Merge branch 'main' into strategy/pivotshort

2024-11-22 06:53:52 +00:00 · 2022-07-12 23:38:23 +08:00 · 2022-07-12 23:38:23 +08:00 · 8119afbb44
commit 8119afbb44
parent ba74e83552 36857bd142
63 changed files with 1203 additions and 272 deletions
--- a/.gitignore
+++ b/.gitignore
@ -32,6 +32,8 @@

 /config/bbgo.yaml

+/localconfig
+
 /pkg/server/assets.go

 bbgo.sqlite3
--- a/apps/backtest-report/components/TradingViewChart.tsx
+++ b/apps/backtest-report/components/TradingViewChart.tsx
@ -113,6 +113,19 @@ const fetchPositionHistory = (basePath: string, runID: string, filename: string)
    });
 };

+const selectPositionHistory = (data: PositionHistoryEntry[], since: Date, until: Date): PositionHistoryEntry[] => {
+  const entries: PositionHistoryEntry[] = [];
+  for (let i = 0; i < data.length; i++) {
+    const d = data[i];
+    if (d.time < since || d.time > until) {
+      continue
+    }
+
+    entries.push(d)
+  }
+  return entries
+}
+
 const fetchOrders = (basePath: string, runID: string) => {
  return fetch(
    `${basePath}/${runID}/orders.tsv`,
@ -124,6 +137,19 @@ const fetchOrders = (basePath: string, runID: string) => {
    });
 }

+const selectOrders = (data: Order[], since: Date, until: Date): Order[] => {
+  const entries: Order[] = [];
+  for (let i = 0; i < data.length; i++) {
+    const d = data[i];
+    if (d.time && (d.time < since || d.time > until)) {
+      continue
+    }
+
+    entries.push(d);
+  }
+  return entries
+}
+
 const parseInterval = (s: string) => {
  switch (s) {
    case "1m":
@ -390,7 +416,7 @@ const TradingViewChart = (props: TradingViewChartProps) => {
  const resizeObserver = useRef<any>();
  const intervals = props.reportSummary.intervals || [];

-  intervals.sort((a,b) => {
+  intervals.sort((a, b) => {
    const as = parseInterval(a)
    const bs = parseInterval(b)
    if (as < bs) {
@ -403,7 +429,6 @@ const TradingViewChart = (props: TradingViewChartProps) => {

  const [currentInterval, setCurrentInterval] = useState(intervals.length > 0 ? intervals[intervals.length - 1] : '1m');
  const [showPositionBase, setShowPositionBase] = useState(false);
-  const [showCanceledOrders, setShowCanceledOrders] = useState(false);
  const [showPositionAverageCost, setShowPositionAverageCost] = useState(false);
  const [orders, setOrders] = useState<Order[]>([]);

@ -412,7 +437,6 @@ const TradingViewChart = (props: TradingViewChartProps) => {
    new Date(props.reportSummary.endTime),
  ]
  const [selectedTimeRange, setSelectedTimeRange] = useState(reportTimeRange)
-  const [timeRange, setTimeRange] = useState(reportTimeRange);

  useEffect(() => {
    if (!chartContainerRef.current || chartContainerRef.current.children.length > 0) {
@ -423,7 +447,7 @@ const TradingViewChart = (props: TradingViewChartProps) => {
    const fetchers = [];
    const ordersFetcher = fetchOrders(props.basePath, props.runID).then((orders: Order[] | void) => {
      if (orders) {
-        const markers = ordersToMarkers(currentInterval, orders);
+        const markers = ordersToMarkers(currentInterval, selectOrders(orders, selectedTimeRange[0], selectedTimeRange[1]));
        chartData.orders = orders;
        chartData.markers = markers;
        setOrders(orders);
@ -436,7 +460,8 @@ const TradingViewChart = (props: TradingViewChartProps) => {
      const manifest = props.reportSummary?.manifests[0];
      if (manifest && manifest.type === "strategyProperty" && manifest.strategyProperty === "position") {
        const positionHistoryFetcher = fetchPositionHistory(props.basePath, props.runID, manifest.filename).then((data) => {
-          chartData.positionHistory = data;
+          chartData.positionHistory = selectPositionHistory(data as PositionHistoryEntry[], selectedTimeRange[0], selectedTimeRange[1]);
+          // chartData.positionHistory = data;
        });
        fetchers.push(positionHistoryFetcher);
      }
@ -594,7 +619,7 @@ const TradingViewChart = (props: TradingViewChartProps) => {

      <TimeRangeSlider
        selectedInterval={selectedTimeRange}
-        timelineInterval={timeRange}
+        timelineInterval={reportTimeRange}
        formatTick={(ms: Date) => format(new Date(ms), 'M d HH')}
        step={1000 * parseInterval(currentInterval)}
        onChange={(tr: any) => {
@ -661,12 +686,12 @@ const createLegendUpdater = (legend: HTMLDivElement, prefix: string) => {
  }
 }

-const formatDate = (d : Date) : string => {
+const formatDate = (d: Date): string => {
  return moment(d).format("MMM Do YY hh:mm:ss A Z");
 }

 const createOHLCLegendUpdater = (legend: HTMLDivElement, prefix: string) => {
-  return (param: any, time : any) => {
+  return (param: any, time: any) => {
    if (param) {
      const change = Math.round((param.close - param.open) * 100.0) / 100.0
      const changePercentage = Math.round((param.close - param.open) / param.close * 10000.0) / 100.0;
--- a/config/supertrend.yaml
+++ b/config/supertrend.yaml
@ -19,7 +19,7 @@ backtest:
  # see here for more details
  # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
  startTime: "2022-01-01"
-  endTime: "2022-06-18"
+  endTime: "2022-06-30"
  symbols:
  - BTCUSDT
  accounts:
@ -36,7 +36,12 @@ exchangeStrategies:
    symbol: BTCUSDT

    # interval is how long do you want to update your order price and quantity
-    interval: 1h
+    interval: 5m
+
+    # ATR window used by Supertrend
+    window: 49
+    # ATR Multiplier for calculating super trend prices, the higher, the stronger the trends are
+    supertrendMultiplier: 4

    # leverage is the leverage of the orders
    leverage: 1.0
@ -45,18 +50,31 @@ exchangeStrategies:
    fastDEMAWindow: 144
    slowDEMAWindow: 169

-    # Supertrend indicator parameters
-    superTrend:
-      # ATR window used by Supertrend
-      averageTrueRangeWindow: 39
-      # ATR Multiplier for calculating super trend prices, the higher, the stronger the trends are
-      averageTrueRangeMultiplier: 3
+    # Use linear regression as trend confirmation
+    linearRegression:
+      interval: 5m
+      window: 80

    # TP according to ATR multiple, 0 to disable this
-    takeProfitMultiplier: 3
+    TakeProfitAtrMultiplier: 0

    # Set SL price to the low of the triggering Kline
-    stopLossByTriggeringK: true
+    stopLossByTriggeringK: false

-    # TP/SL by reversed signals
-    tpslBySignal: true
+    # TP/SL by reversed supertrend signal
+    stopByReversedSupertrend: false
+
+    # TP/SL by reversed DEMA signal
+    stopByReversedDema: false
+
+    # TP/SL by reversed linear regression signal
+    stopByReversedLinGre: false
+
+    exits:
+      # roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
+      - roiStopLoss:
+          percentage: 4%
+      - protectiveStopLoss:
+          activationRatio: 3%
+          stopLossRatio: 2%
+          placeStopOrder: false
--- a/doc/commands/bbgo.md
+++ b/doc/commands/bbgo.md
@ -58,4 +58,4 @@ bbgo [flags]
 * [bbgo userdatastream](bbgo_userdatastream.md)	 - Listen to session events (orderUpdate, tradeUpdate, balanceUpdate, balanceSnapshot)
 * [bbgo version](bbgo_version.md)	 - show version name

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_account.md
+++ b/doc/commands/bbgo_account.md
@ -42,4 +42,4 @@ bbgo account [--session SESSION] [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_backtest.md
+++ b/doc/commands/bbgo_backtest.md
@ -51,4 +51,4 @@ bbgo backtest [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_balances.md
+++ b/doc/commands/bbgo_balances.md
@ -41,4 +41,4 @@ bbgo balances [--session SESSION] [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_build.md
+++ b/doc/commands/bbgo_build.md
@ -40,4 +40,4 @@ bbgo build [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_cancel-order.md
+++ b/doc/commands/bbgo_cancel-order.md
@ -50,4 +50,4 @@ bbgo cancel-order [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_deposits.md
+++ b/doc/commands/bbgo_deposits.md
@ -42,4 +42,4 @@ bbgo deposits [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_execute-order.md
+++ b/doc/commands/bbgo_execute-order.md
@ -49,4 +49,4 @@ bbgo execute-order --session SESSION --symbol SYMBOL --side SIDE --target-quanti

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_get-order.md
+++ b/doc/commands/bbgo_get-order.md
@ -43,4 +43,4 @@ bbgo get-order --session SESSION --order-id ORDER_ID [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_kline.md
+++ b/doc/commands/bbgo_kline.md
@ -43,4 +43,4 @@ bbgo kline [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_list-orders.md
+++ b/doc/commands/bbgo_list-orders.md
@ -42,4 +42,4 @@ bbgo list-orders open|closed --session SESSION --symbol SYMBOL [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_margin.md
+++ b/doc/commands/bbgo_margin.md
@ -39,4 +39,4 @@ margin related history
 * [bbgo margin loans](bbgo_margin_loans.md)	 - query loans history
 * [bbgo margin repays](bbgo_margin_repays.md)	 - query repay history

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_margin_interests.md
+++ b/doc/commands/bbgo_margin_interests.md
@ -42,4 +42,4 @@ bbgo margin interests --session=SESSION_NAME --asset=ASSET [flags]

 * [bbgo margin](bbgo_margin.md)	 - margin related history

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_margin_loans.md
+++ b/doc/commands/bbgo_margin_loans.md
@ -42,4 +42,4 @@ bbgo margin loans --session=SESSION_NAME --asset=ASSET [flags]

 * [bbgo margin](bbgo_margin.md)	 - margin related history

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_margin_repays.md
+++ b/doc/commands/bbgo_margin_repays.md
@ -42,4 +42,4 @@ bbgo margin repays --session=SESSION_NAME --asset=ASSET [flags]

 * [bbgo margin](bbgo_margin.md)	 - margin related history

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_market.md
+++ b/doc/commands/bbgo_market.md
@ -41,4 +41,4 @@ bbgo market [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_optimize.md
+++ b/doc/commands/bbgo_optimize.md
@ -13,6 +13,7 @@ bbgo optimize [flags]
      --json                      print optimizer metrics in json format
      --optimizer-config string   config file (default "optimizer.yaml")
      --output string             backtest report output directory (default "output")
+      --tsv                       print optimizer metrics in csv format
 ```

 ### Options inherited from parent commands
@ -43,4 +44,4 @@ bbgo optimize [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_orderbook.md
+++ b/doc/commands/bbgo_orderbook.md
@ -43,4 +43,4 @@ bbgo orderbook --session=[exchange_name] --symbol=[pair_name] [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_orderupdate.md
+++ b/doc/commands/bbgo_orderupdate.md
@ -41,4 +41,4 @@ bbgo orderupdate [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_pnl.md
+++ b/doc/commands/bbgo_pnl.md
@ -13,11 +13,13 @@ bbgo pnl [flags]
 ### Options

