357 Commits

Author	SHA1	Message	Date
Andy Cheng	550f2f3fd7	strategy/supertrend: adapt risk.AccountValueCalculator	2022-08-05 11:47:36 +08:00
Andy Cheng	1277586e16	strategy/supertrend: remove redundant part of config	2022-08-03 10:09:12 +08:00
Andy Cheng	b00efaaaf3	strategy/supertrend: re-organize exits part of config	2022-08-03 10:05:27 +08:00
Raphanus Lo	76489873ee	config: add example for order fee-amount protection	2022-08-02 13:49:09 +08:00
Raphanus Lo	68af2d0ff8	optimizer: rename optimizeex to hoptimize	2022-08-02 12:44:42 +08:00
Raphanus Lo	4ea70de439	config: add more example for optimizeex	2022-07-30 20:50:02 +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	d46267aff9	feature: use ma for tp coefficient, rewrite trailing stop for drift, export all window param to yaml	2022-07-28 19:34:12 +09:00
Yo-An Lin	3aeb6912c9	Merge pull request #846 from c9s/strategy/pivotshort ... strategy/pivotshort: refactor breaklow + add fake break stop	2022-07-27 12:18:50 +08:00
c9s	3adeb46c65	config: update pivotshort default config	2022-07-27 01:58:19 +08:00
zenix	2ceb24ad09	fix: panic on image drawing, reduce fee by smoothing the drift curve	2022-07-26 18:00:05 +09:00
zenix	a8fe20ae3a	fix: drift exit condition, trade_stats serialization in redis	2022-07-26 18:00:05 +09:00
zenix	a5039de6aa	feature: add omega ratio, print sharpe/omega/interval profit from trade_stats, use stdev for high/low diff for drift to estimate the variance and improve profit, add yaml marshal for dnum fixedpoint	2022-07-26 18:00:05 +09:00
zenix	ac5c7f5773	feature: add pnl / cummulative pnl graph, add continuous graph	2022-07-26 18:00:05 +09:00
zenix	0d65fe1b8a	feature: trailing stop, print mean and modify normalization function of output graph	2022-07-26 18:00:05 +09:00
zenix	c6563aa9bd	feature: add stoploss from stopPrice	2022-07-26 18:00:05 +09:00
zenix	9c73aa4adb	fix: fine tune drift config. fix atr updating issue	2022-07-26 18:00:05 +09:00
zenix	f2d37650a5	fix: drift bias on long entry position condition, make cancel faster	2022-07-26 18:00:05 +09:00
zenix	e097421b7b	feature: export canvas path for drift strategy. fix exit/entry order and fix missing columns from json parsing	2022-07-26 18:00:05 +09:00
zenix	c51a99400d	feature: add plot for series. add autocorrelation. add clone for indicators/series	2022-07-26 18:00:05 +09:00
zenix	69b45e90e9	add drift exit condition	2022-07-26 18:00:05 +09:00
zenix	0ae6b6736c	feature: use drift indicator to create basic strategy for study	2022-07-26 18:00:05 +09:00
c9s	c3b6cb80c3	bollmaker: upgrade bollmaker exits methods	2022-07-26 12:08:47 +08:00
Andy Cheng	07959c8862	strategy/supertrend: fix exit methods problem	2022-07-25 14:11:55 +08:00
c9s	7ce7a1b11c	config: update pivotshort config	2022-07-21 12:18:31 +08:00
c9s	88940a6a94	config: update schedule config for usdttwd market	2022-07-19 17:43:55 +08:00
c9s	6dc73f9096	config: update schedule config with back-test settings	2022-07-19 17:43:11 +08:00
c9s	1ca7e0d032	add trendEMA config to pivotshort config	2022-07-19 10:51:18 +08:00
c9s	7b3673d1d4	config: set default quantity	2022-07-19 10:49:27 +08:00
c9s	ee163eb441	pivotshort: add trendEMA protection	2022-07-13 11:09:57 +08:00
Yo-An Lin	8119afbb44	Merge branch 'main' into strategy/pivotshort	2022-07-12 23:38:23 +08:00
Andy Cheng	761ed10110	strategy/supertrend: update config	2022-07-08 17:15:38 +08:00
Andy Cheng	574e142cf9	strategy/supertrend: use types.IntervalWindow instead of types.Interval	2022-07-08 16:42:31 +08:00
Andy Cheng	f8777752a0	Merge branch 'main' into improve/supertrend-strategy	2022-07-07 10:33:30 +08:00
Andy Cheng	61174a7dfc	strategy/supertrend: update config	2022-07-07 10:14:15 +08:00
c9s	74593720a7	add ExitMethodSet.Bind method	2022-07-07 02:26:39 +08:00
Andy Cheng	10355bf359	strategy/supertrend: update config	2022-07-06 19:05:02 +08:00
Andy Cheng	c43d4e0b24	strategy/supertrend: func to get order side	2022-07-06 18:11:09 +08:00
c9s	d86338d6e6	update supertrend default back-test date range	2022-07-06 17:51:35 +08:00
c9s	0440b1ab92	config/pivotshort.yaml: change default date to 2022-01-01	2022-07-06 17:40:50 +08:00
Andy Cheng	94cb1e6724	strategy/supertrend: update config	2022-07-06 15:12:16 +08:00
Andy Cheng	20955ad7da	strategy/supertrend: update doc	2022-07-06 14:27:50 +08:00
Andy Cheng	1489759cf0	strategy/supertrend: update doc	2022-07-06 10:49:50 +08:00
Andy Cheng	91077ce61d	strategy/supertrend: add ExitMethod	2022-07-05 16:55:48 +08:00
Andy Cheng	0a0e5ac4d8	strategy/supertrend: config switch for stop by different signals	2022-07-05 15:59:35 +08:00
