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375 Commits

Author SHA1 Message Date
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
c9s
6ceb54679a
add websocket log prefix 2022-06-04 00:39:24 +08:00
c9s
0b896e667f
add GMTUSDT pivoshot config with binance margin 2022-06-04 00:19:12 +08:00
austin362667
5ca651a9b4 pivotshort: clean up field name 2022-06-03 23:28:48 +08:00
austin362667
af2d88d9a3 pivotshort: add immediate market sell 2022-06-03 23:23:26 +08:00
austin362667
9dab39849b pivotshort: clean up 2022-06-03 16:38:06 +08:00
austin362667
2aac5bb273 pivotshort: improve post order & add margin 2022-06-03 15:48:49 +08:00
c9s
5d98674ab5
fix withdraw sync and improve withdraw string format 2022-06-02 13:56:24 +08:00
c9s
165b4fdb20
binance: remove loop from the withdraw history api 2022-06-02 02:31:46 +08:00
c9s
35ac5e1671
service/order: remove unused queryLast method 2022-06-02 02:13:42 +08:00
c9s
b070952b32
service/sync: rewrite trade sync with syncTask 2022-06-01 19:40:30 +08:00
Andy Cheng
adbea7d4d0 strategy: add comments to supertrend config 2022-05-31 17:48:25 +08:00
Andy Cheng
6285e145a7 strategy: margin side effect 2022-05-31 15:46:55 +08:00
Andy Cheng
a5124c743f strategy: supertrend strategy TP/SL 2022-05-31 12:53:14 +08:00
c9s
e66eb08db4
batch: refactor batch query 2022-05-31 00:59:33 +08:00
Andy Cheng
7c98fca0c2 strategy: supertrend strategy doc 2022-05-30 17:02:20 +08:00
Andy Cheng
d72a4e8e94 strategy: supertrend strategy config example 2022-05-30 16:48:07 +08:00
Zenix
8652b4e043
Merge pull request #633 from zenixls2/fix/ewo_entry 
Fix/ewo entry, backtest
 2022-05-30 15:47:46 +09:00
zenix
e3a8ef4e69 fix: statistics on entry/exit on signal changes, fix position check 2022-05-30 12:45:52 +09:00
austin362667
c904f9f0f7 strategy: add fmaker 
fmaker: cleanup
 2022-05-29 21:39:11 +08:00
c9s
70f0dccb9f
binance: convert loans and repays to global types 2022-05-29 11:52:25 +08:00
Yo-An Lin
5c5a88fe0e
Merge pull request #636 from c9s/feature/max-margin-wallet 
fix: max: fix trades/orders parsing
 2022-05-27 19:55:22 +08:00
c9s
c891cc56e3
max: fix trades/orders parsing 2022-05-27 19:48:03 +08:00
Yo-An Lin
fd10408fdb
Merge pull request #635 from c9s/feature/max-margin-wallet 
feature: max margin wallet
 2022-05-27 16:55:30 +08:00
Yo-An Lin
424c235b43
Merge pull request #617 from andycheng123/improve/bollmaker-dynamic-spread 
feature: bollmaker dynamic spread
 2022-05-27 16:55:20 +08:00
Andy Cheng
6a5268de9b strategy: update bollmaker config 2022-05-27 16:51:11 +08:00
c9s
4d8ea7d979
max: log adratio 2022-05-25 20:34:25 +08:00
zenix
e81216e678 fix: TP compare direction in ewo, feature: add trade report fro ewo, fix: db lock on insertion in sqlite3 2022-05-25 16:11:19 +09:00
zenix
99122f44bc fix: backtest kline prev close -> new open, pass exchange as pointer (for Mutex passing), ewo add filter ma34 2022-05-24 23:05:01 +09:00
zenix
dbe0fbcd4c fix: split implementation, fix code comments, add explanation on ewo params 2022-05-24 16:19:00 +09:00
Andy Cheng
f452f8eb94 strategy: update bollmaker config 2022-05-24 11:19:50 +08:00
c9s
01d1ef2255