 ```
-  -h, --help               help for pnl
-      --include-transfer   convert transfer records into trades
-      --limit int          number of trades
-      --session string     target exchange
-      --symbol string      trading symbol
+  -h, --help                  help for pnl
+      --include-transfer      convert transfer records into trades
+      --limit uint            number of trades
+      --session stringArray   target exchange sessions
+      --since string          query trades from a time point
+      --symbol string         trading symbol
+      --sync                  sync before loading trades
 ```

 ### Options inherited from parent commands
@ -48,4 +50,4 @@ bbgo pnl [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_run.md
+++ b/doc/commands/bbgo_run.md
@ -51,4 +51,4 @@ bbgo run [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_submit-order.md
+++ b/doc/commands/bbgo_submit-order.md
@ -45,4 +45,4 @@ bbgo submit-order --session SESSION --symbol SYMBOL --side SIDE --quantity QUANT

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_sync.md
+++ b/doc/commands/bbgo_sync.md
@ -43,4 +43,4 @@ bbgo sync [--session=[exchange_name]] [--symbol=[pair_name]] [[--since=yyyy/mm/d

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_trades.md
+++ b/doc/commands/bbgo_trades.md
@ -43,4 +43,4 @@ bbgo trades --session=[exchange_name] --symbol=[pair_name] [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_tradeupdate.md
+++ b/doc/commands/bbgo_tradeupdate.md
@ -41,4 +41,4 @@ bbgo tradeupdate --session=[exchange_name] [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_transfer-history.md
+++ b/doc/commands/bbgo_transfer-history.md
@ -43,4 +43,4 @@ bbgo transfer-history [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_userdatastream.md
+++ b/doc/commands/bbgo_userdatastream.md
@ -41,4 +41,4 @@ bbgo userdatastream [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/commands/bbgo_version.md
+++ b/doc/commands/bbgo_version.md
@ -40,4 +40,4 @@ bbgo version [flags]

 * [bbgo](bbgo.md)	 - bbgo is a crypto trading bot

-###### Auto generated by spf13/cobra on 17-Jun-2022
+###### Auto generated by spf13/cobra on 10-Jul-2022
--- a/doc/release/v1.36.0.md
+++ b/doc/release/v1.36.0.md
@ -0,0 +1,83 @@
+## Fixes
+
+- Fixed backtest stop limit order / stop market order emulation.
+- Fixed optimizer panic issue (when report is nil)
+- Fixed pnl command market settings.
+- Fixed MAX API endpoints.
+
+## Improvements
+
+- Improved supertrend strategy.
+- Improved pivotshort strategy.
+- Refactor reward service sync.
+
+## Features
+
+- Added tearsheet backend api
+- Added seriesExtend for indicators.
+- Added progressbar to optimizer.
+
+## New API
+
+- Added ExitMethodSet (trailing stop, roi stop loss, roi take profit, ... etc)
+- Added new graceful shutdown API, persistence API, notification API, order executor API.
+
+[Full Changelog](https://github.com/c9s/bbgo/compare/v1.35.0...main)
+
+ - [#799](https://github.com/c9s/bbgo/pull/799): Improve supertrend strategy
+ - [#801](https://github.com/c9s/bbgo/pull/801): feature: optimizer: support --tsv option and render tsv output
+ - [#800](https://github.com/c9s/bbgo/pull/800): fix: fix exit method for trailing stop
+ - [#798](https://github.com/c9s/bbgo/pull/798): fix: fix trailingstop and add long position test case
+ - [#797](https://github.com/c9s/bbgo/pull/797): feature: re-implement trailing stop and add mock test
+ - [#796](https://github.com/c9s/bbgo/pull/796): strategy/pivotshort: add supportTakeProfit method
+ - [#793](https://github.com/c9s/bbgo/pull/793): Fix pnl command
+ - [#795](https://github.com/c9s/bbgo/pull/795): optimizer/fix: prevent from crashing if missing SummaryReport
+ - [#794](https://github.com/c9s/bbgo/pull/794): strategy/pivotshort: fix resistance updater
+ - [#792](https://github.com/c9s/bbgo/pull/792): strategy/pivotshort: fix findNextResistancePriceAndPlaceOrders
+ - [#791](https://github.com/c9s/bbgo/pull/791): strategy: pivotshort: refactor breaklow logics
+ - [#790](https://github.com/c9s/bbgo/pull/790): fix: strategy: pivoshort: cancel order when shutdown
+ - [#789](https://github.com/c9s/bbgo/pull/789): strategy: pivotshort: add more improvements for margin
+ - [#787](https://github.com/c9s/bbgo/pull/787): strategy: pivotshort: use active orderbook to maintain the resistance orders
+ - [#786](https://github.com/c9s/bbgo/pull/786): strategy: pivotshort: resistance short
+ - [#731](https://github.com/c9s/bbgo/pull/731): add tearsheet backend api (Sharpe)
+ - [#784](https://github.com/c9s/bbgo/pull/784): strategy: pivotshort: fix stopEMA
+ - [#785](https://github.com/c9s/bbgo/pull/785): optimizer: add progressbar
+ - [#778](https://github.com/c9s/bbgo/pull/778): feature: add seriesExtend
+ - [#783](https://github.com/c9s/bbgo/pull/783): fix: pivotshort: fix kline history loading
+ - [#782](https://github.com/c9s/bbgo/pull/782): refactor: moving exit methods from pivotshort to the core
+ - [#781](https://github.com/c9s/bbgo/pull/781): strategy: pivotshort: optimize and update config
+ - [#775](https://github.com/c9s/bbgo/pull/775): test: backtest: add order cancel test case
+ - [#773](https://github.com/c9s/bbgo/pull/773): fix: fix backtest taker order execution
+ - [#772](https://github.com/c9s/bbgo/pull/772): fix: backtest: fix stop order backtest, add more test cases and assertions
+ - [#770](https://github.com/c9s/bbgo/pull/770): fix: fix backtest stop limit order matching and add test cases
+ - [#769](https://github.com/c9s/bbgo/pull/769): backtest-report: sort intervals
+ - [#768](https://github.com/c9s/bbgo/pull/768): feature: backtest: add ohlc legend
+ - [#766](https://github.com/c9s/bbgo/pull/766): backtest-report: add time range slider
+ - [#765](https://github.com/c9s/bbgo/pull/765): improve: backtest-report layout improvements, EMA indicators and fixed the clean up issue
+ - [#764](https://github.com/c9s/bbgo/pull/764): strategy/pivotshort: refactor exit methods and add protection stop exit method
+ - [#761](https://github.com/c9s/bbgo/pull/761): datasource: refactor glassnodeapi
+ - [#760](https://github.com/c9s/bbgo/pull/760): doc: fix link
+ - [#758](https://github.com/c9s/bbgo/pull/758): improve: add pnl cmd options and fix trade query
+ - [#757](https://github.com/c9s/bbgo/pull/757): totp-user: add default user 'bbgo'
+ - [#756](https://github.com/c9s/bbgo/pull/756): refactor: clean up rsmaker, xbalance, dca, pivotshort strategies
+ - [#755](https://github.com/c9s/bbgo/pull/755): improve: bbgo: call global persistence facade to sync data
+ - [#754](https://github.com/c9s/bbgo/pull/754): optimizer: refactor max num of process in optimizer configs
+ - [#750](https://github.com/c9s/bbgo/pull/750): refactor: persistence singleton and improve backtest cancel performance
+ - [#753](https://github.com/c9s/bbgo/pull/753): optimizer: add max num of thread in config
+ - [#752](https://github.com/c9s/bbgo/pull/752): Upgrade nextjs from 11 to 12
+ - [#751](https://github.com/c9s/bbgo/pull/751): fix: reformat go code
+ - [#746](https://github.com/c9s/bbgo/pull/746): pivotshort: add strategy controller
+ - [#747](https://github.com/c9s/bbgo/pull/747): strategy/supertrend: use new order executor api
+ - [#748](https://github.com/c9s/bbgo/pull/748): bollmaker: remove redundant code for adapting new order executor api
+ - [#749](https://github.com/c9s/bbgo/pull/749): improve: add parallel local process executor for optimizer
+ - [#639](https://github.com/c9s/bbgo/pull/639): strategy: rsmaker: initial idea prototype
+ - [#745](https://github.com/c9s/bbgo/pull/745): fix: depth: do not test depth buffer when race is on
+ - [#744](https://github.com/c9s/bbgo/pull/744): refactor: refactor and update the support strategy
+ - [#743](https://github.com/c9s/bbgo/pull/743): strategy/bollmaker: refactor and clean up
+ - [#742](https://github.com/c9s/bbgo/pull/742): refactor: clean up bbgo.Notifiability
+ - [#739](https://github.com/c9s/bbgo/pull/739): refactor: redesign order executor api
+ - [#738](https://github.com/c9s/bbgo/pull/738): feature: binance: add binance spot rebate history support
+ - [#736](https://github.com/c9s/bbgo/pull/736): fix: gosimple alert
+ - [#737](https://github.com/c9s/bbgo/pull/737): refactor: refactor reward service sync
+ - [#732](https://github.com/c9s/bbgo/pull/732): Refactor grid panel
+ - [#734](https://github.com/c9s/bbgo/pull/734): fix: apply gofmt on all files, add revive action
--- a/doc/strategy/supertrend.md
+++ b/doc/strategy/supertrend.md
@ -23,12 +23,27 @@ Supertrend strategy needs margin enabled in order to submit short orders, and yo
        - The MA window of the ATR indicator used by Supertrend. 
    - `averageTrueRangeMultiplier`
        - Multiplier for calculating upper and lower bond prices, the higher, the stronger the trends are, but also makes it less sensitive.
- `takeProfitMultiplier`
+- `linearRegression`
+    - Use linear regression as trend confirmation
+    - `interval`
+        - Time interval of linear regression
+    - `window`
+        - Window of linear regression
+- `takeProfitAtrMultiplier`
    - TP according to ATR multiple, 0 to disable this.
 - `stopLossByTriggeringK`
-    - Set SL price to the low of the triggering Kline.
- `tpslBySignal`
-    - TP/SL by reversed signals.
+    - Set SL price to the low/high of the triggering Kline.
+- `stopByReversedSupertrend`
+    - TP/SL by reversed supertrend signal.
+- `stopByReversedDema`
+    - TP/SL by reversed DEMA signal.
+- `stopByReversedLinGre`
+    - TP/SL by reversed linear regression signal.
+- `exits`
+    - Exit methods to TP/SL
+    - `roiStopLoss`
+        - The stop loss percentage of the position ROI (currently the price change)
+        - `percentage`


 #### Examples
--- a/pkg/accounting/pnl/avg_cost.go
+++ b/pkg/accounting/pnl/avg_cost.go
@ -19,6 +19,8 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
 	var bidVolume = fixedpoint.Zero
 	var askVolume = fixedpoint.Zero
 	var feeUSD = fixedpoint.Zero
+	var grossProfit = fixedpoint.Zero
