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
...
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
...
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
...
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
...
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
