Raphanus Lo
6314a31554
strategy: bollmaker: dynamic spread by weighted Bollinger width ratio
2022-08-29 21:41:34 +08:00
zenix
6b6a24a655
feature: add gma, add wdrift, export drift filter, fix: LastPrice truncation
2022-08-23 17:22:45 +09:00
Andy Cheng
cd09ee0e34
Merge pull request #877 from andycheng123/improve/supertrend-strategy
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strategy/supertrend: update example config
2022-08-16 15:38:21 +08:00
zenix
9f8b8d97d0
fix: drift empty pnl. exit condition
2022-08-16 12:30:29 +09:00
zenix
e3309ad709
fix: redundant params
2022-08-15 21:28:14 +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
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
Andy Cheng
f288e47270
strategy/supertrend: update example config
2022-08-15 18:10:56 +08:00
Yo-An Lin
62aff676da
Revert "feature: add smart cancel to drift"
2022-08-09 16:25:36 +08:00
Yo-An Lin
55b4edc595
Merge pull request #853 from zenixls2/feature/smartcancel_drift
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feature: add smart cancel to drift
2022-08-09 16:23:33 +08:00
Raphanus Lo
ed975b7ed9
Merge pull request #860 from COLDTURNIP/feature/exchange_order_amount_protection
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exchange: order fee-amount protection
2022-08-09 15:01:53 +08:00
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
austin362667
c06998e0d4
config: add factorzoo
2022-08-09 00:01:36 +08:00
austin362667
c98eb22b95
strategy: factorzoo: add config
2022-08-08 20:09:15 +08:00
Andy Cheng
550f2f3fd7
strategy/supertrend: adapt risk.AccountValueCalculator
2022-08-05 11:47:36 +08:00
Andy Cheng
1277586e16
strategy/supertrend: remove redundant part of config
2022-08-03 10:09:12 +08:00
Andy Cheng
b00efaaaf3
strategy/supertrend: re-organize exits part of config
2022-08-03 10:05:27 +08:00
Raphanus Lo
76489873ee
config: add example for order fee-amount protection
2022-08-02 13:49:09 +08:00
Raphanus Lo
68af2d0ff8
optimizer: rename optimizeex to hoptimize
2022-08-02 12:44:42 +08:00
Raphanus Lo
4ea70de439
config: add more example for optimizeex
2022-07-30 20:50:02 +08:00
Raphanus Lo
67f8b1c32c
optimizeex: hyperparameter optimization tool
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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
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
Yo-An Lin
3aeb6912c9
Merge pull request #846 from c9s/strategy/pivotshort
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strategy/pivotshort: refactor breaklow + add fake break stop
2022-07-27 12:18:50 +08:00
c9s
3adeb46c65
config: update pivotshort default config
2022-07-27 01:58:19 +08:00
zenix
2ceb24ad09
fix: panic on image drawing, reduce fee by smoothing the drift curve
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
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