update grid config for testing 2022-05-22 02:40:52 +08:00
c9s
f06ec76618
backtest: check quoteQuantity only when price is given 2022-05-22 01:19:43 +08:00
c9s
62de3a43ed
ci: add backtest sync test to ci flow 2022-05-20 18:07:58 +08:00
c9s
95c9fe4502
return metrics as a optimizer result 2022-05-20 01:42:32 +08:00
c9s
f984be8ced
add bollmaker_optimizer config 2022-05-19 20:39:09 +08:00
c9s
b4b4546220
sort metrics 2022-05-19 20:36:56 +08:00
c9s
b3da6caddb
optimizer: fix op builder 2022-05-19 20:31:25 +08:00
c9s
11ad34e9f7
add optimizer config 2022-05-19 18:27:05 +08:00
Andy Cheng
4aca905170 strategy: update bollmaker config 2022-05-18 14:56:39 +08:00
Andy Cheng
b41cef4bd7 strategy: use scale for dynamic spread 2022-05-18 14:31:59 +08:00
austin362667
8e93118ba6 config: add pivotshort yaml 2022-05-17 19:18:21 +08:00
austin362667
62d11181a4 pivotshort: clean up 2022-05-17 19:18:21 +08:00
austin362667
2c4a52ba30 pivot: fix futures & spot clean up 
pivot: clean up
 2022-05-17 19:18:21 +08:00
austin362667
8ab696deaa pivotshort: rename strategy & fix pivot indicator 2022-05-17 19:18:21 +08:00
austin362667
1a441425b5 strategy: pivot: add shadow TP 
strategy: pivot: add shadow TP
 2022-05-17 19:18:21 +08:00
austin362667
60a8c1f42b WIP: strategy: pivot: pivot low shorting strategy 2022-05-17 19:18:21 +08:00
Andy Cheng
0e76a90ee4 strategy: clearer comment format for dynamic spread in config 2022-05-17 10:58:12 +08:00
Zenix
356ec71570
Merge pull request #610 from zenixls2/feature/liveSLTP 
feature: SLTP from bookticker. fix: bookTicker typename, depth buffer…
 2022-05-16 20:41:15 +09:00
Andy Cheng
686a358c6e strategy: update bollmaker config 2022-05-16 13:10:48 +08:00
zenix
2e53bae0d0 update: config for ewo 2022-05-13 23:02:30 +09:00
zenix
ee27a02459 revert bollmaker default trading pair changes 2022-05-13 22:56:46 +09:00
c9s
e950ee9559
add wall strategy 2022-05-12 22:51:39 +08:00
zenix
2e79cb9fc8 fix: update old configs 2022-05-12 21:14:51 +09:00
zenix
aa2dba5dfe fix: ewo strategy sample config 2022-05-09 15:06:43 +09:00
c9s
17928986b8
remove persistence redis setting from bollmaker 2022-05-05 17:53:24 +08:00
c9s
ee621e6d4a
add xnav config 2022-05-04 16:21:53 +08:00
zenix
4eab82ee7b feature: add atr stoploss on ewoDgtrd strategy. remove callback. modify filter condition and add doc 2022-04-28 20:09:15 +09:00
c9s
7b2398ce39
autoborrow: use margin level instead of margin ratio 2022-04-25 19:05:16 +08:00
c9s
a57a238e09
bbgo: add more sync options 2022-04-25 17:18:42 +08:00
c9s
c70317af2b add autoborrow strategy 2022-04-23 15:00:04 +08:00
austin362667
7f63938a50 config: add factorzoo yaml 2022-04-20 18:10:27 +08:00
Yo-An Lin
d6755d7ca0
Merge pull request #512 from zenixls2/feature/elliott_wave 
strategy: elliott wave oscillator
 2022-04-15 15:53:24 +08:00
c9s
84c34f1d50 config: add sessions to the backtest config 2022-04-15 11:45:01 +08:00
zenix
4ee73149c1 feature: add heikinashi 2022-04-14 19:58:05 +09:00
zenix
2f51441256 fix: remove smartstop. use dynamic stoploss. improve profit and lower the lost 2022-04-13 21:10:07 +09:00
zenix
