Andy Cheng
8b1d19124f
strategy/linregmaker: allow using amount for order qty calculation
2022-12-14 14:42:56 +08:00
Andy Cheng
c6f9b0feed
strategy/linregmaker: update config
2022-12-13 17:37:47 +08:00
Andy Cheng
ff334ca13d
strategy/linregmaker: calculated allowed margin when leveraged
2022-12-13 17:16:30 +08:00
Andy Cheng
79dcda5f52
strategy/linregmaker: add more trend reverse logs
2022-12-13 11:06:18 +08:00
Andy Cheng
a6956e50b7
strategy/linregmaker: add more logs
2022-12-12 18:23:49 +08:00
c9s
489b025702
grid2: refactor check spread
2022-12-07 12:24:52 +08:00
c9s
68e7d0ec24
grid2: add doc comment for gridNumber
2022-12-06 10:47:19 +08:00
c9s
c2e219e180
config: add fee rate to backtest settings
2022-12-06 10:35:16 +08:00
c9s
82a1009f35
config: add baseInvestment
2022-12-06 10:08:34 +08:00
c9s
e29f3c50e8
grid2: calculate TotalFee
2022-12-06 10:05:43 +08:00
c9s
d9e230a433
grid2: add TestBacktestStrategy skeleton for backtesting in unit test
2022-12-06 02:40:22 +08:00
c9s
aa5f2a032a
grid2: call TruncatePrice on profitSpread
2022-12-06 02:13:32 +08:00
c9s
fda7abc1f2
config: update grid2 config sample
2022-12-05 19:46:48 +08:00
c9s
c4544cf8b2
grid2: improve debug logging
2022-12-05 19:42:36 +08:00
c9s
8e3bfe8499
grid2: consider base sell quantity reduction
2022-12-05 19:37:42 +08:00
c9s
c5fb15dc22
grid2: update test grid configuration
2022-12-05 18:12:38 +08:00
c9s
19e0a20c67
grid2: fill fixedpoint.Zero for stats
2022-12-04 21:43:40 +08:00
c9s
bce004106c
grid2: check price
2022-12-04 18:21:43 +08:00
c9s
9d62720111
grid2: add log for trigger price
2022-12-04 18:17:05 +08:00
c9s
50f3ca80cf
config: add doc for stopLossPrice
2022-12-04 18:12:01 +08:00
c9s
e0a69a89c8
config: add stopLossPrice config to the default grid2 config
2022-12-04 18:02:30 +08:00
c9s
4f3a160bbf
grid2: add stopLossPrice handler
2022-12-04 18:01:58 +08:00
c9s
5f0c45093c
config: add triggerPrice doc to config
2022-12-04 17:58:32 +08:00
c9s
e1f7d8b965
add data/bbgo_test.sql to git lfs
2022-12-04 17:48:43 +08:00
c9s
5344b3d768
grid2: add TestStrategy_calculateProfit test
2022-12-04 17:35:35 +08:00
c9s
92733411a3
config: add notification settings to grid2
2022-12-04 15:34:24 +08:00
c9s
175ab289e2
config: add more doc comment
2022-12-03 16:52:58 +08:00
c9s
24910f0b22
config: add earnBase option to config
2022-12-03 16:49:46 +08:00
c9s
5f7ad125c6
grid2: add earnBase option
2022-12-03 16:03:01 +08:00
c9s
28d47ba055
grid2: update config for compound mode
2022-12-03 15:22:15 +08:00
c9s
c0573210b3
grid2: log grid info
2022-12-03 14:58:53 +08:00
c9s
de398ef146
config: update grid2 max config
2022-12-03 12:31:09 +08:00
c9s
f5bb22c82d
config: update grid2 config files
2022-12-03 11:16:29 +08:00
c9s
3fc65122b6
config: update grid2 config
2022-12-02 13:46:09 +08:00
c9s
e385b589b6
config: add grid2 config
2022-12-02 00:10:00 +08:00
Andy Cheng
19d4033aaa
strategy/linregmaker: adj config
2022-11-30 13:00:29 +08:00
Andy Cheng
71137620bd
strategy/linregmaker: qty calculation for backtest
2022-11-25 16:39:15 +08:00
Andy Cheng
8c57dec793
strategy/linregmaker: parameter of check main trend interval
2022-11-24 16:51:37 +08:00
Andy Cheng
41e27a8e38
strategy/linregmaker: default value of spread
2022-11-23 17:44:40 +08:00
Andy Cheng
0f0549fa42
strategy/linregmaker: dynamic exposure works on both direction
2022-11-23 17:23:18 +08:00
Andy Cheng
cc124d4264
strategy/linregmaker: works w/o dynamic qty
2022-11-23 16:53:08 +08:00
Andy Cheng
37a2fedf15
strategy/linregmaker: dynamic qty uses linreg slope ratio
2022-11-22 18:24:04 +08:00
Andy Cheng
6af39e2e40
strategy/supertrend: update supertrend config
2022-11-22 11:39:15 +08:00
Andy Cheng
dd0f13e742
strategy/linregmaker: misc
2022-11-22 11:35:32 +08:00
Andy Cheng
f121218ede
strategy/linregmaker: prototype
2022-11-21 13:46:13 +08:00
austin362667
c8aa4ae400
strategy: improve harmonic by adding HMM filter to denoise shark signal
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strategy: improve harmonic by adding HMM filter to denoise shark signal
2022-11-03 15:14:56 +08:00
Austin Liu
5467c8ef01
strategy:irr rollback to original nirr and consume kline
2022-11-02 16:48:50 +08:00
Yo-An Lin
335b90a97c
Merge pull request #989 from austin362667/austin362667/irr
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strategy:irr: a mean reversion based on box of klines in same direction
