Raphanus Lo
|
425d9e0475
|
indicator: GH & Kalman filters: remove deprecated method implementation
|
2022-09-05 16:51:30 +08:00 |
|
Raphanus Lo
|
9c684c124c
|
feature: add G-H filter and Kalman filter
- implement G-H (alpha beta) filter and Kalman filter
- compare the predict accurateness with other indicator
|
2022-09-04 21:48:05 +08:00 |
|
Yo-An Lin
|
843b81e132
|
Merge pull request #914 from LarryLuTW/patch-1
Fix typo
|
2022-09-04 13:43:54 +08:00 |
|
Larry Lu
|
269529afa4
|
Fix typo
|
2022-09-04 13:35:01 +08:00 |
|
Yo-An Lin
|
55474b4bf9
|
Merge pull request #913 from COLDTURNIP/fix/fixedpoint_support_inf_string_unmarshal
fix: fixedpoint UnarshalJson on inf
|
2022-09-02 15:14:34 +08:00 |
|
Yo-An Lin
|
fcb7a27f70
|
Merge pull request #911 from c9s/feature/backtest-report
feature: add fee mode to back-test matching engine
|
2022-09-02 15:09:04 +08:00 |
|
Raphanus Lo
|
338c4ea170
|
fix: fixedpoint UnarshalJson on inf for decimal support
|
2022-09-02 15:02:46 +08:00 |
|
c9s
|
3a225fe7c7
|
backtest: fix tests for fee
|
2022-09-02 14:31:04 +08:00 |
|
Raphanus Lo
|
750bdc82b5
|
fix: fixedpoint UnarshalJson on inf
|
2022-09-02 14:17:51 +08:00 |
|
c9s
|
db622fbb55
|
types: add CsvHeaders and CsvRecords methods to TradeStats
|
2022-09-02 14:16:16 +08:00 |
|
c9s
|
d9cce129a0
|
doc: add feeMode to the doc
|
2022-09-02 14:16:16 +08:00 |
|
c9s
|
5c8d2a019a
|
backtest: rename BackTest to Backtest
|
2022-09-02 14:16:16 +08:00 |
|
c9s
|
30742bcf0b
|
backtest: set default fee mode to quote mode
|
2022-09-02 14:16:16 +08:00 |
|
c9s
|
2e9487e9f4
|
backtest: fix fee calculator
|
2022-09-02 14:16:16 +08:00 |
|
c9s
|
d2f9a352a2
|
backtest,accounting: add position info to the average cost pnl report
|
2022-09-02 14:16:16 +08:00 |
|
c9s
|
45fb87f2b8
|
backtest: add fee mode function tests
|
2022-09-02 14:16:16 +08:00 |
|
c9s
|
10ed706ed6
|
backtest: move fee mode functions to fee.go
|
2022-09-02 14:16:16 +08:00 |
|
c9s
|
8cd646668a
|
bbgo: use enumer to generate enumer parser
|
2022-09-02 14:16:16 +08:00 |
|
c9s
|
3d32faff46
|
backtest: add fee mode config
|
2022-09-02 14:16:15 +08:00 |
|
Yo-An Lin
|
38dbd17664
|
Merge pull request #912 from zenixls2/fix/klineHandlerBacktest
fix backtest output
|
2022-09-02 14:15:04 +08:00 |
|
zenix
|
acd057cf3e
|
fix: set exchangeDataSource to pointer in backtest to prevent pass by copy in for loop
|
2022-09-02 12:32:38 +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 |
|
Yo-An Lin
|
5217947a83
|
Merge pull request #907 from c9s/dependabot/npm_and_yarn/contracts/minimist-1.2.6
build(deps): bump minimist from 1.2.5 to 1.2.6 in /contracts
|
2022-08-31 13:01:21 +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 |
|
dependabot[bot]
|
d2d1e46e3b
|
build(deps): bump minimist from 1.2.5 to 1.2.6 in /contracts
Bumps [minimist](https://github.com/substack/minimist) from 1.2.5 to 1.2.6.