+	var grossLoss = fixedpoint.Zero

 	if len(trades) == 0 {
 		return &AverageCostPnlReport{
@ -64,6 +66,12 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
 			totalNetProfit = totalNetProfit.Add(netProfit)
 		}

+		if profit.Sign() > 0 {
+			grossProfit = grossProfit.Add(profit)
+		} else if profit.Sign() < 0 {
+			grossLoss = grossLoss.Add(profit)
+		}
+
 		if trade.IsBuyer {
 			bidVolume = bidVolume.Add(trade.Quantity)
 		} else {
@ -96,8 +104,12 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
 		Profit:            totalProfit,
 		NetProfit:         totalNetProfit,
 		UnrealizedProfit:  unrealizedProfit,
-		AverageCost:       position.AverageCost,
-		FeeInUSD:          totalProfit.Sub(totalNetProfit),
-		CurrencyFees:      currencyFees,
+
+		GrossProfit: grossProfit,
+		GrossLoss:   grossLoss,
+
+		AverageCost:  position.AverageCost,
+		FeeInUSD:     totalProfit.Sub(totalNetProfit),
+		CurrencyFees: currencyFees,
 	}
 }
--- a/pkg/accounting/pnl/report.go
+++ b/pkg/accounting/pnl/report.go
@ -20,10 +20,14 @@ type AverageCostPnlReport struct {
 	Symbol    string           `json:"symbol"`
 	Market    types.Market     `json:"market"`

-	NumTrades         int                         `json:"numTrades"`
-	Profit            fixedpoint.Value            `json:"profit"`
-	NetProfit         fixedpoint.Value            `json:"netProfit"`
-	UnrealizedProfit  fixedpoint.Value            `json:"unrealizedProfit"`
+	NumTrades        int              `json:"numTrades"`
+	Profit           fixedpoint.Value `json:"profit"`
+	UnrealizedProfit fixedpoint.Value `json:"unrealizedProfit"`
+
+	NetProfit   fixedpoint.Value `json:"netProfit"`
+	GrossProfit fixedpoint.Value `json:"grossProfit"`
+	GrossLoss   fixedpoint.Value `json:"grossLoss"`
+
 	AverageCost       fixedpoint.Value            `json:"averageCost"`
 	BuyVolume         fixedpoint.Value            `json:"buyVolume,omitempty"`
 	SellVolume        fixedpoint.Value            `json:"sellVolume,omitempty"`
--- a/pkg/backtest/recorder.go
+++ b/pkg/backtest/recorder.go
@ -27,6 +27,7 @@ type StateRecorder struct {
 	outputDirectory string
 	strategies      []Instance
 	writers         map[types.CsvFormatter]*tsv.Writer
+	lastLines       map[types.CsvFormatter][]string
 	manifests       Manifests
 }

@ -34,6 +35,7 @@ func NewStateRecorder(outputDir string) *StateRecorder {
 	return &StateRecorder{
 		outputDirectory: outputDir,
 		writers:         make(map[types.CsvFormatter]*tsv.Writer),
+		lastLines:       make(map[types.CsvFormatter][]string),
 		manifests:       make(Manifests),
 	}
 }
@ -42,11 +44,18 @@ func (r *StateRecorder) Snapshot() (int, error) {
 	var c int
 	for obj, writer := range r.writers {
 		records := obj.CsvRecords()
+		lastLine, hasLastLine := r.lastLines[obj]
+
 		for _, record := range records {
+			if hasLastLine && equalStringSlice(lastLine, record) {
+				continue
+			}
+
 			if err := writer.Write(record); err != nil {
 				return c, err
 			}
 			c++
+			r.lastLines[obj] = record
 		}

 		writer.Flush()
@ -129,3 +138,19 @@ func (r *StateRecorder) Close() error {

 	return err
 }
+
+func equalStringSlice(a, b []string) bool {
+	if len(a) != len(b) {
+		return false
+	}
+
+	for i := 0; i < len(a); i++ {
+		ad := a[i]
+		bd := b[i]
+		if ad != bd {
+			return false
+		}
+	}
+
+	return true
+}
--- a/pkg/backtest/report.go
+++ b/pkg/backtest/report.go
@ -39,10 +39,16 @@ type SummaryReport struct {
 	InitialTotalBalances types.BalanceMap `json:"initialTotalBalances"`
 	FinalTotalBalances   types.BalanceMap `json:"finalTotalBalances"`

+	InitialEquityValue fixedpoint.Value `json:"initialEquityValue"`
+	FinalEquityValue   fixedpoint.Value `json:"finalEquityValue"`
+
 	// TotalProfit is the profit aggregated from the symbol reports
 	TotalProfit           fixedpoint.Value `json:"totalProfit,omitempty"`
 	TotalUnrealizedProfit fixedpoint.Value `json:"totalUnrealizedProfit,omitempty"`

+	TotalGrossProfit fixedpoint.Value `json:"totalGrossProfit,omitempty"`
+	TotalGrossLoss   fixedpoint.Value `json:"totalGrossLoss,omitempty"`
+
 	SymbolReports []SessionSymbolReport `json:"symbolReports,omitempty"`

 	Manifests Manifests `json:"manifests,omitempty"`
@ -75,13 +81,21 @@ type SessionSymbolReport struct {
 	Manifests       Manifests                 `json:"manifests,omitempty"`
 }

+func (r *SessionSymbolReport) InitialEquityValue() fixedpoint.Value {
+	return InQuoteAsset(r.InitialBalances, r.Market, r.StartPrice)
+}
+
+func (r *SessionSymbolReport) FinalEquityValue() fixedpoint.Value {
+	return InQuoteAsset(r.FinalBalances, r.Market, r.StartPrice)
+}
+
 func (r *SessionSymbolReport) Print(wantBaseAssetBaseline bool) {
 	color.Green("%s %s PROFIT AND LOSS REPORT", r.Exchange, r.Symbol)
 	color.Green("===============================================")
 	r.PnL.Print()

-	initQuoteAsset := inQuoteAsset(r.InitialBalances, r.Market, r.StartPrice)
-	finalQuoteAsset := inQuoteAsset(r.FinalBalances, r.Market, r.LastPrice)
+	initQuoteAsset := r.InitialEquityValue()
+	finalQuoteAsset := r.FinalEquityValue()
 	color.Green("INITIAL ASSET IN %s ~= %s %s (1 %s = %v)", r.Market.QuoteCurrency, r.Market.FormatQuantity(initQuoteAsset), r.Market.QuoteCurrency, r.Market.BaseCurrency, r.StartPrice)
 	color.Green("FINAL ASSET IN %s ~= %s %s (1 %s = %v)", r.Market.QuoteCurrency, r.Market.FormatQuantity(finalQuoteAsset), r.Market.QuoteCurrency, r.Market.BaseCurrency, r.LastPrice)

@ -186,8 +200,8 @@ func AddReportIndexRun(outputDirectory string, run Run) error {
 	return WriteReportIndex(outputDirectory, reportIndex)
 }

-// inQuoteAsset converts all balances in quote asset
-func inQuoteAsset(balances types.BalanceMap, market types.Market, price fixedpoint.Value) fixedpoint.Value {
+// InQuoteAsset converts all balances in quote asset
+func InQuoteAsset(balances types.BalanceMap, market types.Market, price fixedpoint.Value) fixedpoint.Value {
 	quote := balances[market.QuoteCurrency]
 	base := balances[market.BaseCurrency]
 	return base.Total().Mul(price).Add(quote.Total())
--- a/pkg/bbgo/order_executor_general.go
+++ b/pkg/bbgo/order_executor_general.go
@ -66,6 +66,8 @@ func (e *GeneralOrderExecutor) BindProfitStats(profitStats *types.ProfitStats) {
 		}

 		profitStats.AddProfit(*profit)
+
+		Notify(profit)
 		Notify(profitStats)
 	})
 }
--- a/pkg/cmd/backtest.go
+++ b/pkg/cmd/backtest.go
@ -340,9 +340,6 @@ var BacktestCmd = &cobra.Command{
 			})

 			dumper := backtest.NewKLineDumper(kLineDataDir)
-			defer func() {
-				_ = dumper.Close()
-			}()
 			defer func() {
 				if err := dumper.Close(); err != nil {
 					log.WithError(err).Errorf("kline dumper can not close files")
@ -496,7 +493,6 @@ var BacktestCmd = &cobra.Command{
 		}

 		for _, session := range environ.Sessions() {
-
 			for symbol, trades := range session.Trades {
 				symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Trades)
 				if err != nil {
@ -507,6 +503,10 @@ var BacktestCmd = &cobra.Command{
 				summaryReport.SymbolReports = append(summaryReport.SymbolReports, *symbolReport)
 				summaryReport.TotalProfit = symbolReport.PnL.Profit
 				summaryReport.TotalUnrealizedProfit = symbolReport.PnL.UnrealizedProfit
+				summaryReport.InitialEquityValue = summaryReport.InitialEquityValue.Add(symbolReport.InitialEquityValue())
+				summaryReport.FinalEquityValue = summaryReport.FinalEquityValue.Add(symbolReport.FinalEquityValue())
+				summaryReport.TotalGrossProfit.Add(symbolReport.PnL.GrossProfit)
+				summaryReport.TotalGrossLoss.Add(symbolReport.PnL.GrossLoss)

 				// write report to a file
 				if generatingReport {
--- a/pkg/cmd/optimize.go
+++ b/pkg/cmd/optimize.go
@ -4,12 +4,16 @@ import (
 	"context"
 	"encoding/json"
 	"fmt"
+	"io"
 	"io/ioutil"
 	"os"
+	"strconv"

 	"github.com/spf13/cobra"
 	"gopkg.in/yaml.v3"

+	"github.com/c9s/bbgo/pkg/data/tsv"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/optimizer"
 )

@ -17,6 +21,7 @@ func init() {
 	optimizeCmd.Flags().String("optimizer-config", "optimizer.yaml", "config file")
 	optimizeCmd.Flags().String("output", "output", "backtest report output directory")
 	optimizeCmd.Flags().Bool("json", false, "print optimizer metrics in json format")
+	optimizeCmd.Flags().Bool("tsv", false, "print optimizer metrics in csv format")
 	RootCmd.AddCommand(optimizeCmd)
 }

@ -43,6 +48,11 @@ var optimizeCmd = &cobra.Command{
 			return err
 		}

+		printTsvFormat, err := cmd.Flags().GetBool("tsv")
+		if err != nil {
+			return err
+		}
+
 		outputDirectory, err := cmd.Flags().GetString("output")
 		if err != nil {
 			return err
@ -104,6 +114,10 @@ var optimizeCmd = &cobra.Command{

 			// print metrics JSON to stdout
 			fmt.Println(string(out))
+		} else if printTsvFormat {
+			if err := formatMetricsTsv(metrics, os.Stdout); err != nil {
+				return err
+			}
 		} else {
 			for n, values := range metrics {
 				if len(values) == 0 {
@ -120,3 +134,95 @@ var optimizeCmd = &cobra.Command{
 		return nil
 	},
 }
+
+func transformMetricsToRows(metrics map[string][]optimizer.Metric) (headers []string, rows [][]interface{}) {
+	var metricsKeys []string
+	for k := range metrics {
+		metricsKeys = append(metricsKeys, k)
+	}
+
+	var numEntries int
+	var paramLabels []string
+	for _, ms := range metrics {
+		for _, m := range ms {
+			paramLabels = m.Labels
+			break
+		}
+
+		numEntries = len(ms)
+		break
+	}
+
+	headers = append(paramLabels, metricsKeys...)
+	rows = make([][]interface{}, numEntries)
+
+	var metricsRows = make([][]interface{}, numEntries)
+
+	// build params into the rows
+	for i, m := range metrics[metricsKeys[0]] {
+		rows[i] = m.Params
+	}
+
+	for _, metricKey := range metricsKeys {
+		for i, ms := range metrics[metricKey] {
+			if len(metricsRows[i]) == 0 {
+				metricsRows[i] = make([]interface{}, 0, len(metricsKeys))
+			}
+			metricsRows[i] = append(metricsRows[i], ms.Value)
+		}
+	}
+
+	// merge rows
+	for i := range rows {
+		rows[i] = append(rows[i], metricsRows[i]...)
+	}
+
+	return headers, rows
+}
+
+func formatMetricsTsv(metrics map[string][]optimizer.Metric, writer io.WriteCloser) error {
