Yo-An Lin
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36a79336dd
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Merge pull request #917 from c9s/fix/backtest-fee-mode
backtest: fix backtest fee mode when fee currency is not base or quote
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2022-09-05 17:49:45 +08:00 |
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c9s
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bf4eade604
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backtest: fix backtest fee mode when fee currency is not base or quote
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2022-09-05 17:41:12 +08:00 |
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Raphanus Lo
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65cd17dbbb
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bbgo: add G-H & Kalman filters to the standard indicator set
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2022-09-05 17:13:50 +08:00 |
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Yo-An Lin
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1bbd837e84
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Update README.md
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2022-09-05 17:09:42 +08:00 |
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Raphanus Lo
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425d9e0475
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indicator: GH & Kalman filters: remove deprecated method implementation
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2022-09-05 16:51:30 +08:00 |
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Raphanus Lo
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9c684c124c
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feature: add G-H filter and Kalman filter
- implement G-H (alpha beta) filter and Kalman filter
- compare the predict accurateness with other indicator
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2022-09-04 21:48:05 +08:00 |
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Yo-An Lin
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843b81e132
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Merge pull request #914 from LarryLuTW/patch-1
Fix typo
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2022-09-04 13:43:54 +08:00 |
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Larry Lu
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269529afa4
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Fix typo
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2022-09-04 13:35:01 +08:00 |
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Yo-An Lin
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55474b4bf9
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Merge pull request #913 from COLDTURNIP/fix/fixedpoint_support_inf_string_unmarshal
fix: fixedpoint UnarshalJson on inf
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2022-09-02 15:14:34 +08:00 |
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Yo-An Lin
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fcb7a27f70
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Merge pull request #911 from c9s/feature/backtest-report
feature: add fee mode to back-test matching engine
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2022-09-02 15:09:04 +08:00 |
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Raphanus Lo
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338c4ea170
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fix: fixedpoint UnarshalJson on inf for decimal support
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2022-09-02 15:02:46 +08:00 |
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c9s
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3a225fe7c7
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backtest: fix tests for fee
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2022-09-02 14:31:04 +08:00 |
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Raphanus Lo
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750bdc82b5
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fix: fixedpoint UnarshalJson on inf
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2022-09-02 14:17:51 +08:00 |
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c9s
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db622fbb55
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types: add CsvHeaders and CsvRecords methods to TradeStats
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2022-09-02 14:16:16 +08:00 |
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c9s
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d9cce129a0
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doc: add feeMode to the doc
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2022-09-02 14:16:16 +08:00 |
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c9s
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5c8d2a019a
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backtest: rename BackTest to Backtest
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2022-09-02 14:16:16 +08:00 |
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c9s
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30742bcf0b
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backtest: set default fee mode to quote mode
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2022-09-02 14:16:16 +08:00 |
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c9s
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2e9487e9f4
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backtest: fix fee calculator
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2022-09-02 14:16:16 +08:00 |
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c9s
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d2f9a352a2
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backtest,accounting: add position info to the average cost pnl report
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2022-09-02 14:16:16 +08:00 |
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c9s
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45fb87f2b8
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backtest: add fee mode function tests
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2022-09-02 14:16:16 +08:00 |
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c9s
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10ed706ed6
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backtest: move fee mode functions to fee.go
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2022-09-02 14:16:16 +08:00 |
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c9s
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8cd646668a
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bbgo: use enumer to generate enumer parser
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2022-09-02 14:16:16 +08:00 |
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c9s
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3d32faff46
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backtest: add fee mode config
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2022-09-02 14:16:15 +08:00 |
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Yo-An Lin
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38dbd17664
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Merge pull request #912 from zenixls2/fix/klineHandlerBacktest
fix backtest output
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2022-09-02 14:15:04 +08:00 |
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zenix
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acd057cf3e
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fix: set exchangeDataSource to pointer in backtest to prevent pass by copy in for loop
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2022-09-02 12:32:38 +09:00 |
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Zenix
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57d283726a
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Merge pull request #900 from zenixls2/fix/backtest
fix: backtest
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2022-09-01 11:57:05 +09:00 |
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Yo-An Lin
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58487aca4b
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Merge pull request #908 from c9s/strategy/pivotshort-failed-break-high
strategy/pivotshort: failed break high improvements
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2022-08-31 13:56:59 +08:00 |
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Yo-An Lin
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5217947a83
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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
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2022-08-31 13:01:21 +08:00 |
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c9s
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149b1e1444
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pivotshort: add BreakInterval config
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2022-08-31 13:00:32 +08:00 |
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c9s
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3598550d3f
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pivotshort: vwma interval should be consistent
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2022-08-31 13:00:25 +08:00 |
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c9s
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c7bff1695e
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pivotshort: avoid using 1m interval to check break
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2022-08-31 12:59:54 +08:00 |
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c9s
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df902b236c
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pivotshort: add vwma condition
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2022-08-31 12:59:48 +08:00 |
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dependabot[bot]
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d2d1e46e3b
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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>
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2022-08-31 04:51:28 +00:00 |
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zenix
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a28b257568
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fix: debug code
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2022-08-31 13:01:00 +09:00 |
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Raphanus Lo
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0b6cc6d3cd
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strategy: bollmaker: sensitivity factor of BB width ratio
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2022-08-31 04:31:17 +08:00 |
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Yo-An Lin
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c8f3dae34a
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Merge pull request #906 from c9s/dependabot/npm_and_yarn/apps/backtest-report/moment-2.29.4
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2022-08-31 02:30:16 +08:00 |
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dependabot[bot]
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3a829c1638
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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>
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2022-08-30 18:19:37 +00:00 |
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Yo-An Lin
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3aa9636d98
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Merge pull request #904 from c9s/strategy/pivotshort-failed-break-high
strategy/pivotshort: add failed break high
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2022-08-31 02:13:14 +08:00 |
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c9s
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51972e9e28
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bbgo: fix indicator load key duplicate issue
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2022-08-31 01:45:06 +08:00 |
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c9s
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70fb6d19a9
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indicator: rename PivotHigh value field
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2022-08-31 01:44:51 +08:00 |
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c9s
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8fcc3ee368
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indicator: update pivot low and pivot high indicator
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2022-08-31 01:44:38 +08:00 |
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c9s
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9d97eedc0e
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pivotshort: add failedBreakHigh
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2022-08-31 00:37:17 +08:00 |
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c9s
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ca1e9e9657
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pivotshort: remove the legacy support take profit
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2022-08-31 00:37:12 +08:00 |
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zenix
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b52598d1ad
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fix: fixedpoint MarshalJson on inf
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2022-08-30 21:55:16 +09:00 |
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zenix
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51d7c1b9ad
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fix: currentTime in backtest not updated
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2022-08-30 21:12:23 +09:00 |
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zenix
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be1f6e7242
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fix: add description on the limit taker behavior
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2022-08-30 21:07:49 +09:00 |
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zenix
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c2d5a5961f
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fix: legacy fixedpoint inf handling, refactor backtest kline consuming
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2022-08-30 21:02:21 +09:00 |
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zenix
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20ee3fdfbb
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fix: nan in sortino and sharpe
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2022-08-30 12:42:50 +09:00 |
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zenix
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c73f4018d0
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fix: null pointer error on NextKLine
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2022-08-30 12:09:39 +09:00 |
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Yo-An Lin
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251d1b7095
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Merge pull request #899 from c9s/fix/local-timezone
fix: fix localtime zone issue for the web-based backtest report
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2022-08-30 00:57:24 +08:00 |
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