c9s	9126045fa9	pivotshort: adjust resistance ratio	2022-07-04 02:20:30 +08:00
c9s	278fbb7b51	pivotshort: fix support take profit method	2022-07-03 17:13:01 +08:00
c9s	1e8ac0d08a	pivotshort: improve price grouping	2022-07-02 18:51:17 +08:00
c9s	3e6b975c2c	pivotshort: refactor ResistanceShort entry method	2022-06-30 18:29:02 +08:00
c9s	bfcbf8566e	config: adjust default stop ema range	2022-06-30 17:46:42 +08:00
c9s	6aa6e57d96	add ema condition to the lower shadow take profit	2022-06-30 17:42:23 +08:00
c9s	7d5474e3dd	pivotshort: call MergeStructValues to update the field value	2022-06-30 15:49:18 +08:00
c9s	cfc4fd1f81	add doc for CumulatedVolumeTakeProfit	2022-06-29 01:39:33 +08:00
c9s	3d4f765678	rename protectionStopLoss to protectiveStopLoss	2022-06-29 01:31:56 +08:00
c9s	44d0bbc3fa	config: optimize and update pivotshort config ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-06-29 01:23:01 +08:00
c9s	279bb66a4d	update config structure	2022-06-26 19:20:46 +08:00
c9s	0715437cc5	fix lastRecordTime ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-06-26 13:23:04 +08:00
c9s	751085f8ff	clean up todo comment	2022-06-24 19:24:49 +08:00
Andy Cheng	689a12d80d	optimizer: refactor max num of process config	2022-06-21 14:18:28 +08:00
c9s	9b82de596b	refine optimizer executor config structure	2022-06-21 12:31:42 +08:00
Andy Cheng	edfdb5b888	optimizer: add max num of thread in config	2022-06-21 11:51:20 +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	6afe2de9f7	optimizer: add parallel local process worker support for optimizer	2022-06-20 17:18:05 +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	2a1beddba4	support: fix support strategy stop order update	2022-06-19 17:49:38 +08:00
c9s	6e562e2ede	increase batch insert size to 1000 for klines ... Signed-off-by: c9s <yoanlin93@gmail.com>	2022-06-19 17:41:52 +08:00
c9s	6b26d5a956	config: clean up the support config	2022-06-19 17:24:47 +08:00
zenix	aa8d188d15	fix: rename useHeikinAshi to heikinAshi in config	2022-06-17 11:38:36 +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	f9a18e04c2	Merge pull request #729 from c9s/improve/maxapi ... refactor: re-arrange maxapi files	2022-06-16 15:41:59 +08:00
c9s	4b14e7f7e5	refactor maxapi files	2022-06-16 15:22:36 +08:00
なるみ	8d9faff859	rebalance: validate symbols	2022-06-16 10:44:13 +08:00
なるみ	a4814951d4	rebalance: remove ignoreLock and simplify code	2022-06-16 01:33:28 +08:00
Yo-An Lin	e261d2c270	Merge pull request #714 from c9s/improve/sync-symbol-opt ... improve: support specifying session in the sync symbol	2022-06-14 14:34:23 +08:00
zenix	bf6726a529	fix: output color output to stderr	2022-06-14 14:41:41 +09:00
zenix	28d01486ee	clean: clean code, add comments, add more report on exit	2022-06-14 14:41:41 +09:00
c9s	f4c3573343	update sync config example	2022-06-14 13:03:37 +08:00
c9s	5949c7587e	make bounce short optional	2022-06-11 16:41:56 +08:00
c9s	3d0c0717ba	pivotshort: fix bounce short	2022-06-11 16:33:21 +08:00
c9s	ec68dc2f40	reimplement placeBounceSellOrders	2022-06-11 00:26:44 +08:00
c9s	46450c0122	pivotshort: rename pivotLength to window and update indicator manually	2022-06-10 15:34:57 +08:00
c9s	a9d2a9e57a	pivotshort: add breakLow.bounceRatio option	2022-06-10 11:36:04 +08:00
c9s	669b627521	add config/pivotshort_optimizer.yaml option	2022-06-10 02:42:16 +08:00
c9s	56f60bf1ab	fix roiTakeProfitPercentage comment	2022-06-10 02:40:15 +08:00
c9s	35a58268cf	pivotshort: add roiMinTakeProfitPercentage option and cumulatedVolume option	2022-06-10 02:39:14 +08:00
c9s	53913ede23	update pivotshort config	2022-06-10 01:24:15 +08:00
c9s	e575236db8	pivotshort: adjust shadow ratio calculation	2022-06-10 01:21:59 +08:00
c9s	9396ab9428	update pivotshort optimizer config	2022-06-10 00:02:47 +08:00
c9s	a8134561f5	pivotshort: add stopEMA	2022-06-09 18:16:32 +08:00
c9s	aa2ba265f1	pivotshort: refactor and add more fix	2022-06-09 17:36:22 +08:00
c9s	d032aa6699	add optimizer for pivotshort	2022-06-09 13:20:51 +08:00
c9s	a5e2c84434	add ETHUSDT for testing pivotshort	2022-06-09 12:34:23 +08:00
austin362667	3c40f9e90e	pivotshort: improve market sell when breaks previous pivot low only ... pivotshort: improve market sell when breaks previous pivot low only	2022-06-09 12:34:22 +08:00
c9s	c1c2b03c90	add release test script	2022-06-08 15:10:43 +08:00
c9s	d7e41648e2	add dca config	2022-06-08 12:41:22 +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
austin362667	fcdc26e188	pivotshort: add init place order	2022-06-04 02:31:04 +08:00