator/stop_loss_strategy.go#L16-L24>)
+
+StopLossStrategy prevents a loss by recommending a sell action when the assets drops below the given threshold.
+
+```go
+type StopLossStrategy struct {
+    strategy.Strategy
+
+    // InnertStrategy is the inner strategy.
+    InnertStrategy strategy.Strategy
+
+    // Percentage is the loss threshold in percentage.
+    Percentage float64
+}
+```
+
+<a name="NewStopLossStrategy"></a>
+### func [NewStopLossStrategy](<https://github.com/cinar/indicator/blob/master/strategy/decorator/stop_loss_strategy.go#L27>)
+
+```go
+func NewStopLossStrategy(innerStrategy strategy.Strategy, percentage float64) *StopLossStrategy
+```
+
+NewStopLossStrategy function initializes a new stop loss strategy instance.
+
+<a name="StopLossStrategy.Compute"></a>
+### func \(\*StopLossStrategy\) [Compute](<https://github.com/cinar/indicator/blob/master/strategy/decorator/stop_loss_strategy.go#L40>)
+
+```go
+func (s *StopLossStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action
+```
+
+Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
+
+<a name="StopLossStrategy.Name"></a>
+### func \(\*StopLossStrategy\) [Name](<https://github.com/cinar/indicator/blob/master/strategy/decorator/stop_loss_strategy.go#L35>)
+
+```go
+func (s *StopLossStrategy) Name() string
+```
+
+Name returns the name of the strategy.
+
+<a name="StopLossStrategy.Report"></a>
+### func \(\*StopLossStrategy\) [Report](<https://github.com/cinar/indicator/blob/master/strategy/decorator/stop_loss_strategy.go#L65>)
+
+```go
+func (s *StopLossStrategy) Report(c <-chan *asset.Snapshot) *helper.Report
+```
+
+Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
+
 Generated by [gomarkdoc](<https://github.com/princjef/gomarkdoc>)
diff --git a/strategy/decorator/stop_loss_strategy.go b/strategy/decorator/stop_loss_strategy.go
@@ -0,0 +1,84 @@
+// Copyright (c) 2021-2024 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package decorator
+
+import (
+	"fmt"
+
+	"github.com/cinar/indicator/v2/asset"
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/strategy"
+)
+
+// StopLossStrategy prevents a loss by recommending a sell action when the assets drops below the given threshold.
+type StopLossStrategy struct {
+	strategy.Strategy
+
+	// InnertStrategy is the inner strategy.
+	InnertStrategy strategy.Strategy
+
+	// Percentage is the loss threshold in percentage.
+	Percentage float64
+}
+
+// NewStopLossStrategy function initializes a new stop loss strategy instance.
+func NewStopLossStrategy(innerStrategy strategy.Strategy, percentage float64) *StopLossStrategy {
+	return &StopLossStrategy{
+		InnertStrategy: innerStrategy,
+		Percentage:     percentage,
+	}
+}
+
+// Name returns the name of the strategy.
+func (s *StopLossStrategy) Name() string {
+	return fmt.Sprintf("Stop Loss Strategy (%s)", s.InnertStrategy.Name())
+}
+
+// Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
+func (s *StopLossStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action {
+	snapshotsSplice := helper.Duplicate(snapshots, 2)
+
+	innerActions := s.InnertStrategy.Compute(snapshotsSplice[0])
+	closings := asset.SnapshotsAsClosings(snapshotsSplice[1])
+	stopLossAt := 0.0
+
+	return helper.Operate(innerActions, closings, func(action strategy.Action, closing float64) strategy.Action {
+		// If action is Buy and the asset is not yet bought, buy it as recommended.
+		if action == strategy.Buy && stopLossAt == 0.0 {
+			stopLossAt = closing * (1 - s.Percentage)
+			return strategy.Buy
+		}
+
+		// If asset is bought and action is sell or closing is less than or equal to stop loss at, recommend sell.
+		if stopLossAt != 0 && (action == strategy.Sell || closing <= stopLossAt) {
+			stopLossAt = 0.0
+			return strategy.Sell
+		}
+
+		return strategy.Hold
+	})
+}
+
+// Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
+func (s *StopLossStrategy) Report(c <-chan *asset.Snapshot) *helper.Report {
+	snapshots := helper.Duplicate(c, 3)
+
+	dates := asset.SnapshotsAsDates(snapshots[0])
+	closings := asset.SnapshotsAsClosings(snapshots[1])
+
+	actions, outcomes := strategy.ComputeWithOutcome(s, snapshots[2])
+	annotations := strategy.ActionsToAnnotations(actions)
+	outcomes = helper.MultiplyBy(outcomes, 100)
+
+	report := helper.NewReport(s.Name(), dates)
+	report.AddChart()
+
+	report.AddColumn(helper.NewNumericReportColumn("Close", closings))
+	report.AddColumn(helper.NewAnnotationReportColumn(annotations))
+
+	report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 1)
+
+	return report
+}
diff --git a/strategy/decorator/stop_loss_strategy_test.go b/strategy/decorator/stop_loss_strategy_test.go
@@ -0,0 +1,60 @@
+// Copyright (c) 2021-2024 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package decorator_test
+
+import (
+	"os"
+	"testing"
+
+	"github.com/cinar/indicator/v2/asset"
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/strategy"
+	"github.com/cinar/indicator/v2/strategy/decorator"
+	"github.com/cinar/indicator/v2/strategy/trend"
+)
+
+func TestStopLossStrategy(t *testing.T) {
+	snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	results, err := helper.ReadFromCsvFile[strategy.Result]("testdata/stop_loss_strategy.csv", true)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	expected := helper.Map(results, func(r *strategy.Result) strategy.Action { return r.Action })
+
+	innerStrategy := trend.NewAroonStrategy()
+	strategy := decorator.NewStopLossStrategy(innerStrategy, 0.02)
+
+	actual := strategy.Compute(snapshots)
+
+	err = helper.CheckEquals(actual, expected)
+	if err != nil {
+		t.Fatal(err)
+	}
+}
+
+func TestStopLossStrategyReport(t *testing.T) {
+	snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	innerStrategy := trend.NewAroonStrategy()
+	strategy := decorator.NewStopLossStrategy(innerStrategy, 0.02)
+
+	report := strategy.Report(snapshots)
+
+	fileName := "stop_loss_strategy.html"
+	defer os.Remove(fileName)
+
+	err = report.WriteToFile(fileName)
+	if err != nil {
+		t.Fatal(err)
+	}
+}