Zenix
|
afad9cca47
|
Merge pull request #910 from zenixls2/feature/ewo_renew
SerialMarketDataStore, elliottwave renewal
|
2022-09-07 18:54:01 +09:00 |
|
austin362667
|
46b3fabfe3
|
strategy: add trend trader
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
|
713ead669e
|
audacity: stddev outlier func & all order change to maker
|
2022-09-07 16:05:51 +08:00 |
|
austin362667
|
43a3e21a7b
|
audacitymaker: rename perTrade
|
2022-09-07 16:05:51 +08:00 |
|
austin362667
|
132f700377
|
builtib: update strategy registery
|
2022-09-07 16:05:51 +08:00 |
|
austin362667
|
1d727345ee
|
strategy: redesign to audacitymaker
|
2022-09-07 16:05:51 +08:00 |
|
austin362667
|
833d30ce64
|
ktrade: add second try
|
2022-09-07 16:05:51 +08:00 |
|
austin362667
|
6a119bfca0
|
ktrade: remove ticker
|
2022-09-07 16:05:51 +08:00 |
|
austin362667
|
a18a06819e
|
ktrade: error handling
ktrade: remove error handling
ktrade: remove error handling
ktrade: remove error handling
ktrade: error handling
|
2022-09-07 16:05:51 +08:00 |
|
austin362667
|
49f7c3de46
|
ktrade: rounding instead of ceil/floor
|
2022-09-07 16:05:51 +08:00 |
|
austin362667
|
42d7117464
|
strategy: add ktrade
|
2022-09-07 16:05:51 +08:00 |
|
zenix
|
e7a5669018
|
fix: lowestPrice in elliottwave, add more logs
|
2022-09-07 15:02:38 +09:00 |
|
zenix
|
36a5579660
|
fix: SourceSelector json marshal/unmarshal without Init from strategy. smartCancel check on order status
|
2022-09-06 19:08:05 +09:00 |
|
zenix
|
67e57b49eb
|
fix: move sourceselector to bbgo folder
|
2022-09-06 14:43:05 +09:00 |
|
zenix
|
b35bce1afd
|
fix: remove non-code file
|
2022-09-06 14:36:55 +09:00 |
|
zenix
|
1d0893b699
|
fix: enable interval parsing for non-whitelisted time spans
|
2022-09-06 14:26:17 +09:00 |
|
zenix
|
6c8902dd9c
|
fix: export kline query limit as a variable for preload decisions from strategy
|
2022-09-05 20:36:41 +09:00 |
|
zenix
|
28802dd107
|
feature: re-implement heikinashi for elliottwave
|
2022-09-05 19:32:35 +09:00 |
|
zenix
|
4a878b5596
|
fix: rename generalorderexecutor.cancel to gracefulcancelorder
|
2022-09-05 19:32:35 +09:00 |
|
zenix
|
ff7fd38372
|
feature: ewo add draw function
|
2022-09-05 19:32:35 +09:00 |
|
zenix
|
81084ddea6
|
feature: SerialMarketDataStore from session
|
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 |
|
Zenix
|
57d283726a
|
Merge pull request #900 from zenixls2/fix/backtest
fix: backtest
|
2022-09-01 11:57:05 +09:00 |
|
Yo-An Lin
|
58487aca4b
|
Merge pull request #908 from c9s/strategy/pivotshort-failed-break-high
strategy/pivotshort: failed break high improvements
|
2022-08-31 13:56:59 +08:00 |
|
c9s
|
149b1e1444
|
pivotshort: add BreakInterval config
|
2022-08-31 13:00:32 +08:00 |
|
c9s
|
3598550d3f
|
pivotshort: vwma interval should be consistent
|
2022-08-31 13:00:25 +08:00 |
|
c9s
|
c7bff1695e
|
pivotshort: avoid using 1m interval to check break
|
2022-08-31 12:59:54 +08:00 |