574c5b77b1 fix: improve order tracking in ewo, and more filters for the noise 2022-04-13 21:10:07 +09:00
zenix
fcf29f7e11 fix: doing some performance tuning 2022-04-13 21:10:07 +09:00
zenix
66a401f93f feature: add sample config for ewo 2022-04-13 21:10:07 +09:00
zenix
42a3737f2e fix: use series in ewo to predict values 2022-04-13 21:10:07 +09:00
なるみ
83e37f52a8 Rebalance on kline closed 2022-03-24 12:50:40 +08:00
zenix
39572c5fe0 fix: remove maker/buyer/taker/sellerCommission 2022-03-07 14:32:00 +09:00
zenix
25b5eddc03 feature: add multiple exchange support in backtest 
fix: change doc, since --exchange removed from backtest

fix: test for config changes
 2022-03-07 13:18:56 +09:00
zenix
05521a98b6 add skeleton strategy. fix most of the tests. fix final asset value 2022-02-15 12:01:39 +09:00
Andy Cheng
41c3b860b0
strategy: rename callBackRatio to callbackRatio 2022-02-06 17:47:14 +08:00
Andy Cheng
16f811f48f
strategy: support strategy doc 2022-02-06 17:47:14 +08:00
c9s
c0b8c36222 config: update bollmaker config 2022-02-01 01:43:12 +08:00
c9s
f96c2e6271 bbgo: add activated flag on trailing stop order 2022-02-01 00:41:28 +08:00
c9s
c7ce59cd6f config: add more doc to the config 2022-01-31 01:52:47 +08:00
c9s
36b0db6cc8 config: update schedule strategy config 2022-01-31 01:46:02 +08:00
c9s
bed03dbd17 schedule: refactor and improve schedule strategy with QuantityOrAmount struct 2022-01-31 01:42:21 +08:00
c9s
bcb33f6887 config: update trailing stop usage doc 2022-01-31 00:18:52 +08:00
c9s
f49b7165d8 bollmaker: fix MinNotional adjustment 2022-01-27 19:56:10 +08:00
c9s
eec26663c5 update bollmaker config 2022-01-27 19:17:00 +08:00
c9s
30a9a5849f add user data stream sync config 2022-01-27 09:34:04 +08:00
c9s
78c8cb1362 add dynamicExposurePositionScale to the sample config 2022-01-27 08:52:27 +08:00
c9s
aaec79eec9 add sync config example 2022-01-27 08:43:44 +08:00
austin362667
904e7c03ad strategy: cleanup funding strategy 
strategy: cleanup funding strategy
 2022-01-15 08:28:02 +08:00
austin362667
d0e26c66e4 strategy: add funding strategy 2022-01-15 08:28:02 +08:00
c9s
c6a20b0d53 config/bollmaker.yaml: add persistence config 2022-01-09 23:45:33 +08:00
c9s
ba7328f025 config: move disableShort and add more description 2022-01-09 22:53:35 +08:00
c9s
10e21d5a8f config: change default exchange 2022-01-09 22:49:54 +08:00
c9s
51aa45a077 config: add config doc 2022-01-09 22:48:34 +08:00
c9s
4cdb5b607b rename bollpp to bollmaker 2022-01-09 01:20:47 +08:00
c9s
567f0c8b59 update bollpp config 2022-01-08 02:40:34 +08:00
c9s
1652c17e33 config: clean up xmaker config 2022-01-01 01:06:08 +08:00
c9s
dcdf33e2c9 xmaker: pull out notifyTrade to a single callback 2021-12-27 00:12:35 +08:00
c9s
05a0745d08 fix InitExchange for publicOnly session 2021-12-26 15:29:42 +08:00
c9s
30a7ca1ce1 rename gap to xgap 2021-12-26 15:13:51 +08:00
なるみ
41d4001872 Add log 2021-12-22 01:59:25 +08:00
Yo-An Lin
1ab20e6397
Merge pull request #381 from narumiruna/maxamount 
strategy: rebalance: adjust quantity by max amount
 2021-12-21 20:20:44 +08:00
なるみ
531805a449 Adjust quantity by max amount 2021-12-20 23:46:22 +08:00
Andy Cheng
e4bdb1de06