+	headers, rows := transformMetricsToRows(metrics)
+	w := tsv.NewWriter(writer)
+	if err := w.Write(headers); err != nil {
+		return err
+	}
+
+	for _, row := range rows {
+		var cells []string
+		for _, o := range row {
+			cell, err := castCellValue(o)
+			if err != nil {
+				return err
+			}
+			cells = append(cells, cell)
+		}
+
+		if err := w.Write(cells); err != nil {
+			return err
+		}
+	}
+	return w.Close()
+}
+
+func castCellValue(a interface{}) (string, error) {
+	switch tv := a.(type) {
+	case fixedpoint.Value:
+		return tv.String(), nil
+	case float64:
+		return strconv.FormatFloat(tv, 'f', -1, 64), nil
+	case int64:
+		return strconv.FormatInt(tv, 10), nil
+	case int32:
+		return strconv.FormatInt(int64(tv), 10), nil
+	case int:
+		return strconv.Itoa(tv), nil
+	case bool:
+		return strconv.FormatBool(tv), nil
+	case string:
+		return tv, nil
+	case []byte:
+		return string(tv), nil
+	default:
+		return "", fmt.Errorf("unsupported object type: %T value: %v", tv, tv)
+	}
+}
--- a/pkg/exchange/max/exchange.go
+++ b/pkg/exchange/max/exchange.go
@ -608,7 +608,7 @@ func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap,
 			Available: b.Balance,
 			Locked:    b.Locked,
 			NetAsset:  b.Balance.Add(b.Locked).Sub(b.Debt),
-			Borrowed:  b.Debt, // TODO: Replace this with borrow in the newer version
+			Borrowed:  b.Borrowed,
 			Interest:  b.Interest,
 		}
 	}
--- a/pkg/exchange/max/maxapi/account.go
+++ b/pkg/exchange/max/maxapi/account.go
@ -22,8 +22,10 @@ type Account struct {
 	Locked   fixedpoint.Value `json:"locked"`

 	// v3 fields for M wallet
-	Debt     fixedpoint.Value `json:"debt"`
-	Interest fixedpoint.Value `json:"interest"`
+	Debt      fixedpoint.Value `json:"debt"`
+	Principal fixedpoint.Value `json:"principal"`
+	Borrowed  fixedpoint.Value `json:"borrowed"`
+	Interest  fixedpoint.Value `json:"interest"`

 	// v2 fields
 	FiatCurrency string           `json:"fiat_currency"`
--- a/pkg/exchange/max/maxapi/v3/create_wallet_order_request.go
+++ b/pkg/exchange/max/maxapi/v3/create_wallet_order_request.go
@ -6,7 +6,7 @@ import "github.com/c9s/requestgen"
 //go:generate -command PostRequest requestgen -method POST
 //go:generate -command DeleteRequest requestgen -method DELETE

-//go:generate PostRequest -url "/api/v3/wallet/:walletType/orders" -type CreateWalletOrderRequest -responseType .Order
+//go:generate PostRequest -url "/api/v3/wallet/:walletType/order" -type CreateWalletOrderRequest -responseType .Order
 type CreateWalletOrderRequest struct {
 	client requestgen.AuthenticatedAPIClient

--- a/pkg/exchange/max/maxapi/v3/create_wallet_order_request_requestgen.go
+++ b/pkg/exchange/max/maxapi/v3/create_wallet_order_request_requestgen.go
@ -1,4 +1,4 @@
-// Code generated by "requestgen -method POST -url /api/v3/wallet/:walletType/orders -type CreateWalletOrderRequest -responseType .Order"; DO NOT EDIT.
+// Code generated by "requestgen -method POST -url /api/v3/wallet/:walletType/order -type CreateWalletOrderRequest -responseType .Order"; DO NOT EDIT.

 package v3

@ -244,7 +244,7 @@ func (c *CreateWalletOrderRequest) Do(ctx context.Context) (*max.Order, error) {
 	}
 	query := url.Values{}

-	apiURL := "/api/v3/wallet/:walletType/orders"
+	apiURL := "/api/v3/wallet/:walletType/order"
 	slugs, err := c.GetSlugsMap()
 	if err != nil {
 		return nil, err
--- a/pkg/indicator/atr_callbacks.go
+++ b/pkg/indicator/atr_callbacks.go
@ -4,12 +4,12 @@ package indicator

 import ()

-func (A *ATR) OnUpdate(cb func(value float64)) {
-	A.UpdateCallbacks = append(A.UpdateCallbacks, cb)
+func (inc *ATR) OnUpdate(cb func(value float64)) {
+	inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
 }

-func (A *ATR) EmitUpdate(value float64) {
-	for _, cb := range A.UpdateCallbacks {
+func (inc *ATR) EmitUpdate(value float64) {
+	for _, cb := range inc.UpdateCallbacks {
 		cb(value)
 	}
 }
--- a/pkg/indicator/atrp.go
+++ b/pkg/indicator/atrp.go
@ -0,0 +1,112 @@
+package indicator
+
+import (
+	"math"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// ATRP is the average true range percentage
+// See also https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/atrp
+//
+// Calculation:
+//
+//     ATRP = (Average True Range / Close) * 100
+//
+//go:generate callbackgen -type ATRP
+type ATRP struct {
+	types.SeriesBase
+	types.IntervalWindow
+	PercentageVolatility types.Float64Slice
+
+	PreviousClose float64
+	RMA           *RMA
+
+	EndTime         time.Time
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *ATRP) Update(high, low, cloze float64) {
+	if inc.Window <= 0 {
+		panic("window must be greater than 0")
+	}
+
+	if inc.RMA == nil {
+		inc.SeriesBase.Series = inc
+		inc.RMA = &RMA{
+			IntervalWindow: types.IntervalWindow{Window: inc.Window},
+			Adjust:         true,
+		}
+		inc.PreviousClose = cloze
+		return
+	}
+
+	// calculate true range
+	trueRange := high - low
+	hc := math.Abs(high - inc.PreviousClose)
+	lc := math.Abs(low - inc.PreviousClose)
+	if trueRange < hc {
+		trueRange = hc
+	}
+	if trueRange < lc {
+		trueRange = lc
+	}
+
+	// Note: this is the difference from ATR
+	trueRange = trueRange / inc.PreviousClose * 100.0
+
+	inc.PreviousClose = cloze
+
+	// apply rolling moving average
+	inc.RMA.Update(trueRange)
+	atr := inc.RMA.Last()
+	inc.PercentageVolatility.Push(atr / cloze)
+}
+
+func (inc *ATRP) Last() float64 {
+	if inc.RMA == nil {
+		return 0
+	}
+	return inc.RMA.Last()
+}
+
+func (inc *ATRP) Index(i int) float64 {
+	if inc.RMA == nil {
+		return 0
+	}
+	return inc.RMA.Index(i)
+}
+
+func (inc *ATRP) Length() int {
+	if inc.RMA == nil {
+		return 0
+	}
+	return inc.RMA.Length()
+}
+
+var _ types.SeriesExtend = &ATRP{}
+
+func (inc *ATRP) CalculateAndUpdate(kLines []types.KLine) {
+	for _, k := range kLines {
+		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
+			continue
+		}
+		inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+	}
+
+	inc.EmitUpdate(inc.Last())
+	inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
+}
+
+func (inc *ATRP) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.CalculateAndUpdate(window)
+}
+
+func (inc *ATRP) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}
--- a/pkg/indicator/atrp_callbacks.go
+++ b/pkg/indicator/atrp_callbacks.go
@ -0,0 +1,15 @@
+// Code generated by "callbackgen -type ATRP"; DO NOT EDIT.
+
+package indicator
+
+import ()
+
+func (inc *ATRP) OnUpdate(cb func(value float64)) {
+	inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
+}
+
+func (inc *ATRP) EmitUpdate(value float64) {
+	for _, cb := range inc.UpdateCallbacks {
+		cb(value)
+	}
+}
--- a/pkg/migrations/mysql/migration_api_test.go
+++ b/pkg/migrations/mysql/migration_api_test.go
@ -14,7 +14,7 @@ func TestGetMigrationsMap(t *testing.T) {

 func TestMergeMigrationsMap(t *testing.T) {
 	MergeMigrationsMap(map[int64]*rockhopper.Migration{
-		2: {},
-		3: {},
+		2: &rockhopper.Migration{},
+		3: &rockhopper.Migration{},
 	})
 }
--- a/pkg/migrations/sqlite3/migration_api_test.go
+++ b/pkg/migrations/sqlite3/migration_api_test.go
@ -14,7 +14,7 @@ func TestGetMigrationsMap(t *testing.T) {

 func TestMergeMigrationsMap(t *testing.T) {
 	MergeMigrationsMap(map[int64]*rockhopper.Migration{
-		2: {},
-		3: {},
+		2: &rockhopper.Migration{},
+		3: &rockhopper.Migration{},
 	})
 }
--- a/pkg/optimizer/grid.go
+++ b/pkg/optimizer/grid.go
@ -17,16 +17,31 @@ import (
 type MetricValueFunc func(summaryReport *backtest.SummaryReport) fixedpoint.Value

 var TotalProfitMetricValueFunc = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
-	if summaryReport == nil {
-		return fixedpoint.Zero
-	}
 	return summaryReport.TotalProfit
 }

+var TotalVolume = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
+	if len(summaryReport.SymbolReports) == 0 {
+		return fixedpoint.Zero
+	}
+
+	buyVolume := summaryReport.SymbolReports[0].PnL.BuyVolume
+	sellVolume := summaryReport.SymbolReports[0].PnL.SellVolume
+	return buyVolume.Add(sellVolume)
+}
+
 type Metric struct {
-	Labels []string         `json:"labels,omitempty"`
-	Params []interface{}    `json:"params,omitempty"`
-	Value  fixedpoint.Value `json:"value,omitempty"`
+	// Labels is the labels of the given parameters
+	Labels []string `json:"labels,omitempty"`
+
+	// Params is the parameters used to output the metrics result
+	Params []interface{} `json:"params,omitempty"`
+
+	// Key is the metric name
+	Key string `json:"key"`
+
+	// Value is the metric value of the metric
+	Value fixedpoint.Value `json:"value,omitempty"`
 }

 func copyParams(params []interface{}) []interface{} {
@ -172,6 +187,7 @@ func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]

 	var valueFunctions = map[string]MetricValueFunc{
 		"totalProfit": TotalProfitMetricValueFunc,
+		"totalVolume": TotalVolume,
 	}
 	var metrics = map[string][]Metric{}

@ -220,16 +236,20 @@ func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]
 	close(taskC) // this will shut down the executor

 	for result := range resultsC {
-		for metricName, metricFunc := range valueFunctions {
-			if result.Report == nil {
-				log.Errorf("no summaryReport found for params: %+v", result.Params)
-			}
+		if result.Report == nil {
+			log.Errorf("no summaryReport found for params: %+v", result.Params)
+			continue
+		}
+
+		for metricKey, metricFunc := range valueFunctions {
 			var metricValue = metricFunc(result.Report)
-			bar.Set("log", fmt.Sprintf("params: %+v => %s %+v", result.Params, metricName, metricValue))
+			bar.Set("log", fmt.Sprintf("params: %+v => %s %+v", result.Params, metricKey, metricValue))
 			bar.Increment()
-			metrics[metricName] = append(metrics[metricName], Metric{
+
+			metrics[metricKey] = append(metrics[metricKey], Metric{
 				Params: result.Params,
 				Labels: result.Labels,
+				Key:    metricKey,
 				Value:  metricValue,
 			})
 		}
--- a/pkg/strategy/autoborrow/strategy.go
+++ b/pkg/strategy/autoborrow/strategy.go
@ -123,7 +123,8 @@ func (s *Strategy) checkAndBorrow(ctx context.Context) {
 	minMarginLevel := s.MinMarginLevel
 	curMarginLevel := account.MarginLevel