|
c9s
|
df902b236c
|
pivotshort: add vwma condition
|
2022-08-31 12:59:48 +08:00 |
|
Raphanus Lo
|
0b6cc6d3cd
|
strategy: bollmaker: sensitivity factor of BB width ratio
|
2022-08-31 04:31:17 +08:00 |
|
c9s
|
9d97eedc0e
|
pivotshort: add failedBreakHigh
|
2022-08-31 00:37:17 +08:00 |
|
c9s
|
ca1e9e9657
|
pivotshort: remove the legacy support take profit
|
2022-08-31 00:37:12 +08:00 |
|
Raphanus Lo
|
6314a31554
|
strategy: bollmaker: dynamic spread by weighted Bollinger width ratio
|
2022-08-29 21:41:34 +08:00 |
|
zenix
|
1eb03c3dba
|
fix: taker price, matching engine kline emit order and process order, nan in sortino and sharpe
|
2022-08-29 14:11:02 +09:00 |
|
c9s
|
11854db51a
|
pivotshort: move SupportTakeProfit to the core api
|
2022-08-26 18:09:46 +08:00 |
|
c9s
|
c8c7211e75
|
pivotshort: fix resistance short subscribe
|
2022-08-26 17:55:59 +08:00 |
|
c9s
|
a48471d4c8
|
pivotshort: refactor trend ema and stop ema
|
2022-08-26 17:52:46 +08:00 |
|
c9s
|
52d245ecf1
|
floats: move floats related functions and add crossover, crossunder funcs
|
2022-08-26 16:15:39 +08:00 |
|
Raphanus Lo
|
a2ab9db4eb
|
strategy: bollmaker: fix nil pointer
|
2022-08-25 23:43:31 +08:00 |
|
c9s
|
5953fe49d1
|
all: move float slice/map to a single package
|
2022-08-25 17:31:42 +08:00 |
|
Andy Cheng
|
e2774ed2b5
|
Merge pull request #880 from andycheng123/improve/supertrend-strategy-report
Improve: strategy-supertrend output acc. profit report to tsv file
|
2022-08-25 14:25:03 +08:00 |
|
Andy Cheng
|
fcaa6466b6
|
strategy/bollmaker: preload dynamic spreads
|
2022-08-25 13:44:38 +08:00 |
|
c9s
|
702ce5220b
|
autoborrow: improve debtRatio repay
|
2022-08-25 11:05:31 +08:00 |
|
Yo-An Lin
|
066b0ca30e
|
Merge pull request #892 from c9s/feature/pivot-right-window
feature: add pivot low right window support
|
2022-08-24 19:44:44 +08:00 |
|
c9s
|
2e71e63fae
|
all: fix interval window struct usage
|
2022-08-24 18:17:37 +08:00 |
|
Zenix
|
3a98ae00b9
|
Merge pull request #890 from zenixls2/feature/wdrift
weighted drift
|
2022-08-24 16:59:25 +09:00 |
|
Andy Cheng
|
6176c06002
|
strategy/supertrend: use pointer for AccumulatedProfitReport field in strategy struct
|
2022-08-24 13:58:30 +08:00 |
|
c9s
|
88f243c91b
|
util: move math util functions to util
|
2022-08-24 11:34:55 +08:00 |
|
Andy Cheng
|
978db22c0a
|
strategy/supertrend: accumulated daily profit uses its own window config
|
2022-08-24 11:23:48 +08:00 |
|
Andy Cheng
|
592eae8c3c
|
strategy/supertrend: output by interval
|
2022-08-23 18:43:13 +08:00 |
|
zenix
|
6b6a24a655
|
feature: add gma, add wdrift, export drift filter, fix: LastPrice truncation
|
2022-08-23 17:22:45 +09:00 |
|
c9s
|
c86b29e6dc
|
all: resolve import cycle
|
2022-08-23 02:12:26 +08:00 |
|
c9s
|
0947c28294
|
all: move PrintConfig to pkg/util
|
2022-08-23 01:56:15 +08:00 |
|
c9s
|
2611012d28
|
types: move json struct to types package
|
