3718 Commits

Author	SHA1	Message	Date
Andy Cheng	dc9ecdd6ca	strategy/supertrend: add accumulated profit SMA report	2022-08-03 14:04:30 +08:00
Yo-An Lin	1b177044fb	Merge pull request #855 from COLDTURNIP/feature/optimizer_hyperparam ... optimizeex: hyperparameter optimization tool	2022-08-02 17:38:38 +08:00
Raphanus Lo	d76245cb43	exchange: adjust tests for order fee-amount protection	2022-08-02 15:12:14 +08:00
Raphanus Lo	ed7df4ddbe	exchange: order fee-amount protection ... Reduce the order amount to prevent submit rejection because of balance exceeding. submit_amount = original_amount / (1 + fee_rate) Currently supported only by FTX Pro.	2022-08-02 13:35:24 +08:00
Raphanus Lo	68af2d0ff8	optimizer: rename optimizeex to hoptimize	2022-08-02 12:44:42 +08:00
Yo-An Lin	609508288c	Merge pull request #856 from COLDTURNIP/fix/ftx_default_fee ... exchange: FTX default fee	2022-07-31 13:16:01 +08:00
Raphanus Lo	5ef34a3b61	optimizer: calculate equity diff from whole assets instead of first symbol	2022-07-31 12:52:21 +08:00
Raphanus Lo	bad0aa31b7	optimizer: print best result in the same parameter order defined in config	2022-07-30 23:43:40 +08:00
Raphanus Lo	09940ed3cd	optimizer: optimizeEx supports discrete parameters	2022-07-30 20:34:28 +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	adb8a2a713	remove ping / pong debug	2022-07-30 16:27:43 +08:00
c9s	efaf8e9559	pivotshort: add more logs	2022-07-30 13:14:29 +08:00
Raphanus Lo	76d908e2bc	optimizer: workaround for data race in TPE optimization	2022-07-30 09:57:15 +08:00
Raphanus Lo	ae3eaaaeb3	optimizer: testing: param config	2022-07-30 00:19:12 +08:00
Raphanus Lo	f5d4fa098d	optimizer: refactor selector config types	2022-07-29 23:39:56 +08:00
Raphanus Lo	4e14df443a	optimizer: fix typo	2022-07-29 23:33:51 +08:00
Raphanus Lo	23dc8a9ce3	exchange: FTX default fee	2022-07-29 21:49:04 +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
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
c9s	a132e789da	bump version to v1.38.0	2022-07-29 14:42:03 +08:00
Andy Cheng	4bc70820c4	positionmodifier: move functions into types.Position	2022-07-29 14:40:54 +08:00
Andy Cheng	9588a6f6bd	positionupdater: update command flow	2022-07-29 13:45:33 +08:00
Andy Cheng	2724949678	positionupdater: update avaerage cost	2022-07-29 12:05:39 +08:00
Andy Cheng	32b91b67dd	positionupdater: update quote position	2022-07-29 12:00:11 +08:00
Andy Cheng	8c53c7e575	positionupdater: update base position	2022-07-29 11:52:20 +08:00
Yo-An Lin	ae6c6c90a7	Merge pull request #849 from COLDTURNIP/feature/optimizer_output_asset_diff ... optimizer: print equity diff in final report	2022-07-28 18:56:41 +08:00
Yo-An Lin	a32ef8ca9a	Merge pull request #850 from COLDTURNIP/feature/optimizer_predict_grid_number ... optimizer: calculate total number of grids before testing	2022-07-28 18:54:21 +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
Raphanus Lo	16814138a1	optimizer: calculate total number of grids before testing	2022-07-28 12:36:44 +08:00
Raphanus Lo	3c0d5727e6	optimizer: print equity diff in final report	2022-07-28 12:31:17 +08:00
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	93593ffa06	bbgo: add close position tag log	2022-07-28 10:27:04 +08:00
c9s	a791b455b8	types: fix average profit/loss overflow issue	2022-07-28 10:26:48 +08:00
