Commit Graph

3920 Commits

Author SHA1 Message Date
austin362667
73a8f3586f builtib: update strategy list
builtib: update strategy list
2022-09-07 16:05:51 +08:00
austin362667
1d727345ee strategy: redesign to audacitymaker 2022-09-07 16:05:51 +08:00
austin362667
833d30ce64 ktrade: add second try 2022-09-07 16:05:51 +08:00
austin362667
6a119bfca0 ktrade: remove ticker 2022-09-07 16:05:51 +08:00
austin362667
a18a06819e ktrade: error handling
ktrade: remove error handling

ktrade: remove error handling

ktrade: remove error handling

ktrade: error handling
2022-09-07 16:05:51 +08:00
austin362667
49f7c3de46 ktrade: rounding instead of ceil/floor 2022-09-07 16:05:51 +08:00
austin362667
42d7117464 strategy: add ktrade 2022-09-07 16:05:51 +08:00
c9s
56c53958cd
fixedpoint: positive tester and negative tester 2022-09-07 15:11:07 +08:00
c9s
c62330b2c1
fixedpoint: add counter func 2022-09-07 14:05:44 +08:00
c9s
e28921879d
types: implement stats update method for live trading 2022-09-07 14:02:57 +08:00
zenix
e7a5669018 fix: lowestPrice in elliottwave, add more logs 2022-09-07 15:02:38 +09:00
c9s
668180f8aa
fixedpoint: add reducer and its tests 2022-09-07 14:00:26 +08:00
c9s
e161f4ec1a
fixedpoint: add sort interface support on fixedpoint 2022-09-07 12:35:09 +08:00
c9s
e0e279f756
fixedpoint: add reducer 2022-09-07 12:28:13 +08:00
c9s
6b4661783d
types: group profits by order id 2022-09-07 11:59:08 +08:00
c9s
4c3334c482
types: assign orderID to profit object 2022-09-07 11:57:09 +08:00
c9s
889318ddcb
cmd/order: add market order support 2022-09-07 02:17:56 +08:00
c9s
90b633158a
cmd/order: add margin-side-effect option 2022-09-07 02:01:38 +08:00
c9s
33fdcefba3
bbgo: add notification tag 2022-09-07 01:05:43 +08:00
c9s
c2eec1e72b
bbgo: move fixedpoint one const to consts.go 2022-09-07 00:50:54 +08:00
c9s
62fb09c8d9
bbgo: protective stop should send notification when it's activated 2022-09-07 00:50:16 +08:00
c9s
9bbd69c030
bump version to v1.40.2 2022-09-07 00:40:01 +08:00
c9s
f62eb301e3
fix: fix pivothigh indicator use high instead of low 2022-09-06 23:39:13 +08:00
zenix
66c8a3bb0d fix: rename getSource to sourceGetter 2022-09-06 19:15:13 +09:00
zenix
36a5579660 fix: SourceSelector json marshal/unmarshal without Init from strategy. smartCancel check on order status 2022-09-06 19:08:05 +09:00
c9s
8f363677bc
move bootstrap functions 2022-09-06 16:50:45 +08:00
zenix
67e57b49eb fix: move sourceselector to bbgo folder 2022-09-06 14:43:05 +09:00
zenix
b35bce1afd fix: remove non-code file 2022-09-06 14:36:55 +09:00
zenix
1d0893b699 fix: enable interval parsing for non-whitelisted time spans 2022-09-06 14:26:17 +09:00
c9s
ed975de2cd
cmd: write config json file into the backtest report dir 2022-09-06 13:20:37 +08:00
c9s
8ed39f7565
cmd: add session name to the symbol report json file 2022-09-06 13:18:35 +08:00
Raphanus Lo
7416f1074a
Merge pull request #915 from COLDTURNIP/feature/observer_filters
feature: add G-H filter and Kalman filter
2022-09-05 20:29:41 +08:00
zenix
6c8902dd9c fix: export kline query limit as a variable for preload decisions from strategy 2022-09-05 20:36:41 +09:00
zenix
28802dd107 feature: re-implement heikinashi for elliottwave 2022-09-05 19:32:35 +09:00
zenix
4a878b5596 fix: rename generalorderexecutor.cancel to gracefulcancelorder 2022-09-05 19:32:35 +09:00