-	log.Infof("current account margin level: %s margin ratio: %s, margin tolerance: %s",
+	bbgo.Notify("%s: current margin level: %s, margin ratio: %s, margin tolerance: %s",
+		s.ExchangeSession.Name,
 		account.MarginLevel.String(),
 		account.MarginRatio.String(),
 		account.MarginTolerance.String(),
@ -280,7 +281,8 @@ func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateE
 		return
 	}

-	if s.ExchangeSession.GetAccount().MarginLevel.Compare(s.MinMarginLevel) > 0 {
+	account := s.ExchangeSession.GetAccount()
+	if account.MarginLevel.Compare(s.MinMarginLevel) > 0 {
 		return
 	}

@ -291,7 +293,6 @@ func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateE
 		return
 	}

-	account := s.ExchangeSession.GetAccount()
 	minMarginLevel := s.MinMarginLevel
 	curMarginLevel := account.MarginLevel

@ -300,7 +301,11 @@ func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateE
 			return
 		}

-		toRepay := b.Available
+		toRepay := fixedpoint.Min(b.Borrowed, b.Available)
+		if toRepay.IsZero() {
+			return
+		}
+
 		bbgo.Notify(&MarginAction{
 			Exchange:       s.ExchangeSession.ExchangeName,
 			Action:         "Repay",
@ -309,6 +314,7 @@ func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateE
 			MarginLevel:    curMarginLevel,
 			MinMarginLevel: minMarginLevel,
 		})
+
 		if err := s.marginBorrowRepay.RepayMarginAsset(context.Background(), event.Asset, toRepay); err != nil {
 			log.WithError(err).Errorf("margin repay error")
 		}
@ -366,14 +372,14 @@ func (a *MarginAction) SlackAttachment() slack.Attachment {
 // This strategy simply spent all available quote currency to buy the symbol whenever kline gets closed
 func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
 	if s.MinMarginLevel.IsZero() {
-		log.Warnf("minMarginLevel is 0, you should configure this minimal margin ratio for controlling the liquidation risk")
+		log.Warnf("%s: minMarginLevel is 0, you should configure this minimal margin ratio for controlling the liquidation risk", session.Name)
 	}

 	s.ExchangeSession = session

 	marginBorrowRepay, ok := session.Exchange.(types.MarginBorrowRepayService)
 	if !ok {
-		return fmt.Errorf("exchange %s does not implement types.MarginBorrowRepayService", session.ExchangeName)
+		return fmt.Errorf("exchange %s does not implement types.MarginBorrowRepayService", session.Name)
 	}

 	s.marginBorrowRepay = marginBorrowRepay
--- a/pkg/strategy/pivotshort/breaklow.go
+++ b/pkg/strategy/pivotshort/breaklow.go
@ -40,6 +40,7 @@ type BreakLow struct {

 func (s *BreakLow) Subscribe(session *bbgo.ExchangeSession) {
 	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
 }

 func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
@ -69,7 +70,7 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 		}

 		if lastLow.Compare(s.lastLow) != 0 {
-			log.Infof("new pivot low detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
+			bbgo.Notify("%s new pivot low detected: %f %s", s.Symbol, s.pivot.LastLow(), kline.EndTime.Time().String())
 		}

 		s.lastLow = lastLow
--- a/pkg/strategy/pivotshort/resistance.go
+++ b/pkg/strategy/pivotshort/resistance.go
@ -54,7 +54,7 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg

 	// use the last kline from the history before we get the next closed kline
 	if lastKLine != nil {
-		s.findNextResistancePriceAndPlaceOrders(lastKLine.Close)
+		s.updateResistanceOrders(lastKLine.Close)
 	}

 	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
@ -63,7 +63,7 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
 			return
 		}

-		s.findNextResistancePriceAndPlaceOrders(kline.Close)
+		s.updateResistanceOrders(kline.Close)
 	}))
 }

@ -75,11 +75,14 @@ func tail(arr []float64, length int) []float64 {
 	return arr[len(arr)-1-length:]
 }

-func (s *ResistanceShort) updateNextResistancePrice(closePrice fixedpoint.Value) bool {
+// updateCurrentResistancePrice update the current resistance price
+// we should only update the resistance price when:
+// 1) the close price is already above the current resistance price by (1 + minDistance)
+// 2) the next resistance price is lower than the current resistance price.
+func (s *ResistanceShort) updateCurrentResistancePrice(closePrice fixedpoint.Value) bool {
 	minDistance := s.MinDistance.Float64()
 	groupDistance := s.GroupDistance.Float64()
 	resistancePrices := findPossibleResistancePrices(closePrice.Float64()*(1.0+minDistance), groupDistance, tail(s.resistancePivot.Lows, 6))
-
 	if len(resistancePrices) == 0 {
 		return false
 	}
@ -88,9 +91,6 @@ func (s *ResistanceShort) updateNextResistancePrice(closePrice fixedpoint.Value)

 	nextResistancePrice := fixedpoint.NewFromFloat(resistancePrices[0])

-	// if currentResistancePrice is not set or the close price is already higher than the current resistance price,
-	// we should update the resistance price
-	// if the detected resistance price is lower than the current one, we should also update it too
 	if s.currentResistancePrice.IsZero() {
 		s.currentResistancePrice = nextResistancePrice
 		return true
@ -99,9 +99,8 @@ func (s *ResistanceShort) updateNextResistancePrice(closePrice fixedpoint.Value)
 	// if the current sell price is out-dated
 	// or
 	// the next resistance is lower than the current one.
-	currentSellPrice := s.currentResistancePrice.Mul(one.Add(s.Ratio))
-	if closePrice.Compare(currentSellPrice) > 0 ||
-		nextResistancePrice.Compare(currentSellPrice) < 0 {
+	minPriceToUpdate := s.currentResistancePrice.Mul(one.Add(s.MinDistance))
+	if closePrice.Compare(minPriceToUpdate) > 0 || nextResistancePrice.Compare(s.currentResistancePrice) < 0 {
 		s.currentResistancePrice = nextResistancePrice
 		return true
 	}
@ -109,11 +108,11 @@ func (s *ResistanceShort) updateNextResistancePrice(closePrice fixedpoint.Value)
 	return false
 }

-func (s *ResistanceShort) findNextResistancePriceAndPlaceOrders(closePrice fixedpoint.Value) {
+func (s *ResistanceShort) updateResistanceOrders(closePrice fixedpoint.Value) {
 	ctx := context.Background()
-	resistanceUpdated := s.updateNextResistancePrice(closePrice)
+	resistanceUpdated := s.updateCurrentResistancePrice(closePrice)
 	if resistanceUpdated {
-		bbgo.Notify("Found next resistance price: %f, updating resistance order...", s.currentResistancePrice.Float64())
+		bbgo.Notify("%s Found next resistance price at %f, updating resistance order...", s.Symbol, s.currentResistancePrice.Float64())
 		s.placeResistanceOrders(ctx, s.currentResistancePrice)
 	}
 }
@ -151,8 +150,7 @@ func (s *ResistanceShort) placeResistanceOrders(ctx context.Context, resistanceP

 		spread := layerSpread.Mul(fixedpoint.NewFromInt(int64(i)))
 		price := sellPriceStart.Mul(one.Add(spread))
-		log.Infof("price = %f", price.Float64())
-
+		log.Infof("resistance sell price = %f", price.Float64())
 		log.Infof("placing resistance short order #%d: price = %f, quantity = %f", i, price.Float64(), quantity.Float64())

 		orderForms = append(orderForms, types.SubmitOrder{
--- a/pkg/strategy/supertrend/double_dema.go
+++ b/pkg/strategy/supertrend/double_dema.go
@ -0,0 +1,67 @@
+package supertrend
+
+import (
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type DoubleDema struct {
+	Interval types.Interval `json:"interval"`
+
+	// FastDEMAWindow DEMA window for checking breakout
+	FastDEMAWindow int `json:"fastDEMAWindow"`
+	// SlowDEMAWindow DEMA window for checking breakout
+	SlowDEMAWindow int `json:"slowDEMAWindow"`
+	fastDEMA       *indicator.DEMA
+	slowDEMA       *indicator.DEMA
+}
+
+// getDemaSignal get current DEMA signal
+func (dd *DoubleDema) getDemaSignal(openPrice float64, closePrice float64) types.Direction {
+	var demaSignal types.Direction = types.DirectionNone
+
+	if closePrice > dd.fastDEMA.Last() && closePrice > dd.slowDEMA.Last() && !(openPrice > dd.fastDEMA.Last() && openPrice > dd.slowDEMA.Last()) {
+		demaSignal = types.DirectionUp
+	} else if closePrice < dd.fastDEMA.Last() && closePrice < dd.slowDEMA.Last() && !(openPrice < dd.fastDEMA.Last() && openPrice < dd.slowDEMA.Last()) {
+		demaSignal = types.DirectionDown
+	}
+
+	return demaSignal
+}
+
+// preloadDema preloads DEMA indicators
+func (dd *DoubleDema) preloadDema(kLineStore *bbgo.MarketDataStore) {
+	if klines, ok := kLineStore.KLinesOfInterval(dd.fastDEMA.Interval); ok {
+		for i := 0; i < len(*klines); i++ {
+			dd.fastDEMA.Update((*klines)[i].GetClose().Float64())
+		}
+	}
+	if klines, ok := kLineStore.KLinesOfInterval(dd.slowDEMA.Interval); ok {
+		for i := 0; i < len(*klines); i++ {
+			dd.slowDEMA.Update((*klines)[i].GetClose().Float64())
+		}
+	}
+}
+
+// newDoubleDema initializes double DEMA indicators
+func newDoubleDema(kLineStore *bbgo.MarketDataStore, interval types.Interval, fastDEMAWindow int, slowDEMAWindow int) *DoubleDema {
+	dd := DoubleDema{Interval: interval, FastDEMAWindow: fastDEMAWindow, SlowDEMAWindow: slowDEMAWindow}
+
+	// DEMA
+	if dd.FastDEMAWindow == 0 {
+		dd.FastDEMAWindow = 144
+	}
+	dd.fastDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.FastDEMAWindow}}
+	dd.fastDEMA.Bind(kLineStore)
+
+	if dd.SlowDEMAWindow == 0 {
+		dd.SlowDEMAWindow = 169
+	}
+	dd.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.SlowDEMAWindow}}
+	dd.slowDEMA.Bind(kLineStore)
+
+	dd.preloadDema(kLineStore)
+
+	return &dd
+}
--- a/pkg/strategy/supertrend/lingre.go
+++ b/pkg/strategy/supertrend/lingre.go
@ -0,0 +1,73 @@
+package supertrend
+
+import (
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// LinGre is Linear Regression baseline
+type LinGre struct {
+	types.IntervalWindow
+	baseLineSlope float64
+}
+
+// Update Linear Regression baseline slope
+func (lg *LinGre) Update(klines []types.KLine) {
+	if len(klines) < lg.Window {
+		lg.baseLineSlope = 0
+		return
+	}
+
+	var sumX, sumY, sumXSqr, sumXY float64 = 0, 0, 0, 0
+	end := len(klines) - 1 // The last kline
+	for i := end; i >= end-lg.Window+1; i-- {
+		val := klines[i].GetClose().Float64()
+		per := float64(end - i + 1)
+		sumX += per
+		sumY += val
+		sumXSqr += per * per
+		sumXY += val * per
+	}
+	length := float64(lg.Window)
