Commit Graph

436 Commits

Author SHA1 Message Date
Raphanus Lo
b4e32a9ba7 hoptimizer: manually early stop
User is now able to stop trials by sending system signal (SIGINT & SIGTERM) and see the report earlier at any time.
2022-08-16 14:55:39 +08:00
c9s
e735362efd
cmd/kline: show klines from restful api 2022-08-11 00:08:48 +08:00
c9s
4e4ffe83e5
cmd: fix cpu profile starter 2022-08-09 11:37:30 +08:00
c9s
f9fe5d7790
cmd: move package import paths 2022-08-09 11:36:02 +08:00
Raphanus Lo
68af2d0ff8 optimizer: rename optimizeex to hoptimize 2022-08-02 12:44:42 +08:00
Raphanus Lo
bad0aa31b7 optimizer: print best result in the same parameter order defined in config 2022-07-30 23:43:40 +08:00
Raphanus Lo
67f8b1c32c optimizeex: hyperparameter optimization tool
Currently support the following search algorithms:
- Tree-structured Parzen Estimators (tpe, default)
- Covariance Matrix Adaptation Evolution Strategy (cmaes)
- Quasi-monte carlo sampling based on Sobol sequence (sobol)
- random search (random)

And the following objective function:
- profit
- volume
- equity
2022-07-29 17:09:54 +08:00
zenix
0ae6b6736c feature: use drift indicator to create basic strategy for study 2022-07-26 18:00:05 +09:00
Raphanus Lo
4985c760be optimizer: prepare database before executing backtests 2022-07-13 15:28:11 +08:00
c9s
a51f26e3a7
backtest: add gross profit and gross loss fields 2022-07-12 19:50:28 +08:00
c9s
7d232f86b8
remove duplicated dumper close 2022-07-12 19:34:07 +08:00
c9s
7b7d0690c7
optimizer: support --tsv option and render tsv output 2022-07-07 02:11:52 +08:00
Yo-An Lin
0b4044bbb6
Merge pull request #796 from c9s/strategy/pivotshort
strategy/pivotshort: add supportTakeProfit method
2022-07-04 12:26:32 +08:00
c9s
82f9fc139c
backtest: refactor exchange field, clean up startTime and endTime deps 2022-07-04 02:34:46 +08:00
c9s
a31f61736a
backtest: pull out userDataStream to backtestEx.BindUserData 2022-07-04 02:27:29 +08:00
c9s
ecd4df86f9
backtest: assign user data stream to backtest.Exchange before we call EmitStart 2022-07-04 02:21:14 +08:00
LarryLuTW
a0e8359d23
add market for calculator 2022-07-02 17:45:24 +08:00
c9s
527070d13d
all: rewrite and clean up graceful shutdown api 2022-06-30 15:49:18 +08:00
c9s
8c850c71a2
cmd/pnl: add --sync option 2022-06-22 18:24:34 +08:00
c9s
fa7177426f
cmd/pnl: fix trade table query 2022-06-22 18:19:11 +08:00
c9s
9574a04cce
types: add time alias string to ParseLooseFormatTime 2022-06-22 17:20:10 +08:00
Yo-An Lin
612df45c5e
Merge pull request #750 from c9s/refactor/persistence-singleton
refactor: persistence singleton and improve backtest cancel performance
2022-06-21 14:01:14 +08:00
c9s
9b82de596b
refine optimizer executor config structure 2022-06-21 12:31:42 +08:00
c9s
19d8013f49
bbgo: optimize order cancel for back-testing 2022-06-21 01:12:16 +08:00
Yo-An Lin
74e8540550
Merge pull request #749 from c9s/improve/optimizer-local-proc
improve: add parallel local process executor for optimizer
2022-06-20 21:47:06 +08:00
austin362667
c227272542 rsmaker: add bulit-in strategy
rsmaker: clean up
2022-06-20 17:23:13 +08:00
c9s
9be38e2421
optimizer: support multi metric value functions
Signed-off-by: c9s <yoanlin93@gmail.com>
2022-06-20 14:52:40 +08:00
c9s
eacd1f1ae6
all: rewrite notification api
Signed-off-by: c9s <yoanlin93@gmail.com>
2022-06-19 12:29:36 +08:00
zenix
55fa4cc8f1 fix: apply gofmt on all files, add revive action 2022-06-17 16:06:59 +09:00
zenix
f5007752b2 feature: add heikinashi support 2022-06-17 10:58:32 +09:00
なるみ
5799497a09 marketp: add marketcap strategy 2022-06-16 16:44:02 +08:00
Yo-An Lin
4ef10d1dc4
Merge pull request #713 from andycheng123/improve/share-kline
improve: share klines tsv
2022-06-16 07:33:43 +08:00
c9s
b1873aa19b
support specifying session in sync symbol 2022-06-14 13:02:36 +08:00
Andy Cheng
7ffe010c57 optimizer: kline directory by backtest period 2022-06-14 12:54:05 +08:00
Andy Cheng
8f18b414b6 optimizer: move klines to shared/ 2022-06-13 13:14:39 +08:00
Andy Cheng
70d6d8f5db optimizer: share klines in report 2022-06-13 12:26:47 +08:00
c9s
f8dbd26736
move cpu profile option to global cmd 2022-06-09 15:49:52 +08:00
c9s
854661bc71
backtest: move info log suppress after sync 2022-06-08 15:15:57 +08:00
c9s
99bf914415
add warning logs to pnl cmd 2022-06-08 15:10:43 +08:00
c9s
8c6331073d
cmd: fix pnl cmd 2022-06-08 15:10:43 +08:00
c9s
e023d0be5b
service: rewrite kline sync check 2022-06-08 15:10:43 +08:00
c9s
fc8d3ea59f
register dca strategy to builtin 2022-06-07 20:26:56 +08:00
Andy Cheng
34465fac89
Merge pull request #653 from andycheng123/strategy/supertrend
strategy: add supertrend strategy
2022-06-07 16:25:49 +08:00
Yo-An Lin
16e9535b8c
Merge pull request #638 from austin362667/strategy/f1
strategy: add fmaker
2022-06-07 12:24:26 +08:00
c9s
53e74b6262
fix timezone issue for sqlite and mysql 2022-06-07 00:48:13 +08:00
c9s
022775d0a2
service: use batch insert for kline 2022-06-06 17:21:31 +08:00
c9s
dae4afec10
fix verify() time range 2022-06-06 14:58:26 +08:00
c9s
f65b343ea6
service: clean up Verify method signature 2022-06-06 06:24:25 +08:00
c9s
39fcf1a51b
refactor sync command and add integration tests 2022-06-05 01:01:59 +08:00
c9s
9083881442
refactor exchange factory and solve the incorrect pkg import dependency from ftx 2022-06-04 11:47:55 +08:00