c9s
f9fe5d7790
cmd: move package import paths
2022-08-09 11:36:02 +08:00
c9s
96b10caa8c
types: add callbacks to the stream order book
2022-08-09 11:35:35 +08:00
austin362667
c06998e0d4
config: add factorzoo
2022-08-09 00:01:36 +08:00
austin362667
bb4db871b2
factorzoo: add comments for strategy
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factorzoo: add comments for strategy
2022-08-09 00:01:34 +08:00
austin362667
d282568614
factorzoo: add customized indicators
2022-08-08 23:50:42 +08:00
austin362667
bdb04a4322
strategy: factorzoo: refactor to logistic regression
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re-format
2022-08-08 20:09:15 +08:00
austin362667
c98eb22b95
strategy: factorzoo: add config
2022-08-08 20:09:15 +08:00
Andy Cheng
6c2fc3fee0
exits/protectivestoploss: fix shouldStop()
2022-08-08 17:57:05 +08:00
Andy Cheng
5455ae810b
strategy/supertrend: only show nterval profit report in backtesting
2022-08-08 17:42:21 +08:00
Andy Cheng
b133767e47
exit/protectivestoploss: works in long position
2022-08-08 16:49:19 +08:00
Andy Cheng
1cd48177ae
Merge pull request #862 from andycheng123/improve/supertrend-strategy
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Improve: supertrend strategy
2022-08-08 14:11:49 +08:00
Andy Cheng
c6407e92c8
strategy/supertrend: supertrend indicator adapted new indicator API
2022-08-08 13:07:59 +08:00
Andy Cheng
9d0eecc5bc
strategy/supertrend: linreg adapted new indicator API
2022-08-08 12:43:38 +08:00
Yo-An Lin
e367c42771
Merge pull request #863 from COLDTURNIP/fix/rbtree_concurrent_neel
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types: rbtree: resolve neel reusing problem
2022-08-08 01:01:32 +08:00
Raphanus Lo
318590f41b
types: rbtree: resolve neel reusing problem
2022-08-08 00:51:37 +08:00
Andy Cheng
737f6e99ba
strategy/supertrend: use CalculateQuoteQuantity() in strategy
2022-08-05 16:28:42 +08:00
Andy Cheng
b564e69f82
strategy/supertrend: add CalculateQuoteQuantity()
2022-08-05 15:59:20 +08:00
Andy Cheng
dba1102588
strategy/supertrend: rename AvailableValue() to AvailableQuote()
2022-08-05 15:38:19 +08:00
Andy Cheng
eb57e80119
strategy/supertrend: different qty calculation for spot and leveraged
2022-08-05 15:11:15 +08:00
Andy Cheng
550f2f3fd7
strategy/supertrend: adapt risk.AccountValueCalculator
2022-08-05 11:47:36 +08:00
Andy Cheng
9369ad3155
strategy/supertrend: adapt SetIntervalProfitCollector
2022-08-04 10:39:52 +08:00
Andy Cheng
0d82f32769
Merge pull request #852 from andycheng123/position-updater
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feature: PositionModifier
2022-08-03 16:45:02 +08:00
Andy Cheng
e60aae40eb
positionModifier: combine callbacks into one
2022-08-03 16:27:05 +08:00
Andy Cheng
5d1bfc6010
strategy/supertrend: add last period accumulated profit report
2022-08-03 15:31:20 +08:00
Andy Cheng
dc9ecdd6ca
strategy/supertrend: add accumulated profit SMA report
2022-08-03 14:04:30 +08:00
Andy Cheng
b16abee6e4
Merge pull request #861 from andycheng123/fix/supertrend-strategy
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strategy/supertrend: re-organize exits part of config
2022-08-03 11:23:33 +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
Yo-An Lin
1b177044fb
Merge pull request #855 from COLDTURNIP/feature/optimizer_hyperparam
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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
76489873ee
config: add example for order fee-amount protection
2022-08-02 13:49:09 +08:00
Raphanus Lo
ed7df4ddbe
exchange: order fee-amount protection
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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
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exchange: FTX default fee
2022-07-31 13:16:01 +08:00
Yo-An Lin
961a783b80
Merge pull request #857 from COLDTURNIP/fix/optimizer_objective_total_equity
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optimizer: calculate equity diff from whole assets instead of first symbol
2022-07-31 13:15:35 +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
4ea70de439
config: add more example for optimizeex
2022-07-30 20:50:02 +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
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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
c9s
bd754e1714
pivotshort: use infof log
2022-07-29 16:13:57 +08:00