strategy: allow setting the interval and the window for trigger MA 2021-12-19 18:28:47 +08:00
Andy Cheng
4416a96194 doc: remove obsolete back-testing commission options 2021-12-17 14:41:40 +08:00
Andy Cheng
0e82bf630f doc: update support strategy 2021-12-16 19:32:35 +08:00
Andy Cheng
debd5b3bf2 doc: issue #281 2021-12-16 18:35:44 +08:00
Andy Cheng
634b722044 doc: support strategy 2021-12-16 18:30:38 +08:00
Yo-An Lin
d531e041dd Merge pull request #357 from narumiruna/rebalance 
feature: add portfolio rebalancing strategy
 2021-12-14 12:01:07 +08:00
なるみ
f320d78f2f Refactor 2021-12-14 02:18:08 +08:00
Andy Cheng
5a6ff7ebb7 doc: fix tg doc, needs no notification: block 2021-12-13 11:43:05 +08:00
なるみ
f494a0f514 Initial commit of rebalance strategy 2021-12-13 05:19:44 +08:00
Andy Cheng
8fdd8873c8 config: add pricealert-tg.yaml 2021-12-09 20:23:40 +08:00
c9s
f6937b03e0 adjust default grid parameters 2021-12-05 02:51:08 +08:00
c9s
df683bdf56 use position to calculate the pnl 2021-12-05 02:17:15 +08:00
c9s
e835e63c9b add persistence settings to bollpp config 2021-10-18 00:57:23 +08:00
c9s
d6b707c832 bollpp: fix order quantity 2021-10-18 00:56:22 +08:00
c9s
0bd32094ee bollpp: improve bolling ping pong maker 2021-10-18 00:42:01 +08:00
c9s
4c061439d3 rename buyandhold to pricedrop 2021-10-14 13:10:00 +08:00
c9s
7119378ac0 add bollpp config 2021-10-14 12:53:46 +08:00
c9s
6e7f12ca9f rename trailingstop to emastop 2021-10-14 12:04:56 +08:00
c9s
764a8be46a adjust grid backtest parameters 2021-10-13 10:43:56 +08:00
c9s
291a2edbaa fix etf config format 2021-08-26 11:47:51 +08:00
c9s
14d6a71127 add etf config example 2021-08-26 11:37:20 +08:00
c9s
41daea9e05 config: update support example configs 2021-06-01 01:39:22 +08:00
c9s
b27a840607 add interval setting 2021-05-12 01:29:43 +08:00
c9s
4c1d2b60a9 add xbalance example 2021-05-12 01:18:18 +08:00
c9s
6c34ed2d71 increase date range 2021-05-08 01:04:48 +08:00
c9s
28b918b3f9 adjust balance config and grid parameters 2021-05-08 01:03:50 +08:00
c9s
3501e8f5fd refactor backtest, add BootstrapBacktestEnvironment 2021-05-08 00:14:25 +08:00
c9s
7c57246070 add TWD balance 2021-05-05 16:59:30 +08:00
c9s
503ce42a8d adjust backtest time range 2021-05-05 16:56:49 +08:00
Yo-An Lin
76bf6edffc add more comments to the schedule parameters 2021-05-03 00:14:12 +08:00
c9s
885d6c1a9d add schedule config for ethusdt and btcusdt 2021-05-03 00:10:29 +08:00
Yo-An Lin
4e75557c0f update schedule config 2021-05-03 00:07:46 +08:00
c9s
103095a986 add schedule config example 2021-05-03 00:06:24 +08:00
c9s
5de221524f adjust state and reset per day 2021-03-22 18:48:18 +08:00
c9s
e86f29b7cc add gap strategy 2021-03-22 17:32:21 +08:00
c9s
814a77ea39 xmaker: improve balance checking 2021-03-21 12:55:33 +08:00
c9s
e22a2caade add basic risk control to the xmaker config 2021-03-21 12:55:33 +08:00
c9s
bc620601f6 add xmaker config files 2021-03-21 12:55:33 +08:00
Larry850806
a77bd1d74c Remove unused symbols in backtest 2021-03-03 14:43:49 +08:00
c9s
83111c9eb9 test exponential scale with reverse range 2021-02-28 12:12:03 +08:00
c9s