2022-08-23 01:54:29 +08:00 |
|
c9s
|
5a4d71b073
|
strategy/autoborrow: fix reBalanceDebt check
|
2022-08-19 18:56:25 +08:00 |
|
c9s
|
834487d568
|
strategy/schedule: add MaxBaseBalance config
|
2022-08-19 16:48:43 +08:00 |
|
c9s
|
4622f9f34e
|
autoborrow: add more verbose logs
|
2022-08-19 16:10:13 +08:00 |
|
zenix
|
5030b93285
|
fix: move canInt to dynamic
|
2022-08-18 18:05:52 +09:00 |
|
zenix
|
e5c1152030
|
doc: add comment to strategy config printing func
|
2022-08-18 17:38:27 +09:00 |
|
zenix
|
5e7ea71613
|
feature: withdraw print config functionality from drift to be a general function
|
2022-08-18 17:38:27 +09:00 |
|
c9s
|
94e2e28edd
|
strategy/autoborrow: add debt re-balancing
|
2022-08-17 16:45:10 +08:00 |
|
Andy Cheng
|
2b638d1f8f
|
strategy/supertrend: use pkg/data/tsv for tsv output
|
2022-08-16 15:49:08 +08:00 |
|
Andy Cheng
|
f7feb7e0fc
|
strategy/supertrend: output acc. profit report to tsv file
|
2022-08-16 14:42:04 +08:00 |
|
Zenix
|
2e9f554f9e
|
Merge pull request #878 from zenixls2/drift_rebase
Drift rebase
|
2022-08-16 15:35:42 +09:00 |
|
zenix
|
17d6b2465c
|
fix: drift add back symbol in InstanceID
|
2022-08-16 12:50:30 +09:00 |
|
zenix
|
14aa667d59
|
fix: drift pnl and cumpnl
|
2022-08-16 12:45:40 +09:00 |
|
zenix
|
9f8b8d97d0
|
fix: drift empty pnl. exit condition
|
2022-08-16 12:30:29 +09:00 |
|
zenix
|
71d3b926ec
|
fix: go1.7
|
2022-08-15 21:46:13 +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
|
2f75dda6ee
|
fix: highest price and lowest price reset, condition gets crossed
|
2022-08-15 21:05:08 +09:00 |
|
zenix
|
ba532bd98c
|
fix: takeProfitFactor NaN
|
2022-08-15 21:04:48 +09:00 |
|
zenix
|
e34b0c6c30
|
fix: drift pnl calculation and graph drawing, filter periods other than s.Interval and 1m
|
2022-08-15 21:04:31 +09:00 |
|
zenix
|
0cc3c5d485
|
feature: output config to telegram
|
2022-08-15 21:04:01 +09:00 |
|
zenix
|
6a4eec71d6
|
feature: create simpleinteract and remove command in notification
|
2022-08-15 21:03:48 +09:00 |
|
zenix
|
90e596f463
|
feature: send photo through telegram, register handler dynamically in strategy, fix canvas rendering
|
2022-08-15 21:03:14 +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 |
|
ankion
|
65218d8920
|
pivotshort: trendema add length check
|
2022-08-12 00:54:40 +08:00 |
|
ankion
|
1b0f653450
|
pivotshort: trendema add initial date
|
2022-08-11 16:42:29 +08:00 |
|
c9s
|
3bdc6c7f28
|
bollmaker: remove unused embedded struct
|
2022-08-10 23:46:24 +08:00 |
|
Yo-An Lin
|
62aff676da
|
Revert "feature: add smart cancel to drift"
|
2022-08-09 16:25:36 +08:00 |
|
zenix
|
5be6e822e9
|
fix: highest price and lowest price reset, condition gets crossed
|
2022-08-09 13:26:56 +09:00 |
|
zenix
|
2c4e03a102
|
fix: takeProfitFactor NaN
|
2022-08-09 13:26:56 +09:00 |
|
zenix
|
0e3aecb549
|
fix: drift pnl calculation and graph drawing, filter periods other than s.Interval and 1m
|