+	slope := (length*sumXY - sumX*sumY) / (length*sumXSqr - sumX*sumX)
+	average := sumY / length
+	endPrice := average - slope*sumX/length + slope
+	startPrice := endPrice + slope*(length-1)
+	lg.baseLineSlope = (length - 1) / (endPrice - startPrice)
+
+	log.Debugf("linear regression baseline slope: %f", lg.baseLineSlope)
+}
+
+func (lg *LinGre) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if lg.Interval != interval {
+		return
+	}
+
+	lg.Update(window)
+}
+
+func (lg *LinGre) Bind(updater indicator.KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(lg.handleKLineWindowUpdate)
+}
+
+// GetSignal get linear regression signal
+func (lg *LinGre) GetSignal() types.Direction {
+	var lgSignal types.Direction = types.DirectionNone
+
+	switch {
+	case lg.baseLineSlope > 0:
+		lgSignal = types.DirectionUp
+	case lg.baseLineSlope < 0:
+		lgSignal = types.DirectionDown
+	}
+
+	return lgSignal
+}
+
+// preloadLinGre preloads linear regression indicator
+func (lg *LinGre) preload(kLineStore *bbgo.MarketDataStore) {
+	if klines, ok := kLineStore.KLinesOfInterval(lg.Interval); ok {
+		lg.Update((*klines)[0:])
+	}
+}
--- a/pkg/strategy/supertrend/strategy.go
+++ b/pkg/strategy/supertrend/strategy.go
@ -3,10 +3,9 @@ package supertrend
 import (
 	"context"
 	"fmt"
+	"os"
 	"sync"

-	"github.com/c9s/bbgo/pkg/util"
-
 	"github.com/pkg/errors"
 	"github.com/sirupsen/logrus"

@ -18,10 +17,9 @@ import (

 const ID = "supertrend"

-const stateKey = "state-v1"
-
 var log = logrus.WithField("strategy", ID)

+// TODO: limit order for ATR TP
 func init() {
 	// Register the pointer of the strategy struct,
 	// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
@ -30,57 +28,57 @@ func init() {
 }

 type Strategy struct {
-	*bbgo.Persistence
-
 	Environment *bbgo.Environment
-	session     *bbgo.ExchangeSession
 	Market      types.Market

 	// persistence fields
-	Position    *types.Position    `json:"position,omitempty" persistence:"position"`
-	ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
-
-	// Order and trade
-	orderExecutor *bbgo.GeneralOrderExecutor
-
-	// groupID is the group ID used for the strategy instance for canceling orders
-	groupID uint32
-
-	stopC chan struct{}
+	Position    *types.Position    `persistence:"position"`
+	ProfitStats *types.ProfitStats `persistence:"profit_stats"`
+	TradeStats  *types.TradeStats  `persistence:"trade_stats"`

 	// Symbol is the market symbol you want to trade
 	Symbol string `json:"symbol"`

-	// Interval is how long do you want to update your order price and quantity
-	Interval types.Interval `json:"interval"`
+	types.IntervalWindow

+	// Double DEMA
+	doubleDema *DoubleDema
 	// FastDEMAWindow DEMA window for checking breakout
 	FastDEMAWindow int `json:"fastDEMAWindow"`
 	// SlowDEMAWindow DEMA window for checking breakout
 	SlowDEMAWindow int `json:"slowDEMAWindow"`
-	fastDEMA       *indicator.DEMA
-	slowDEMA       *indicator.DEMA

 	// SuperTrend indicator
-	// SuperTrend SuperTrend `json:"superTrend"`
 	Supertrend *indicator.Supertrend
-	// SupertrendWindow ATR window for calculation of supertrend
-	SupertrendWindow int `json:"supertrendWindow"`
 	// SupertrendMultiplier ATR multiplier for calculation of supertrend
 	SupertrendMultiplier float64 `json:"supertrendMultiplier"`

+	// LinearRegression Use linear regression as trend confirmation
+	LinearRegression *LinGre `json:"linearRegression,omitempty"`
+
 	// Leverage
 	Leverage float64 `json:"leverage"`

-	// TakeProfitMultiplier TP according to ATR multiple, 0 to disable this
-	TakeProfitMultiplier float64 `json:"takeProfitMultiplier"`
+	// TakeProfitAtrMultiplier TP according to ATR multiple, 0 to disable this
+	TakeProfitAtrMultiplier float64 `json:"takeProfitAtrMultiplier"`

-	// StopLossByTriggeringK Set SL price to the low of the triggering Kline
+	// StopLossByTriggeringK Set SL price to the low/high of the triggering Kline
 	StopLossByTriggeringK bool `json:"stopLossByTriggeringK"`

-	// TPSLBySignal TP/SL by reversed signals
-	TPSLBySignal bool `json:"tpslBySignal"`
+	// StopByReversedSupertrend TP/SL by reversed supertrend signal
+	StopByReversedSupertrend bool `json:"stopByReversedSupertrend"`

+	// StopByReversedDema TP/SL by reversed DEMA signal
+	StopByReversedDema bool `json:"stopByReversedDema"`
+
+	// StopByReversedLinGre TP/SL by reversed linear regression signal
+	StopByReversedLinGre bool `json:"stopByReversedLinGre"`
+
+	// ExitMethods Exit methods
+	ExitMethods bbgo.ExitMethodSet `json:"exits"`
+
+	session                *bbgo.ExchangeSession
+	orderExecutor          *bbgo.GeneralOrderExecutor
 	currentTakeProfitPrice fixedpoint.Value
 	currentStopLossPrice   fixedpoint.Value

@ -105,7 +103,7 @@ func (s *Strategy) Validate() error {
 		return errors.New("interval is required")
 	}

-	if s.Leverage == 0.0 {
+	if s.Leverage <= 0.0 {
 		return errors.New("leverage is required")
 	}

@ -114,6 +112,7 @@ func (s *Strategy) Validate() error {

 func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.LinearRegression.Interval})
 }

 // Position control
@ -141,8 +140,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu

 	orderForm := s.generateOrderForm(side, quantity, types.SideEffectTypeAutoRepay)

-	log.Infof("submit close position order %v", orderForm)
-	bbgo.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage)
+	bbgo.Notify("submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, orderForm)

 	_, err := s.orderExecutor.SubmitOrders(ctx, orderForm)
 	if err != nil {
@ -153,43 +151,88 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
 	return err
 }

+// preloadSupertrend preloads supertrend indicator
+func preloadSupertrend(supertrend *indicator.Supertrend, kLineStore *bbgo.MarketDataStore) {
+	if klines, ok := kLineStore.KLinesOfInterval(supertrend.Interval); ok {
+		for i := 0; i < len(*klines); i++ {
+			supertrend.Update((*klines)[i].GetHigh().Float64(), (*klines)[i].GetLow().Float64(), (*klines)[i].GetClose().Float64())
+		}
+	}
+}
+
 // setupIndicators initializes indicators
 func (s *Strategy) setupIndicators() {
-	if s.FastDEMAWindow == 0 {
-		s.FastDEMAWindow = 144
-	}
-	s.fastDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.FastDEMAWindow}}
+	// K-line store for indicators
+	kLineStore, _ := s.session.MarketDataStore(s.Symbol)

-	if s.SlowDEMAWindow == 0 {
-		s.SlowDEMAWindow = 169
-	}
-	s.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SlowDEMAWindow}}
+	// Double DEMA
+	s.doubleDema = newDoubleDema(kLineStore, s.Interval, s.FastDEMAWindow, s.SlowDEMAWindow)

-	if s.SupertrendWindow == 0 {
-		s.SupertrendWindow = 39
+	// Supertrend
+	if s.Window == 0 {
+		s.Window = 39
 	}
 	if s.SupertrendMultiplier == 0 {
 		s.SupertrendMultiplier = 3
 	}
-	s.Supertrend = &indicator.Supertrend{IntervalWindow: types.IntervalWindow{Window: s.SupertrendWindow, Interval: s.Interval}, ATRMultiplier: s.SupertrendMultiplier}
-	s.Supertrend.AverageTrueRange = &indicator.ATR{IntervalWindow: types.IntervalWindow{Window: s.SupertrendWindow, Interval: s.Interval}}
+	s.Supertrend = &indicator.Supertrend{IntervalWindow: types.IntervalWindow{Window: s.Window, Interval: s.Interval}, ATRMultiplier: s.SupertrendMultiplier}
+	s.Supertrend.AverageTrueRange = &indicator.ATR{IntervalWindow: types.IntervalWindow{Window: s.Window, Interval: s.Interval}}
+	s.Supertrend.Bind(kLineStore)
+	preloadSupertrend(s.Supertrend, kLineStore)

+	// Linear Regression
+	if s.LinearRegression != nil {
+		if s.LinearRegression.Window == 0 {
+			s.LinearRegression = nil
+		} else if s.LinearRegression.Interval == "" {
+			s.LinearRegression = nil
+		} else {
+			s.LinearRegression.Bind(kLineStore)
+			s.LinearRegression.preload(kLineStore)
+		}
+	}
 }

-// updateIndicators updates indicators
-func (s *Strategy) updateIndicators(kline types.KLine) {
-	closePrice := kline.GetClose().Float64()
+func (s *Strategy) shouldStop(kline types.KLine, stSignal types.Direction, demaSignal types.Direction, lgSignal types.Direction) bool {
+	stopNow := false
+	base := s.Position.GetBase()
+	baseSign := base.Sign()

-	// Update indicators
-	if kline.Interval == s.fastDEMA.Interval {
-		s.fastDEMA.Update(closePrice)
+	if s.StopLossByTriggeringK && !s.currentStopLossPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentStopLossPrice) > 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentStopLossPrice) < 0)) {
+		// SL by triggering Kline low/high
+		bbgo.Notify("%s stop loss by triggering the kline low/high", s.Symbol)
+		stopNow = true
+	} else if s.TakeProfitAtrMultiplier > 0 && !s.currentTakeProfitPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) < 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) > 0)) {
+		// TP by multiple of ATR
+		bbgo.Notify("%s take profit by multiple of ATR", s.Symbol)
+		stopNow = true
+	} else if s.StopByReversedSupertrend && ((baseSign < 0 && stSignal == types.DirectionUp) || (baseSign > 0 && stSignal == types.DirectionDown)) {
+		// Use supertrend signal to TP/SL
+		bbgo.Notify("%s stop by the reversed signal of Supertrend", s.Symbol)
+		stopNow = true
+	} else if s.StopByReversedDema && ((baseSign < 0 && demaSignal == types.DirectionUp) || (baseSign > 0 && demaSignal == types.DirectionDown)) {
+		// Use DEMA signal to TP/SL
+		bbgo.Notify("%s stop by the reversed signal of DEMA", s.Symbol)
+		stopNow = true
+	} else if s.StopByReversedLinGre && ((baseSign < 0 && lgSignal == types.DirectionUp) || (baseSign > 0 && lgSignal == types.DirectionDown)) {
+		// Use linear regression signal to TP/SL
+		bbgo.Notify("%s stop by the reversed signal of linear regression", s.Symbol)
+		stopNow = true
 	}
-	if kline.Interval == s.slowDEMA.Interval {
-		s.slowDEMA.Update(closePrice)
-	}
-	if kline.Interval == s.Supertrend.Interval {
-		s.Supertrend.Update(kline.GetHigh().Float64(), kline.GetLow().Float64(), closePrice)
+
+	return stopNow
+}
+
+func (s *Strategy) getSide(stSignal types.Direction, demaSignal types.Direction, lgSignal types.Direction) types.SideType {
+	var side types.SideType
+