c9s	5fa2606357	pivotshort: rename kLineClosedStop to fakeBreakStop	2022-07-28 09:29:10 +08:00
c9s	abd99a1d93	types: fix IntervalProfits struct tag	2022-07-27 19:26:16 +08:00
c9s	03541ca746	types: record the position open time	2022-07-27 19:25:30 +08:00
c9s	56bfa22dbe	types: add position openedAt time field	2022-07-27 19:25:30 +08:00
c9s	9f06be14aa	types: calculate MaximumConsecutiveLosses and MaximumConsecutiveProfits	2022-07-27 19:25:29 +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
zenix	3f33111182	fix: rename kline Copy to Set	2022-07-27 10:55:15 +09:00
c9s	3fbc634d81	bbgo: narrow down indicator interface type	2022-07-27 02:21:25 +08:00
c9s	feef912930	indicator: pivot low reformat	2022-07-27 01:58:05 +08:00
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	4fd318701d	indicator: fix slice	2022-07-27 01:43:36 +08:00
c9s	0e18aa68f7	indicator: fix length slice calculation	2022-07-27 01:32:37 +08:00
c9s	5dd14feb42	indicator: fix pivot low indicator	2022-07-27 01:30:43 +08:00
c9s	076f196621	risk: return quantity directly if it's not zero	2022-07-27 01:29:53 +08:00
c9s	578e4b2801	indicator: fix pivot low indicator	2022-07-27 00:58:05 +08:00
zenix	da51bf44c8	fix: rebase error	2022-07-26 20:14:23 +09:00
c9s	2822e39e7b	pivotshort: remove the legacy preloadPivot	2022-07-26 19:00:09 +08:00
c9s	f460a7901d	indicator: refactor macd indicator	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
c9s	0456cdc7a9	bbgo: add hull to the standard indicator	2022-07-26 18:27:22 +08:00
c9s	2459dbd384	indicator: refactor hull indicator	2022-07-26 18:26:52 +08:00
c9s	808d742efc	bbgo: add CCI helper	2022-07-26 18:07:43 +08:00
c9s	f5e64e8e70	bbgo: add ATR, ATRP, EMV to the standard indicator set	2022-07-26 18:07:43 +08:00
c9s	1d6b1de8ba	bbgo: rename standard indicator receiver name	2022-07-26 18:07:43 +08:00
c9s	46afc54559	bbgo: refactor standard indicator set	2022-07-26 18:07:43 +08:00
c9s	94efa8890b	rename inf.go to interface.go	2022-07-26 18:07:43 +08:00
c9s	82673e501b	indicator: fix test cases	2022-07-26 18:07:43 +08:00
c9s	16c62eab2b	indicator/pivotlow: drop the legacy CalculateAndUpdate	2022-07-26 17:33:09 +08:00
c9s	0df321c880	indicator: drop the legacy CalculateAndUpdate for standard indicators	2022-07-26 17:30:41 +08:00
c9s	8bf9b280fc	add low indicator	2022-07-26 17:27:38 +08:00
c9s	eeab328648	indicator: rewrite pivotlow indicator	2022-07-26 17:00:17 +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	d2dee44647	fix: ewma copy	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	55704fdd21	fix: Reverse length, alma comment	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	586f1ff269	fix: clone on sma	2022-07-26 18:00:05 +09:00
zenix	83f8b7a84e	fix: logistic regression test case	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
zenix	69b45e90e9	add drift exit condition	2022-07-26 18:00:05 +09:00
zenix	6a9e00ebd4	fix: update drift strategy	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	44c3e5a6f7	indicator: split pivot low indicator	2022-07-26 16:50:45 +08:00
c9s	5bb1722007	binance: remove ineffected DEBUG_BINANCE_STREAM	2022-07-26 16:26:40 +08:00
c9s	e1e725878e	binance: refactor server time offset setter	2022-07-26 16:25:08 +08:00
c9s	ff61235e70	binance: rename to timeSetterOnce	2022-07-26 16:22:57 +08:00
c9s	cf5e81c848	binance: refactor set server time go routine	2022-07-26 16:22:29 +08:00