2022-11-02 12:59:23 +08:00
なるみ
ba7985690f
Merge pull request #1000 from c9s/narumi/rebalance/backtest
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fix: rebalance: fix backtest
2022-11-01 21:02:54 +08:00
なるみ
532f3c11e7
fix backtest
2022-10-28 15:33:08 +08:00
zenix
b2e867e51c
fix: unlimited length of indicators, add draw elapsed to drift
2022-10-27 17:35:50 +09:00
zenix
ce86544c43
optimize: drift strategy to use market trade signals
2022-10-27 17:35:50 +09:00
zenix
17825fbde1
fix: rate settings in telegram, make elliottwave draw async
2022-10-27 17:35:50 +09:00
zenix
675f84dccf
fix: SerialMarketDataStore together with backtests
2022-10-27 17:35:50 +09:00
austin362667
778a3d8be1
strategy:irr: clean up
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strategy:irr: clean up
strategy:irr: clean up
strategy:irr: clean up
2022-10-19 17:29:05 +08:00
austin362667
612261c48c
strategy:irr add klines box mean reversion
2022-10-19 16:02:20 +08:00
austin362667
303e2c8413
strategy:irr: redesign to maker strategy
2022-10-19 16:02:20 +08:00
austin362667
42d87adeec
strategy:irr: rollback to interval time ticker
2022-10-19 16:02:20 +08:00
austin362667
7974ee8fd3
strategy:irr: seperate alphas
2022-10-19 16:02:20 +08:00
austin362667
150c37995e
strategy:irr redesign trigger
2022-10-19 16:02:20 +08:00
austin362667
a3dd93dd9a
strategy:irr: add backtest/realtime ability
2022-10-19 16:02:20 +08:00
なるみ
9330b9fde5
change variable names
2022-10-13 18:18:02 +08:00
c9s
c374a56110
config: fix config maker fee rate
2022-10-06 13:52:06 +08:00
c9s
350f6d7de2
config: fix maker fee rate config
2022-10-06 13:50:52 +08:00
Yo-An Lin
4d42a61607
Merge pull request #976 from austin362667/austin362667/harmonic
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strategy: add harmonic shark pattern recognition
2022-10-05 00:37:23 +08:00
Yo-An Lin
06675d0ac8
Merge pull request #977 from austin362667/austin362667/irr
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strategy: fix irr
2022-10-05 00:36:30 +08:00
c9s
a66d8df23a
update grid config for max
2022-10-04 17:37:33 +08:00
austin362667
3c52e9e145
strategy: refactor draw lib
2022-10-04 15:23:48 +08:00
austin362667
26d640ff3b
strategy: fix irr
2022-10-04 15:23:48 +08:00
austin362667
60e51e1470
strategy: refactor harmonic draw lib
2022-10-04 15:20:17 +08:00
austin362667
f1ae7b5f30
strategy: add harmonic shark pattern recognition
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strategy: add harmonic shark pattern recognition
2022-10-04 15:20:17 +08:00
zenix
5c1d0f95e2
fix/drift_stoploss
2022-10-03 14:00:18 +09:00
zenix
58736b1b2d
refactor: extract stoploss, fix highest/lowest in trailingExit
2022-09-29 20:15:10 +09:00
zenix
5086af2886
fix: reduce Quantity precheck, drift condition, ewo refactor
2022-09-28 20:06:37 +09:00
Yo-An Lin
1b531b66a2
Merge pull request #959 from austin362667/austin362667/factorzoo
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stratgy: add irr
2022-09-28 17:05:03 +08:00
Yo-An Lin
8d92d43710
Merge pull request #955 from narumiruna/improve-marketcap
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FEATURE: marketcap: reduce frequency of querying data from coinmarketcap
2022-09-24 01:54:30 +08:00
なるみ
4b1f7c65ce
reduce frequency of querying data from coinmarketcap
2022-09-22 14:12:18 +08:00
zenix
fd875c7060
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior
2022-09-22 13:01:26 +09:00
c9s
ecc93da0cb
update xmaker configuration
2022-09-21 01:16:39 +08:00
Yo-An Lin
17b5e3566a
Merge pull request #960 from c9s/refactor/notification
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improve: improve the existing notification switch settings
2022-09-20 12:25:06 +08:00
austin362667
beb13449cb
strategy: refactor oneliner to irr
2022-09-20 10:32:57 +08:00
austin362667
d7b9721224
oneliner: add config
2022-09-20 10:32:57 +08:00
c9s
3133d54957
config: update config for new notification switches settings
2022-09-19 19:32:16 +08:00
Yo-An Lin
3230088f9f
Merge pull request #953 from zenixls2/fix/drift
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fix: drift minus weight, preloaded kline not enough
2022-09-17 18:15:44 +08:00
zenix
7044b0d8ea
fix: drift minus weight, preloaded kline not enough
2022-09-16 19:11:36 +09:00