+	if stSignal == types.DirectionUp && demaSignal == types.DirectionUp && (s.LinearRegression == nil || lgSignal == types.DirectionUp) {
+		side = types.SideTypeBuy
+	} else if stSignal == types.DirectionDown && demaSignal == types.DirectionDown && (s.LinearRegression == nil || lgSignal == types.DirectionDown) {
+		side = types.SideTypeSell
 	}
+
+	return side
 }

 func (s *Strategy) generateOrderForm(side types.SideType, quantity fixedpoint.Value, marginOrderSideEffect types.MarginOrderSideEffectType) types.SubmitOrder {
@ -200,7 +243,6 @@ func (s *Strategy) generateOrderForm(side types.SideType, quantity fixedpoint.Va
 		Type:             types.OrderTypeMarket,
 		Quantity:         quantity,
 		MarginSideEffect: marginOrderSideEffect,
-		GroupID:          s.groupID,
 	}

 	return orderForm
@ -223,9 +265,11 @@ func (s *Strategy) calculateQuantity(currentPrice fixedpoint.Value) fixedpoint.V
 func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
 	s.session = session

+	s.currentStopLossPrice = fixedpoint.Zero
+	s.currentTakeProfitPrice = fixedpoint.Zero
+
 	// calculate group id for orders
 	instanceID := s.InstanceID()
-	s.groupID = util.FNV32(instanceID)

 	// If position is nil, we need to allocate a new position for calculation
 	if s.Position == nil {
@ -235,6 +279,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	s.Position.Strategy = ID
 	s.Position.StrategyInstanceID = s.InstanceID()

+	// Profit stats
+	if s.ProfitStats == nil {
+		s.ProfitStats = types.NewProfitStats(s.Market)
+	}
+
+	if s.TradeStats == nil {
+		s.TradeStats = types.NewTradeStats(s.Symbol)
+	}
+
 	// Set fee rate
 	if s.session.MakerFeeRate.Sign() > 0 || s.session.TakerFeeRate.Sign() > 0 {
 		s.Position.SetExchangeFeeRate(s.session.ExchangeName, types.ExchangeFee{
@ -243,15 +296,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		})
 	}

-	// Profit
-	if s.ProfitStats == nil {
-		s.ProfitStats = types.NewProfitStats(s.Market)
-	}
-
 	// Setup order executor
 	s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
 	s.orderExecutor.BindEnvironment(s.Environment)
 	s.orderExecutor.BindProfitStats(s.ProfitStats)
+	s.orderExecutor.BindTradeStats(s.TradeStats)
 	s.orderExecutor.Bind()

 	// Sync position to redis on trade
@ -259,16 +308,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		bbgo.Sync(s)
 	})

-	s.stopC = make(chan struct{})
-
 	// StrategyController
 	s.Status = types.StrategyStatusRunning
-
 	s.OnSuspend(func() {
 		_ = s.orderExecutor.GracefulCancel(ctx)
-		_ = s.Persistence.Sync(s)
+		bbgo.Sync(s)
 	})
-
 	s.OnEmergencyStop(func() {
 		_ = s.orderExecutor.GracefulCancel(ctx)
 		// Close 100% position
@ -278,108 +323,77 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	// Setup indicators
 	s.setupIndicators()

-	s.currentStopLossPrice = fixedpoint.Zero
-	s.currentTakeProfitPrice = fixedpoint.Zero
+	// Exit methods
+	for _, method := range s.ExitMethods {
+		method.Bind(session, s.orderExecutor)
+	}

-	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
+	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
 		// StrategyController
 		if s.Status != types.StrategyStatusRunning {
 			return
 		}

-		// skip k-lines from other symbols or other intervals
-		if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
-			return
-		}
+		closePrice := kline.GetClose()
+		openPrice := kline.GetOpen()
+		closePrice64 := closePrice.Float64()
+		openPrice64 := openPrice.Float64()

-		// Update indicators
-		s.updateIndicators(kline)
-
-		// Get signals
-		closePrice := kline.GetClose().Float64()
-		openPrice := kline.GetOpen().Float64()
+		// Supertrend signal
 		stSignal := s.Supertrend.GetSignal()
-		var demaSignal types.Direction
-		if closePrice > s.fastDEMA.Last() && closePrice > s.slowDEMA.Last() && !(openPrice > s.fastDEMA.Last() && openPrice > s.slowDEMA.Last()) {
-			demaSignal = types.DirectionUp
-		} else if closePrice < s.fastDEMA.Last() && closePrice < s.slowDEMA.Last() && !(openPrice < s.fastDEMA.Last() && openPrice < s.slowDEMA.Last()) {
-			demaSignal = types.DirectionDown
-		} else {
-			demaSignal = types.DirectionNone
+
+		// DEMA signal
+		demaSignal := s.doubleDema.getDemaSignal(openPrice64, closePrice64)
+
+		// Linear Regression signal
+		var lgSignal types.Direction
+		if s.LinearRegression != nil {
+			lgSignal = s.LinearRegression.GetSignal()
 		}

-		base := s.Position.GetBase()
-		baseSign := base.Sign()
+		// TP/SL if there's non-dust position and meets the criteria
+		if !s.Market.IsDustQuantity(s.Position.GetBase().Abs(), closePrice) && s.shouldStop(kline, stSignal, demaSignal, lgSignal) {
+			if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
+				s.currentStopLossPrice = fixedpoint.Zero
+				s.currentTakeProfitPrice = fixedpoint.Zero
+			}
+		}

-		// TP/SL if there's non-dust position
-		if !s.Market.IsDustQuantity(base.Abs(), kline.GetClose()) {
-			if s.StopLossByTriggeringK && !s.currentStopLossPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentStopLossPrice) > 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentStopLossPrice) < 0)) {
-				// SL by triggering Kline low
-				log.Infof("%s SL by triggering Kline low", s.Symbol)
-				bbgo.Notify("%s StopLoss by triggering the kline low", s.Symbol)
-				if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
-					s.currentStopLossPrice = fixedpoint.Zero
-					s.currentTakeProfitPrice = fixedpoint.Zero
-				}
-			} else if s.TakeProfitMultiplier > 0 && !s.currentTakeProfitPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) < 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) > 0)) {
-				// TP by multiple of ATR
-				log.Infof("%s TP by multiple of ATR", s.Symbol)
-				bbgo.Notify("%s TakeProfit by multiple of ATR", s.Symbol)
-				if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
-					s.currentStopLossPrice = fixedpoint.Zero
-					s.currentTakeProfitPrice = fixedpoint.Zero
-				}
-			} else if s.TPSLBySignal {
-				// Use signals to TP/SL
-				log.Infof("%s TP/SL by reverse of DEMA or Supertrend", s.Symbol)
-				bbgo.Notify("%s TP/SL by reverse of DEMA or Supertrend", s.Symbol)
-				if (baseSign < 0 && (stSignal == types.DirectionUp || demaSignal == types.DirectionUp)) || (baseSign > 0 && (stSignal == types.DirectionDown || demaSignal == types.DirectionDown)) {
-					if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
-						s.currentStopLossPrice = fixedpoint.Zero
-						s.currentTakeProfitPrice = fixedpoint.Zero
-					}
-				}
+		// Get order side
+		side := s.getSide(stSignal, demaSignal, lgSignal)
+		// Set TP/SL price if needed
+		if side == types.SideTypeBuy {
+			if s.StopLossByTriggeringK {
+				s.currentStopLossPrice = kline.GetLow()
+			}
+			if s.TakeProfitAtrMultiplier > 0 {
+				s.currentTakeProfitPrice = closePrice.Add(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitAtrMultiplier))
+			}
+		} else if side == types.SideTypeSell {
+			if s.StopLossByTriggeringK {
+				s.currentStopLossPrice = kline.GetHigh()
+			}
+			if s.TakeProfitAtrMultiplier > 0 {
+				s.currentTakeProfitPrice = closePrice.Sub(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitAtrMultiplier))
 			}
 		}

 		// Open position
-		var side types.SideType
-		if stSignal == types.DirectionUp && demaSignal == types.DirectionUp {
-			side = types.SideTypeBuy
-			if s.StopLossByTriggeringK {
-				s.currentStopLossPrice = kline.GetLow()
-			}
-			if s.TakeProfitMultiplier > 0 {
-				s.currentTakeProfitPrice = kline.GetClose().Add(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitMultiplier))
-			}
-		} else if stSignal == types.DirectionDown && demaSignal == types.DirectionDown {
-			side = types.SideTypeSell
-			if s.StopLossByTriggeringK {
-				s.currentStopLossPrice = kline.GetHigh()
-			}
-			if s.TakeProfitMultiplier > 0 {
-				s.currentTakeProfitPrice = kline.GetClose().Sub(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitMultiplier))
-			}
-		}
-
 		// The default value of side is an empty string. Unless side is set by the checks above, the result of the following condition is false
 		if side == types.SideTypeSell || side == types.SideTypeBuy {
-			log.Infof("open %s position for signal %v", s.Symbol, side)
 			bbgo.Notify("open %s position for signal %v", s.Symbol, side)
 			// Close opposite position if any
-			if !s.Position.IsDust(kline.GetClose()) {
+			if !s.Position.IsDust(closePrice) {
 				if (side == types.SideTypeSell && s.Position.IsLong()) || (side == types.SideTypeBuy && s.Position.IsShort()) {
-					log.Infof("close existing %s position before open a new position", s.Symbol)
 					bbgo.Notify("close existing %s position before open a new position", s.Symbol)
 					_ = s.ClosePosition(ctx, fixedpoint.One)
 				} else {
-					log.Infof("existing %s position has the same direction with the signal", s.Symbol)
 					bbgo.Notify("existing %s position has the same direction with the signal", s.Symbol)
 					return
 				}
 			}

-			orderForm := s.generateOrderForm(side, s.calculateQuantity(kline.GetClose()), types.SideEffectTypeMarginBuy)
+			orderForm := s.generateOrderForm(side, s.calculateQuantity(closePrice), types.SideEffectTypeMarginBuy)
 			log.Infof("submit open position order %v", orderForm)
 			_, err := s.orderExecutor.SubmitOrders(ctx, orderForm)
 			if err != nil {
@ -387,14 +401,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 				bbgo.Notify("can not place %s open position order", s.Symbol)
 			}
 		}
-	})
+	}))

 	// Graceful shutdown
 	bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
 		defer wg.Done()
-		close(s.stopC)

 		_ = s.orderExecutor.GracefulCancel(ctx)
+		_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
 	})

 	return nil
--- a/pkg/types/indicator.go
+++ b/pkg/types/indicator.go
@ -94,6 +94,10 @@ type SeriesExtend interface {
 	Covariance(b Series, length int) float64
 	Correlation(b Series, length int, method ...CorrFunc) float64
 	Rank(length int) SeriesExtend
+	Sigmoid() SeriesExtend
+	Softmax(window int) SeriesExtend
+	Entropy(window int) float64
+	CrossEntropy(b Series, window int) float64
 }

 type SeriesBase struct {
@ -524,7 +528,69 @@ var _ Series = &MulSeriesResult{}