2022-08-09 13:26:56 +09:00 |
|
zenix
|
9704c09a09
|
feature: output config to telegram
|
2022-08-09 13:26:56 +09:00 |
|
zenix
|
45e819ebe7
|
feature: create simpleinteract and remove command in notification
|
2022-08-09 13:26:56 +09:00 |
|
zenix
|
4117a83cd1
|
feature: send photo through telegram, register handler dynamically in strategy, fix canvas rendering
|
2022-08-09 13:26:56 +09:00 |
|
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 |
|
Andy Cheng
|
ef18791c6a
|
Merge pull request #865 from andycheng123/fix/protective-stoploss
fix: protectivestoploss not working on long position
|
2022-08-09 12:15:33 +08:00 |
|
austin362667
|
bb4db871b2
|
factorzoo: add comments for strategy
factorzoo: add comments for strategy
|
2022-08-09 00:01:34 +08:00 |
|
austin362667
|
d282568614
|
factorzoo: add customized indicators
|
2022-08-08 23:50:42 +08:00 |
|
austin362667
|
bdb04a4322
|
strategy: factorzoo: refactor to logistic regression
re-format
|
2022-08-08 20:09:15 +08:00 |
|
Andy Cheng
|
5455ae810b
|
strategy/supertrend: only show nterval profit report in backtesting
|
2022-08-08 17:42:21 +08:00 |
|
Andy Cheng
|
c6407e92c8
|
strategy/supertrend: supertrend indicator adapted new indicator API
|
2022-08-08 13:07:59 +08:00 |
|
Andy Cheng
|
9d0eecc5bc
|
strategy/supertrend: linreg adapted new indicator API
|
2022-08-08 12:43:38 +08:00 |
|
Andy Cheng
|
737f6e99ba
|
strategy/supertrend: use CalculateQuoteQuantity() in strategy
|
2022-08-05 16:28:42 +08:00 |
|
Andy Cheng
|
b564e69f82
|
strategy/supertrend: add CalculateQuoteQuantity()
|
2022-08-05 15:59:20 +08:00 |
|
Andy Cheng
|
eb57e80119
|
strategy/supertrend: different qty calculation for spot and leveraged
|
2022-08-05 15:11:15 +08:00 |
|
Andy Cheng
|
550f2f3fd7
|
strategy/supertrend: adapt risk.AccountValueCalculator
|
2022-08-05 11:47:36 +08:00 |
|
Andy Cheng
|
9369ad3155
|
strategy/supertrend: adapt SetIntervalProfitCollector
|
2022-08-04 10:39:52 +08:00 |
|
Andy Cheng
|
5d1bfc6010
|
strategy/supertrend: add last period accumulated profit report
|
2022-08-03 15:31:20 +08:00 |
|
Andy Cheng
|
dc9ecdd6ca
|
strategy/supertrend: add accumulated profit SMA report
|
2022-08-03 14:04:30 +08:00 |
|
c9s
|
55a128ea90
|
pivotshort: use bbgo notify instead of just info log
|
2022-07-30 18:14:53 +08:00 |
|
c9s
|
8873101752
|
pivotshort: move trendEMA log
|
2022-07-30 18:02:28 +08:00 |
|
c9s
|
efaf8e9559
|
pivotshort: add more logs
|
2022-07-30 13:14:29 +08:00 |
|
c9s
|
bd754e1714
|
pivotshort: use infof log
|
2022-07-29 16:13:57 +08:00 |
|
Fredrik
|
b324149db2
|
added SideEffectTypeAutoRepay to supportTakeProfit
|
2022-07-29 09:41:35 +02:00 |
|
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 |
|
c9s
|
30978ecbd4
|
pivotshort: check TrendEMA pointer
|
2022-07-28 11:29:27 +08:00 |
|
c9s
|
d61047cd26
|
pivotshort: add maxGradient config to trendEMA
|
2022-07-28 10:27:16 +08:00 |
|
c9s
|
5fa2606357
|
