295 Commits

Author	SHA1	Message	Date
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