zenix
ff7fd38372 feature: ewo add draw function 2022-09-05 19:32:35 +09:00
zenix
81084ddea6 feature: SerialMarketDataStore from session 2022-09-05 19:32:35 +09:00
zenix
fad9dedd1f fix: active order book cancel message 2022-09-05 19:32:35 +09:00
zenix
938dc3c497 feature: add serialmarketdatastore, add elliottwave strategy to replace ewoDgtrd, add active cancel on general order executor, add pca 2022-09-05 19:32:35 +09:00
c9s
925df19ee0
bump version to v1.40.1 2022-09-05 18:19:03 +08:00
c9s
28027518f6
fix utils/generate-version-file.sh 2022-09-05 18:18:45 +08:00
c9s
bf4eade604
backtest: fix backtest fee mode when fee currency is not base or quote 2022-09-05 17:41:12 +08:00
Raphanus Lo
65cd17dbbb bbgo: add G-H & Kalman filters to the standard indicator set 2022-09-05 17:13:50 +08:00
Raphanus Lo
425d9e0475 indicator: GH & Kalman filters: remove deprecated method implementation 2022-09-05 16:51:30 +08:00
Raphanus Lo
9c684c124c feature: add G-H filter and Kalman filter
- implement G-H (alpha beta) filter and Kalman filter
- compare the predict accurateness with other indicator
2022-09-04 21:48:05 +08:00
Larry Lu
269529afa4
Fix typo 2022-09-04 13:35:01 +08:00
Yo-An Lin
55474b4bf9
Merge pull request #913 from COLDTURNIP/fix/fixedpoint_support_inf_string_unmarshal
fix: fixedpoint UnarshalJson on inf
2022-09-02 15:14:34 +08:00
Raphanus Lo
338c4ea170 fix: fixedpoint UnarshalJson on inf for decimal support 2022-09-02 15:02:46 +08:00
c9s
3a225fe7c7
backtest: fix tests for fee 2022-09-02 14:31:04 +08:00
Raphanus Lo
750bdc82b5 fix: fixedpoint UnarshalJson on inf 2022-09-02 14:17:51 +08:00
c9s
db622fbb55
types: add CsvHeaders and CsvRecords methods to TradeStats 2022-09-02 14:16:16 +08:00
c9s
5c8d2a019a
backtest: rename BackTest to Backtest 2022-09-02 14:16:16 +08:00
c9s
30742bcf0b
backtest: set default fee mode to quote mode 2022-09-02 14:16:16 +08:00
c9s
2e9487e9f4
backtest: fix fee calculator 2022-09-02 14:16:16 +08:00
c9s
d2f9a352a2
backtest,accounting: add position info to the average cost pnl report 2022-09-02 14:16:16 +08:00
c9s
45fb87f2b8
backtest: add fee mode function tests 2022-09-02 14:16:16 +08:00
c9s
10ed706ed6
backtest: move fee mode functions to fee.go 2022-09-02 14:16:16 +08:00
c9s
8cd646668a
bbgo: use enumer to generate enumer parser 2022-09-02 14:16:16 +08:00
c9s
3d32faff46
backtest: add fee mode config 2022-09-02 14:16:15 +08:00
zenix
acd057cf3e fix: set exchangeDataSource to pointer in backtest to prevent pass by copy in for loop 2022-09-02 12:32:38 +09:00
Zenix
57d283726a
Merge pull request #900 from zenixls2/fix/backtest
fix: backtest
2022-09-01 11:57:05 +09:00
Yo-An Lin
58487aca4b
Merge pull request #908 from c9s/strategy/pivotshort-failed-break-high
strategy/pivotshort: failed break high improvements
2022-08-31 13:56:59 +08:00
c9s
149b1e1444
pivotshort: add BreakInterval config 2022-08-31 13:00:32 +08:00
c9s
3598550d3f
pivotshort: vwma interval should be consistent 2022-08-31 13:00:25 +08:00
c9s
c7bff1695e
pivotshort: avoid using 1m interval to check break 2022-08-31 12:59:54 +08:00
c9s
df902b236c
pivotshort: add vwma condition 2022-08-31 12:59:48 +08:00
zenix
a28b257568 fix: debug code 2022-08-31 13:01:00 +09:00
Raphanus Lo