 // if limit is given, will only calculate the first limit numbers (a.Index[0..limit])
 // otherwise will operate on all elements
 func Dot(a interface{}, b interface{}, limit ...int) float64 {
-	return Sum(Mul(a, b), limit...)
+	var aaf float64
+	var aas Series
+	var bbf float64
+	var bbs Series
+	var isaf, isbf bool
+
+	switch tp := a.(type) {
+	case float64:
+		aaf = tp
+		isaf = true
+	case Series:
+		aas = tp
+		isaf = false
+	default:
+		panic("input should be either Series or float64")
+	}
+	switch tp := b.(type) {
+	case float64:
+		bbf = tp
+		isbf = true
+	case Series:
+		bbs = tp
+		isbf = false
+	default:
+		panic("input should be either Series or float64")
+
+	}
+	l := 1
+	if len(limit) > 0 {
+		l = limit[0]
+	} else if isaf && isbf {
+		l = 1
+	} else {
+		if !isaf {
+			l = aas.Length()
+		}
+		if !isbf {
+			if l > bbs.Length() {
+				l = bbs.Length()
+			}
+		}
+	}
+	if isaf && isbf {
+		return aaf * bbf * float64(l)
+	} else if isaf && !isbf {
+		sum := 0.
+		for i := 0; i < l; i++ {
+			sum += aaf * bbs.Index(i)
+		}
+		return sum
+	} else if !isaf && isbf {
+		sum := 0.
+		for i := 0; i < l; i++ {
+			sum += aas.Index(i) * bbf
+		}
+		return sum
+	} else {
+		sum := 0.
+		for i := 0; i < l; i++ {
+			sum += aas.Index(i) * bbs.Index(i)
+		}
+		return sum
+	}
 }

 // Extract elements from the Series to a float64 array, following the order of Index(0..limit)
@ -881,4 +947,175 @@ func Rolling(a Series, window int) *RollingResult {
 	return &RollingResult{a, window}
 }

+type SigmoidResult struct {
+	a Series
+}
+
+func (s *SigmoidResult) Last() float64 {
+	return 1. / (1. + math.Exp(-s.a.Last()))
+}
+
+func (s *SigmoidResult) Index(i int) float64 {
+	return 1. / (1. + math.Exp(-s.a.Index(i)))
+}
+
+func (s *SigmoidResult) Length() int {
+	return s.a.Length()
+}
+
+// Sigmoid returns the input values in range of -1 to 1
+// along the sigmoid or s-shaped curve.
+// Commonly used in machine learning while training neural networks
+// as an activation function.
+func Sigmoid(a Series) SeriesExtend {
+	return NewSeries(&SigmoidResult{a})
+}
+
+// SoftMax returns the input value in the range of 0 to 1
+// with sum of all the probabilities being equal to one.
+// It is commonly used in machine learning neural networks.
+// Will return Softmax SeriesExtend result based in latest [window] numbers from [a] Series
+func Softmax(a Series, window int) SeriesExtend {
+	s := 0.0
+	max := Highest(a, window)
+	for i := 0; i < window; i++ {
+		s += math.Exp(a.Index(i) - max)
+	}
+	out := NewQueue(window)
+	for i := window - 1; i >= 0; i-- {
+		out.Update(math.Exp(a.Index(i)-max) / s)
+	}
+	return out
+}
+
+// Entropy computes the Shannon entropy of a distribution or the distance between
+// two distributions. The natural logarithm is used.
+// - sum(v * ln(v))
+func Entropy(a Series, window int) (e float64) {
+	for i := 0; i < window; i++ {
+		v := a.Index(i)
+		if v != 0 {
+			e -= v * math.Log(v)
+		}
+	}
+	return e
+}
+
+// CrossEntropy computes the cross-entropy between the two distributions
+func CrossEntropy(a, b Series, window int) (e float64) {
+	for i := 0; i < window; i++ {
+		v := a.Index(i)
+		if v != 0 {
+			e -= v * math.Log(b.Index(i))
+		}
+	}
+	return e
+}
+
+func sigmoid(z float64) float64 {
+	return 1. / (1. + math.Exp(-z))
+}
+
+func propagate(w []float64, gradient float64, x [][]float64, y []float64) (float64, []float64, float64) {
+	logloss_epoch := 0.0
+	var activations []float64
+	var dw []float64
+	m := len(y)
+	db := 0.0
+	for i, xx := range x {
+		result := 0.0
+		for j, ww := range w {
+			result += ww * xx[j]
+		}
+		a := sigmoid(result + gradient)
+		activations = append(activations, a)
+		logloss := a*math.Log1p(y[i]) + (1.-a)*math.Log1p(1-y[i])
+		logloss_epoch += logloss
+
+		db += a - y[i]
+	}
+	for j := range w {
+		err := 0.0
+		for i, xx := range x {
+			err_i := activations[i] - y[i]
+			err += err_i * xx[j]
+		}
+		err /= float64(m)
+		dw = append(dw, err)
+	}
+
+	cost := -(logloss_epoch / float64(len(x)))
+	db /= float64(m)
+	return cost, dw, db
+}
+
+func LogisticRegression(x []Series, y Series, lookback, iterations int, learningRate float64) *LogisticRegressionModel {
+	features := len(x)
+	if features == 0 {
+		panic("no feature to train")
+	}
+	w := make([]float64, features)
+	if lookback > x[0].Length() {
+		lookback = x[0].Length()
+	}
+	xx := make([][]float64, lookback)
+	for i := 0; i < lookback; i++ {
+		for j := 0; j < features; j++ {
+			xx[i] = append(xx[i], x[j].Index(lookback-i-1))
+		}
+	}
+	yy := Reverse(y, lookback)
+
+	b := 0.
+	for i := 0; i < iterations; i++ {
+		_, dw, db := propagate(w, b, xx, yy)
+		for j := range w {
+			w[j] = w[j] - (learningRate * dw[j])
+		}
+		b -= learningRate * db
+	}
+	return &LogisticRegressionModel{
+		Weight:       w,
+		Gradient:     b,
+		LearningRate: learningRate,
+	}
+}
+
+type LogisticRegressionModel struct {
+	Weight       []float64
+	Gradient     float64
+	LearningRate float64
+}
+
+/*
+// Might not be correct.
+// Please double check before uncomment this
+func (l *LogisticRegressionModel) Update(x []float64, y float64) {
+	z := 0.0
+	for i, w := l.Weight {
+		z += w * x[i]
+	}
+	a := sigmoid(z + l.Gradient)
+	//logloss := a * math.Log1p(y) + (1.-a)*math.Log1p(1-y)
+	db = a - y
+	var dw []float64
+	for j, ww := range l.Weight {
+		err := db * x[j]
+		dw = append(dw, err)
+	}
+	for i := range l.Weight {
+		l.Weight[i] -= l.LearningRate * dw[i]
+	}
+	l.Gradient -= l.LearningRate * db
+}
+*/
+
+func (l *LogisticRegressionModel) Predict(x []float64) float64 {
+	z := 0.0
+	for i, w := range l.Weight {
+		z += w * x[i]
+	}
+	return sigmoid(z + l.Gradient)
+}
+
 // TODO: ta.linreg
--- a/pkg/types/indicator_test.go
+++ b/pkg/types/indicator_test.go
@ -2,6 +2,7 @@ package types

 import (
 	"github.com/stretchr/testify/assert"
+	"gonum.org/v1/gonum/stat"
 	"testing"
 )

@ -84,3 +85,62 @@ func TestSkew(t *testing.T) {
 	sk := Skew(&a, 4)
 	assert.InDelta(t, sk, 1.129338, 0.001)
 }
+
+func TestEntropy(t *testing.T) {
+	var a = Float64Slice{.2, .0, .6, .2}
+	e := stat.Entropy(a)
+	assert.InDelta(t, e, Entropy(&a, a.Length()), 0.0001)
+}
+
+func TestCrossEntropy(t *testing.T) {
+	var a = Float64Slice{.2, .0, .6, .2}
+	var b = Float64Slice{.3, .6, .0, .1}
+	e := stat.CrossEntropy(a, b)
+	assert.InDelta(t, e, CrossEntropy(&a, &b, a.Length()), 0.0001)
+}
+
+func TestSoftmax(t *testing.T) {
+	var a = Float64Slice{3.0, 1.0, 0.2}
+	out := Softmax(&a, a.Length())
+	r := Float64Slice{0.8360188027814407, 0.11314284146556013, 0.05083835575299916}
+	for i := 0; i < out.Length(); i++ {
+		assert.InDelta(t, r.Index(i), out.Index(i), 0.001)
+	}
+}
+
+func TestSigmoid(t *testing.T) {
+	a := Float64Slice{3.0, 1.0, 2.1}
+	out := Sigmoid(&a)
+	r := Float64Slice{0.9525741268224334, 0.7310585786300049, 0.8909031788043871}
+	for i := 0; i < out.Length(); i++ {
+		assert.InDelta(t, r.Index(i), out.Index(i), 0.001)
+	}
+}
+
+// from https://en.wikipedia.org/wiki/Logistic_regression
+func TestLogisticRegression(t *testing.T) {
+	a := []Float64Slice{{0.5, 0.75, 1., 1.25, 1.5, 1.75, 2.0, 2.25, 2.5, 2.75, 3., 3.25, 3.5, 4., 4.25, 4.5, 4.75, 5., 5.5}}
+	b := Float64Slice{0, 0, 0, 0, 0, 0, 1, 0, 1, 0, 1, 0, 1, 0, 1, 1, 1, 1, 1, 1}
+	var x []Series
+	x = append(x, &a[0])
+
+	model := LogisticRegression(x, &b, a[0].Length(), 8000, 0.0009)
+	inputs := []float64{1., 2., 2.7, 3., 4., 5.}
+	results := []bool{false, false, true, true, true, true}
+	for i, x := range inputs {
+		input := []float64{x}
+		pred := model.Predict(input)
+		assert.Equal(t, pred > 0.5, results[i])
+	}
+}
+
+func TestDot(t *testing.T) {
+	a := Float64Slice{7, 6, 5, 4, 3, 2, 1, 0}
+	b := Float64Slice{200., 201., 203., 204., 203., 199.}
+	out1 := Dot(&a, &b, 3)
+	assert.InDelta(t, out1, 611., 0.001)
+	out2 := Dot(&a, 3., 2)
+	assert.InDelta(t, out2, 3., 0.001)
+	out3 := Dot(3., &a, 2)
+	assert.InDelta(t, out2, out3, 0.001)
+}
--- a/pkg/types/kline.go
+++ b/pkg/types/kline.go
@ -609,7 +609,7 @@ type KLineCallBack func(k KLine)

 func KLineWith(symbol string, interval Interval, callback KLineCallBack) KLineCallBack {
 	return func(k KLine) {
-		if k.Symbol != symbol || k.Interval != interval {
+		if k.Symbol != symbol || (k.Interval != "" && k.Interval != interval) {
 			return
 		}
 		callback(k)
--- a/pkg/types/seriesbase_imp.go
+++ b/pkg/types/seriesbase_imp.go
@ -124,3 +124,19 @@ func (s *SeriesBase) Correlation(b Series, length int, method ...CorrFunc) float
 func (s *SeriesBase) Rank(length int) SeriesExtend {
 	return Rank(s, length)
 }
+
+func (s *SeriesBase) Sigmoid() SeriesExtend {
+	return Sigmoid(s)
+}
+
+func (s *SeriesBase) Softmax(window int) SeriesExtend {
+	return Softmax(s, window)
+}
+
+func (s *SeriesBase) Entropy(window int) float64 {
+	return Entropy(s, window)
+}
+
+func (s *SeriesBase) CrossEntropy(b Series, window int) float64 {
+	return CrossEntropy(s, b, window)
+}
--- a/pkg/util/simple_args.go
+++ b/pkg/util/simple_args.go
@ -2,6 +2,7 @@ package util

 import (
 	"reflect"
+	"time"

 	"github.com/c9s/bbgo/pkg/fixedpoint"
 )
@ -11,7 +12,7 @@ import (
 func FilterSimpleArgs(args []interface{}) (simpleArgs []interface{}) {
 	for _, arg := range args {
 		switch arg.(type) {
-		case int, int64, int32, uint64, uint32, string, []byte, float64, float32, fixedpoint.Value:
+		case int, int64, int32, uint64, uint32, string, []byte, float64, float32, fixedpoint.Value, time.Time:
 			simpleArgs = append(simpleArgs, arg)
 		default:
 			rt := reflect.TypeOf(arg)
--- a/pkg/version/dev.go
+++ b/pkg/version/dev.go
@ -1,8 +1,8 @@
-//go:build !release
 // +build !release

 package version

-const Version = "v1.35.0-daaa3352-dev"
+const Version = "v1.36.0-cc8821bb-dev"
+
+const VersionGitRef = "cc8821bb"

-const VersionGitRef = "daaa3352"
--- a/pkg/version/version.go
+++ b/pkg/version/version.go
@ -1,8 +1,8 @@
-//go:build release
 // +build release

 package version

-const Version = "v1.35.0-daaa3352"
+const Version = "v1.36.0-cc8821bb"
+
+const VersionGitRef = "cc8821bb"

-const VersionGitRef = "daaa3352"