3c9bcd8c9d add more margin order side effect alias 2021-02-28 12:00:51 +08:00
c9s
99f236d2e0 integrate quantity scale into support strategy and grid strategy 2021-02-28 11:57:25 +08:00
c9s
b158884708 add long flag to the sample config 2021-02-20 11:52:56 +08:00
c9s
b207663732 add config for testing support strategy 2021-02-20 10:32:43 +08:00
c9s
f8378957ee add more checks for bollgrid 
related to #93
 2021-02-13 16:03:31 +08:00
Yo-An Lin
7aa6b60fbc Update and rename movingstop.yaml to trailingstop.yaml 2020-12-31 17:18:25 +08:00
Yo-An Lin
ff5378bc51 Update grid-usdttwd.yaml 2020-12-31 14:02:10 +08:00
Yo-An Lin
ce83285893 Update grid-usdttwd.yaml 2020-12-31 13:56:12 +08:00
c9s
39868a99bc add usdttwd grid config 2020-12-31 13:54:17 +08:00
c9s
43c8b03da9 reconfigure price range 2020-12-29 18:32:59 +08:00
c9s
f485c1ba7f fix grid strategy order placing 2020-12-29 18:18:32 +08:00
c9s
97375da875 delete cached config/bbgo.yaml 2020-12-17 15:38:34 +08:00
c9s
16c873ce7d update readme for helm chart usage 2020-12-17 15:31:00 +08:00
c9s
bee06ea192 chart: load secrets into env vars 2020-12-17 14:09:22 +08:00
c9s
f604e3c3c9 include ETHUSDT in backtest 2020-12-14 14:40:50 +08:00
c9s
cabd8f8dcb improve buyandhold strategy 2020-12-14 14:21:02 +08:00
c9s
c5d002a0b0 fix market data kline registration 2020-12-05 13:32:41 +08:00
Yo-An Lin
535e07cf25 Create movingstop.yaml 2020-12-05 10:23:42 +08:00
ricotoothless
6ab7b04a90 fix: backtest endTime 2020-11-26 22:53:23 +08:00
Yo-An Lin
0e16434e24 Delete grid-max.yaml 2020-11-12 17:03:15 +08:00
c9s
63bfaccc4e update config 2020-11-12 16:34:57 +08:00
c9s
1a6f5b99ae bollgrid: submit orders on connect 2020-11-12 16:31:09 +08:00
c9s
fc9409673f add graceful shutdown 2020-11-12 14:50:21 +08:00
c9s
de2a8d6adc update grid backtest date range 2020-11-12 12:55:54 +08:00
c9s
6740541bcd improve bollgrid 2020-11-12 08:28:59 +08:00
c9s
4dfc0039e5 add bollgrid config 2020-11-11 23:19:08 +08:00
c9s
b2cd595069 grid: rename baseQuantity to just quantity 2020-11-11 17:55:16 +08:00
c9s
04f6da3cb8 add traditional grid strategy 2020-11-10 19:06:20 +08:00
c9s
4a2a542222 refactor basic risk controller 2020-11-09 14:56:54 +08:00
c9s
6bd3573287 add exchange field in the table so that we can reuse the kline objects for backtest 2020-11-08 12:13:34 +08:00
c9s
4b0bab31fb Merge branch 'feature/backtest' into main 2020-11-07 20:34:55 +08:00
c9s
641784e1b1 calculate pnl after the backtest 2020-11-07 20:34:34 +08:00
c9s
a4a9067c6a integrate matching engine with backtest exchange 2020-11-07 19:57:36 +08:00
c9s
573a082391 add flashcrash strategy 2020-11-07 12:02:15 +08:00
c9s
b13a2deec5 emit klines and setup account balances 2020-11-07 03:18:05 +08:00
c9s
22a214328d implement backtest command, stream and add backtest config 2020-11-07 02:57:50 +08:00
c9s
b86b74effb fix max kline parsing 2020-11-05 15:04:56 +08:00
c9s
c54c0788ab rewrite grid strategy trigger 2020-11-05 14:27:22 +08:00
c9s
8e0b5d11a7 add max grid config and fix max price formatting 2020-10-31 20:38:20 +08:00
c9s
64286bf198 adjust default grid parameters 2020-10-31 18:29:58 +08:00
c9s
fed9ec7a44 add grid config 2020-10-31 18:29:58 +08:00