0b6cc6d3cd strategy: bollmaker: sensitivity factor of BB width ratio 2022-08-31 04:31:17 +08:00
c9s
51972e9e28
bbgo: fix indicator load key duplicate issue 2022-08-31 01:45:06 +08:00
c9s
70fb6d19a9
indicator: rename PivotHigh value field 2022-08-31 01:44:51 +08:00
c9s
8fcc3ee368
indicator: update pivot low and pivot high indicator 2022-08-31 01:44:38 +08:00
c9s
9d97eedc0e
pivotshort: add failedBreakHigh 2022-08-31 00:37:17 +08:00
c9s
ca1e9e9657
pivotshort: remove the legacy support take profit 2022-08-31 00:37:12 +08:00
zenix
b52598d1ad fix: fixedpoint MarshalJson on inf 2022-08-30 21:55:16 +09:00
zenix
51d7c1b9ad fix: currentTime in backtest not updated 2022-08-30 21:12:23 +09:00
zenix
be1f6e7242 fix: add description on the limit taker behavior 2022-08-30 21:07:49 +09:00
zenix
c2d5a5961f fix: legacy fixedpoint inf handling, refactor backtest kline consuming 2022-08-30 21:02:21 +09:00
zenix
20ee3fdfbb fix: nan in sortino and sharpe 2022-08-30 12:42:50 +09:00
zenix
c73f4018d0 fix: null pointer error on NextKLine 2022-08-30 12:09:39 +09:00
Yo-An Lin
251d1b7095
Merge pull request #899 from c9s/fix/local-timezone
fix: fix localtime zone issue for the web-based backtest report
2022-08-30 00:57:24 +08:00
Raphanus Lo
6314a31554 strategy: bollmaker: dynamic spread by weighted Bollinger width ratio 2022-08-29 21:41:34 +08:00
zenix
ecc959835a fix: cache params and kline until next kline 1m appears 2022-08-29 19:46:58 +09:00
zenix
1eb03c3dba fix: taker price, matching engine kline emit order and process order, nan in sortino and sharpe 2022-08-29 14:11:02 +09:00
c9s
179a9b1ddb
fix: ensure that orders.tsv are rendered in local timezone 2022-08-26 19:09:11 +08:00
c9s
17ba1c142d
bbgo: fix support take profit field type 2022-08-26 18:12:42 +08:00
c9s
fb9a4994c0
bbgo: add supportTakeProfit method to the core exit methods 2022-08-26 18:11:45 +08:00
c9s
11854db51a
pivotshort: move SupportTakeProfit to the core api 2022-08-26 18:09:46 +08:00
c9s
c8c7211e75
pivotshort: fix resistance short subscribe 2022-08-26 17:55:59 +08:00
c9s
a48471d4c8
pivotshort: refactor trend ema and stop ema 2022-08-26 17:52:46 +08:00
c9s
8b7f4c6222
bbgo: add ProtectiveStopLoss doc comment 2022-08-26 17:52:46 +08:00
c9s
ba918f80ee
floats: add test case for Lower and Higher 2022-08-26 16:57:46 +08:00
c9s
f0ef60bb2b
floats: add reference link 2022-08-26 16:28:57 +08:00
c9s
9a0988db35
floats: port some functions from ta-lib
see https://github.com/markcheno/go-talib/blob/master/talib.go
2022-08-26 16:25:31 +08:00
c9s
52d245ecf1
floats: move floats related functions and add crossover, crossunder funcs 2022-08-26 16:15:39 +08:00
Raphanus Lo
a2ab9db4eb strategy: bollmaker: fix nil pointer 2022-08-25 23:43:31 +08:00
c9s
5953fe49d1
all: move float slice/map to a single package 2022-08-25 17:31:42 +08:00
Raphanus Lo
de4f3721a2 backtest: avoid inifite float64 JSON serializing issue 2022-08-25 15:45:08 +08:00
Raphanus Lo
de59c1bd13 backtest: reformat sharpe/sortino report 2022-08-25 15:45:08 +08:00
Raphanus Lo
ad1b9a53a1 backtest: calculate realized Sharpe & Sortino ratios 2022-08-25 15:45:08 +08:00
Andy Cheng
e2774ed2b5
Merge pull request #880 from andycheng123/improve/supertrend-strategy-report
Improve: strategy-supertrend output acc. profit report to tsv file
2022-08-25 14:25:03 +08:00