pivotshort: rename kLineClosedStop to fakeBreakStop
|
2022-07-28 09:29:10 +08:00 |
|
c9s
|
151d907457
|
use debug log for trendEMA
|
2022-07-27 19:22:56 +08:00 |
|
c9s
|
c65456e44b
|
pivotshort: refactor and add trendEMA to resistance short
|
2022-07-27 19:22:56 +08:00 |
|
c9s
|
2719c86400
|
pivotshort: drop unused tail function
|
2022-07-27 19:22:56 +08:00 |
|
c9s
|
5821dd02cb
|
pivotshort: fix log format
|
2022-07-27 19:22:56 +08:00 |
|
c9s
|
9b35c789ee
|
pivotshort: add total quantity to the notification
|
2022-07-27 19:22:55 +08:00 |
|
c9s
|
b067c02cf0
|
pivotshort: fix resistance order quantity calculation
|
2022-07-27 19:22:55 +08:00 |
|
c9s
|
a9eef3fb93
|
pivotshort: fix pivot low usage
|
2022-07-27 19:22:55 +08:00 |
|
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
|
4c6fe11796
|
pivotshort: rename ClosedKLineStop to fake break stop
|
2022-07-27 12:04:54 +08:00 |
|
c9s
|
7438798390
|
bbgo: add ClosedKLineStop trigger
|
2022-07-27 11:47:12 +08:00 |
|
c9s
|
f323e91a56
|
pivotshort: fix resistance short
|
2022-07-27 11:30:32 +08:00 |
|
Yo-An Lin
|
4fd571d712
|
Merge pull request #813 from zenixls2/feature/drift_study
feature: drift study
|
2022-07-27 11:29:48 +08:00 |
|
zenix
|
84c7c0596d
|
fix: fix drift naming style, fix kline Copy -> Set
|
2022-07-27 12:17:33 +09:00 |
|
c9s
|
ac496e8488
|
pivotshort: refactor pivot low collector
|
2022-07-27 01:57:28 +08:00 |
|
c9s
|
b746f801f7
|
pivotshort: get the correct pivot low value
|
2022-07-27 01:56:18 +08:00 |
|
c9s
|
854af6b4bd
|
pivotshort: use new config struct stopEMA and trendEMA
|
2022-07-27 01:53:53 +08:00 |
|
c9s
|
6f64b6d08e
|
pivotshort: introduce new config struct
|
2022-07-27 01:51:47 +08:00 |
|
c9s
|
2822e39e7b
|
pivotshort: remove the legacy preloadPivot
|
2022-07-26 19:00:09 +08:00 |
|
c9s
|
3959e288fd
|
all: refactor standard indicator helper and fix tests
|
2022-07-26 18:35:50 +08:00 |
|
zenix
|
85f8b9510d
|
fix: gofmt
|
2022-07-26 18:00:05 +09:00 |
|
zenix
|
4dd4c5823f
|
fix: unlock lock to get latest price
|
2022-07-26 18:00:05 +09:00 |
|
zenix
|
2ceb24ad09
|
fix: panic on image drawing, reduce fee by smoothing the drift curve
|
2022-07-26 18:00:05 +09:00 |
|
zenix
|
553a55811c
|
fix: buyPrice/sellPrice calculation on one order multiple trades
|
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
|
b6fb5e958d
|
feature: deduct fee from entry, move StopLoss orders cleanup to the begin of close position function
|
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
|
62aac8ecc4
|
fix: indicator limits
|
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
|
b52208d7b6
|
fix: bug in wrong channel subscription in drift
|
2022-07-26 18:00:05 +09:00 |
|
zenix
|
7368069c7a
|
fix: add persistence to drift
|
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
|
7310feb0de
|
fix: highest price normalization in drift strategy
|
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 |
|