- [Release notes](https://github.com/substack/minimist/releases)
- [Commits](https://github.com/substack/minimist/compare/1.2.5...1.2.6)
---
updated-dependencies:
- dependency-name: minimist
dependency-type: indirect
...
Signed-off-by: dependabot[bot] <support@github.com>
|
2022-08-31 04:51:28 +00:00 |
|
zenix
|
a28b257568
|
fix: debug code
|
2022-08-31 13:01:00 +09:00 |
|
Raphanus Lo
|
0b6cc6d3cd
|
strategy: bollmaker: sensitivity factor of BB width ratio
|
2022-08-31 04:31:17 +08:00 |
|
Yo-An Lin
|
c8f3dae34a
|
Merge pull request #906 from c9s/dependabot/npm_and_yarn/apps/backtest-report/moment-2.29.4
|
2022-08-31 02:30:16 +08:00 |
|
dependabot[bot]
|
3a829c1638
|
build(deps): bump moment from 2.29.3 to 2.29.4 in /apps/backtest-report
Bumps [moment](https://github.com/moment/moment) from 2.29.3 to 2.29.4.
- [Release notes](https://github.com/moment/moment/releases)
- [Changelog](https://github.com/moment/moment/blob/develop/CHANGELOG.md)
- [Commits](https://github.com/moment/moment/compare/2.29.3...2.29.4)
---
updated-dependencies:
- dependency-name: moment
dependency-type: direct:production
...
Signed-off-by: dependabot[bot] <support@github.com>
|
2022-08-30 18:19:37 +00:00 |
|
Yo-An Lin
|
3aa9636d98
|
Merge pull request #904 from c9s/strategy/pivotshort-failed-break-high
strategy/pivotshort: add failed break high
|
2022-08-31 02:13:14 +08:00 |
|
c9s
|
51972e9e28
|
bbgo: fix indicator load key duplicate issue
|
2022-08-31 01:45:06 +08:00 |
|
c9s
|
70fb6d19a9
|
indicator: rename PivotHigh value field
|
2022-08-31 01:44:51 +08:00 |
|
c9s
|
8fcc3ee368
|
indicator: update pivot low and pivot high indicator
|
2022-08-31 01:44:38 +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 |
|
zenix
|
b52598d1ad
|
fix: fixedpoint MarshalJson on inf
|
2022-08-30 21:55:16 +09:00 |
|
zenix
|
51d7c1b9ad
|
fix: currentTime in backtest not updated
|
2022-08-30 21:12:23 +09:00 |
|
zenix
|
be1f6e7242
|
fix: add description on the limit taker behavior
|
2022-08-30 21:07:49 +09:00 |
|
zenix
|
c2d5a5961f
|
fix: legacy fixedpoint inf handling, refactor backtest kline consuming
|
2022-08-30 21:02:21 +09:00 |
|
zenix
|
20ee3fdfbb
|
fix: nan in sortino and sharpe
|
2022-08-30 12:42:50 +09:00 |
|
zenix
|
c73f4018d0
|
fix: null pointer error on NextKLine
|
2022-08-30 12:09:39 +09:00 |
|
Yo-An Lin
|
251d1b7095
|
Merge pull request #899 from c9s/fix/local-timezone
fix: fix localtime zone issue for the web-based backtest report
|
2022-08-30 00:57:24 +08:00 |
|
Raphanus Lo
|
6314a31554
|
strategy: bollmaker: dynamic spread by weighted Bollinger width ratio
|
2022-08-29 21:41:34 +08:00 |
|
zenix
|
ecc959835a
|
fix: cache params and kline until next kline 1m appears
|
2022-08-29 19:46:58 +09:00 |
|
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
|
179a9b1ddb
|
fix: ensure that orders.tsv are rendered in local timezone
|
2022-08-26 19:09:11 +08:00 |
|