zenix	2568a81dfe	fix: binance time sync, exchange interval query interface, yaml for fixedpoint	2022-07-26 16:42:34 +09:00
Yo-An Lin	9bf48e9de4	Merge pull request #822 from c9s/fix/api-upgrade ... refactor: ewoDgtrd: upgrade order executor api	2022-07-26 14:33:06 +08:00
c9s	8986eeb3a4	bollmaker: apply kline filter closure	2022-07-26 12:08:47 +08:00
c9s	c252a7dcf9	bollmaker: fix log format issue	2022-07-26 12:08:47 +08:00
c9s	d26dd2f1da	bollmaker: remove status change setter	2022-07-26 12:08:47 +08:00
c9s	83c8bc819a	all: drop the legacy smart stops	2022-07-26 12:08:47 +08:00
c9s	c3b6cb80c3	bollmaker: upgrade bollmaker exits methods	2022-07-26 12:08:47 +08:00
c9s	6ae0620730	bollmaker: integrate exits method to bollmaker	2022-07-26 12:08:47 +08:00
c9s	06d71aab4a	types: add doc comment	2022-07-26 11:53:22 +08:00
c9s	ee4fb1a677	add 24hours guard to AddProfit	2022-07-26 11:51:58 +08:00
c9s	9c944d4aba	types: fix profit stats titles	2022-07-26 11:51:24 +08:00
c9s	549e28079b	autoborrow: call Debt() for repay	2022-07-26 11:49:04 +08:00
c9s	bdfb5d08aa	risk: pull out max quantity variable	2022-07-26 11:47:07 +08:00
c9s	9787b867ac	types: call debt()	2022-07-26 11:44:57 +08:00
c9s	79fe49f66f	types: for net() always return total sub debt	2022-07-26 11:44:34 +08:00
c9s	e482a164cf	types: repay debt when closing position	2022-07-25 22:10:02 +08:00
Yo-An Lin	2e7ed9f583	Merge pull request #840 from andycheng123/fix/supertrend-strategy ... strategy/supertrend: fix exit methods problem	2022-07-25 15:14:22 +08:00
c9s	0d5d92b26d	pivotshort: fix tail function	2022-07-25 15:02:59 +08:00
Andy Cheng	07959c8862	strategy/supertrend: fix exit methods problem	2022-07-25 14:11:55 +08:00
Yo-An Lin	bfb7dd51d6	Merge pull request #838 from c9s/improve/backtest-json-format ... improve: use marshal instead of marshal indent	2022-07-23 12:33:27 +08:00
c9s	4345cef8d7	util: use marshal instead of marshal indent	2022-07-23 12:16:06 +08:00
c9s	a609c0606a	risk: fix margin level prec assertion	2022-07-22 15:06:10 +08:00
c9s	4b7126ce41	risk: add doc comment for MarginLevel method	2022-07-22 14:54:25 +08:00
c9s	a9f9fc4e5e	risk: add margin level calculator	2022-07-22 14:53:17 +08:00
c9s	b53da177c2	risk: add test case for account calculator	2022-07-22 14:42:30 +08:00
c9s	3cf5175baa	risk: make calculateAccountNetValue public	2022-07-22 13:36:03 +08:00
c9s	a1387bb4dd	risk: move spot condition to the top	2022-07-22 12:04:43 +08:00
c9s	36cfaa924d	risk: move leverage quantity calculation to the risk package	2022-07-22 11:55:24 +08:00
c9s	54affd2f99	pivotshort: quantity calculation -- sub debt	2022-07-22 11:47:48 +08:00
c9s	76def2fe9d	pull out AccountValueCalculator	2022-07-21 19:46:58 +08:00
c9s	15879adf3b	pivotshort: fix trade loss ratio	2022-07-21 13:17:46 +08:00
c9s	88c0f31e87	pivotshort: add trade loss to the quantity calculating	2022-07-21 13:05:46 +08:00
c9s	756fcb4807	pivotshort: fix min leverage protection	2022-07-21 13:04:19 +08:00
c9s	763ae1f62f	bbgo: fix missing var	2022-07-21 12:36:26 +08:00
c9s	1079757833	bbgo: bind market data store to market data stream when allocating new instance	2022-07-21 12:35:38 +08:00
c9s	de62d9dd67	bbgo: fix injection	2022-07-21 12:33:29 +08:00
c9s	c78ba6a539	bbgo: fix strategy struct field injection phase	2022-07-21 12:18:09 +08:00
c9s	b6d0482517	pivotshort: add more logs and check	2022-07-21 12:05:05 +08:00