c9s
3d7fc75e4b
pivotshort: add MACDDivergence protection
2022-09-16 01:15:18 +08:00
Yo-An Lin
dc195e824b
Merge pull request #920 from austin362667/austin362667/factorzoo
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strategy: add trend trader
2022-09-14 15:00:08 +08:00
なるみ
9b5f204cbe
get marketcap values from coinmarketcap
2022-09-14 02:44:57 +08:00
c9s
8d4eb611f3
bbgo: add more open position doc comments
2022-09-12 23:48:40 +08:00
c9s
db94b2690a
bbgo: check base balance only for long position
2022-09-11 17:49:24 +08:00
c9s
b805b19286
config: move buyBelowNeutralSMA back
2022-09-11 17:47:37 +08:00
c9s
ad6f07a40c
config: reformat config comments
2022-09-11 17:38:26 +08:00
c9s
a425c940fa
bollmaker: add trendEMA support
2022-09-11 17:28:54 +08:00
Fredrik
e02840e08d
Feature: draw pnl
2022-09-11 01:19:23 +02:00
Zenix
afad9cca47
Merge pull request #910 from zenixls2/feature/ewo_renew
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SerialMarketDataStore, elliottwave renewal
2022-09-07 18:54:01 +09:00
austin362667
46b3fabfe3
strategy: add trend trader
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strategy: add trend treader
strategy: add trend treader
2022-09-07 16:11:31 +08:00
austin362667
8b97e4c4e8
audacity: finalize strategy
2022-09-07 16:05:51 +08:00
austin362667
43a3e21a7b
audacitymaker: rename perTrade
2022-09-07 16:05:51 +08:00
austin362667
1d727345ee
strategy: redesign to audacitymaker
2022-09-07 16:05:51 +08:00
austin362667
1cc285985c
config: add ktrade
2022-09-07 16:05:51 +08:00
zenix
1d0893b699
fix: enable interval parsing for non-whitelisted time spans
2022-09-06 14:26:17 +09:00
zenix
28802dd107
feature: re-implement heikinashi for elliottwave
2022-09-05 19:32:35 +09:00
zenix
ff7fd38372
feature: ewo add draw function
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
Raphanus Lo
0b6cc6d3cd
strategy: bollmaker: sensitivity factor of BB width ratio
2022-08-31 04:31:17 +08:00
Raphanus Lo
6314a31554
strategy: bollmaker: dynamic spread by weighted Bollinger width ratio
2022-08-29 21:41:34 +08:00
zenix
6b6a24a655
feature: add gma, add wdrift, export drift filter, fix: LastPrice truncation
2022-08-23 17:22:45 +09:00
Andy Cheng
cd09ee0e34
Merge pull request #877 from andycheng123/improve/supertrend-strategy
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strategy/supertrend: update example config
2022-08-16 15:38:21 +08:00
zenix
9f8b8d97d0
fix: drift empty pnl. exit condition
2022-08-16 12:30:29 +09:00
zenix
e3309ad709
fix: redundant params
2022-08-15 21:28:14 +09:00
zenix
c1d9df8cdb
feature: export drift1m, remove take profit, add profit report for listing pnl by date
2022-08-15 21:06:46 +09:00
zenix
da28750313
feature: dump parameter to tg, esp series, fix: order tag, position calculation and bp/sp of drift
2022-08-15 21:05:29 +09:00
zenix
008814992f
fix: date parsing in tradingview, feature: enforce trailingstop in drift, add rebalance prototype
2022-08-15 21:02:59 +09:00
zenix
d11738b6b5
feature: add smart cancel to drift
2022-08-15 21:02:43 +09:00
Andy Cheng
f288e47270
strategy/supertrend: update example config
2022-08-15 18:10:56 +08:00
Yo-An Lin
62aff676da
Revert "feature: add smart cancel to drift"
2022-08-09 16:25:36 +08:00
Yo-An Lin
55b4edc595
Merge pull request #853 from zenixls2/feature/smartcancel_drift
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feature: add smart cancel to drift
2022-08-09 16:23:33 +08:00
Raphanus Lo
ed975b7ed9
Merge pull request #860 from COLDTURNIP/feature/exchange_order_amount_protection
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exchange: order fee-amount protection
2022-08-09 15:01:53 +08:00
zenix
214e7259ed
fix: date parsing in tradingview, feature: enforce trailingstop in drift, add rebalance prototype
2022-08-09 13:26:56 +09:00
zenix
53d4f21c30
feature: add smart cancel to drift
2022-08-09 13:26:56 +09:00
austin362667
c06998e0d4
config: add factorzoo
2022-08-09 00:01:36 +08:00
austin362667
c98eb22b95
strategy: factorzoo: add config
2022-08-08 20:09:15 +08:00
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
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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
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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
