3836 Commits

Author	SHA1	Message	Date
c9s	f62eb301e3	fix: fix pivothigh indicator use high instead of low	2022-09-06 23:39:13 +08:00
c9s	8f363677bc	move bootstrap functions	2022-09-06 16:50:45 +08:00
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
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