278 Commits

Author	SHA1	Message	Date
Andy Cheng	f452f8eb94	strategy: update bollmaker config	2022-05-24 11:19:50 +08:00
c9s	01d1ef2255	update grid config for testing	2022-05-22 02:40:52 +08:00
c9s	f06ec76618	backtest: check quoteQuantity only when price is given	2022-05-22 01:19:43 +08:00
c9s	62de3a43ed	ci: add backtest sync test to ci flow	2022-05-20 18:07:58 +08:00
c9s	95c9fe4502	return metrics as a optimizer result	2022-05-20 01:42:32 +08:00
c9s	f984be8ced	add bollmaker_optimizer config	2022-05-19 20:39:09 +08:00
c9s	b4b4546220	sort metrics	2022-05-19 20:36:56 +08:00
c9s	b3da6caddb	optimizer: fix op builder	2022-05-19 20:31:25 +08:00
c9s	11ad34e9f7	add optimizer config	2022-05-19 18:27:05 +08:00
Andy Cheng	4aca905170	strategy: update bollmaker config	2022-05-18 14:56:39 +08:00
Andy Cheng	b41cef4bd7	strategy: use scale for dynamic spread	2022-05-18 14:31:59 +08:00
austin362667	8e93118ba6	config: add pivotshort yaml	2022-05-17 19:18:21 +08:00
austin362667	62d11181a4	pivotshort: clean up	2022-05-17 19:18:21 +08:00
austin362667	2c4a52ba30	pivot: fix futures & spot clean up ... pivot: clean up	2022-05-17 19:18:21 +08:00
austin362667	8ab696deaa	pivotshort: rename strategy & fix pivot indicator	2022-05-17 19:18:21 +08:00
austin362667	1a441425b5	strategy: pivot: add shadow TP ... strategy: pivot: add shadow TP	2022-05-17 19:18:21 +08:00
austin362667	60a8c1f42b	WIP: strategy: pivot: pivot low shorting strategy	2022-05-17 19:18:21 +08:00
Andy Cheng	0e76a90ee4	strategy: clearer comment format for dynamic spread in config	2022-05-17 10:58:12 +08:00
Zenix	356ec71570	Merge pull request #610 from zenixls2/feature/liveSLTP ... feature: SLTP from bookticker. fix: bookTicker typename, depth buffer…	2022-05-16 20:41:15 +09:00
Andy Cheng	686a358c6e	strategy: update bollmaker config	2022-05-16 13:10:48 +08:00
zenix	2e53bae0d0	update: config for ewo	2022-05-13 23:02:30 +09:00
zenix	ee27a02459	revert bollmaker default trading pair changes	2022-05-13 22:56:46 +09:00
c9s	e950ee9559	add wall strategy	2022-05-12 22:51:39 +08:00
zenix	2e79cb9fc8	fix: update old configs	2022-05-12 21:14:51 +09:00
zenix	aa2dba5dfe	fix: ewo strategy sample config	2022-05-09 15:06:43 +09:00
c9s	17928986b8	remove persistence redis setting from bollmaker	2022-05-05 17:53:24 +08:00
c9s	ee621e6d4a	add xnav config	2022-05-04 16:21:53 +08:00
zenix	4eab82ee7b	feature: add atr stoploss on ewoDgtrd strategy. remove callback. modify filter condition and add doc	2022-04-28 20:09:15 +09:00
c9s	7b2398ce39	autoborrow: use margin level instead of margin ratio	2022-04-25 19:05:16 +08:00
c9s	a57a238e09	bbgo: add more sync options	2022-04-25 17:18:42 +08:00
c9s	c70317af2b	add autoborrow strategy	2022-04-23 15:00:04 +08:00
austin362667	7f63938a50	config: add factorzoo yaml	2022-04-20 18:10:27 +08:00
Yo-An Lin	d6755d7ca0	Merge pull request #512 from zenixls2/feature/elliott_wave ... strategy: elliott wave oscillator	2022-04-15 15:53:24 +08:00
c9s	84c34f1d50	config: add sessions to the backtest config	2022-04-15 11:45:01 +08:00
zenix	4ee73149c1	feature: add heikinashi	2022-04-14 19:58:05 +09:00
zenix	2f51441256	fix: remove smartstop. use dynamic stoploss. improve profit and lower the lost	2022-04-13 21:10:07 +09:00
zenix	574c5b77b1	fix: improve order tracking in ewo, and more filters for the noise	2022-04-13 21:10:07 +09:00
zenix	fcf29f7e11	fix: doing some performance tuning	2022-04-13 21:10:07 +09:00
zenix	66a401f93f	feature: add sample config for ewo	2022-04-13 21:10:07 +09:00
zenix	42a3737f2e	fix: use series in ewo to predict values	2022-04-13 21:10:07 +09:00
なるみ	83e37f52a8	Rebalance on kline closed	2022-03-24 12:50:40 +08:00
zenix	39572c5fe0	fix: remove maker/buyer/taker/sellerCommission	2022-03-07 14:32:00 +09:00
zenix	25b5eddc03	feature: add multiple exchange support in backtest ... fix: change doc, since --exchange removed from backtest fix: test for config changes	2022-03-07 13:18:56 +09:00
zenix	05521a98b6	add skeleton strategy. fix most of the tests. fix final asset value	2022-02-15 12:01:39 +09:00
Andy Cheng	41c3b860b0	strategy: rename callBackRatio to callbackRatio	2022-02-06 17:47:14 +08:00
Andy Cheng	16f811f48f	strategy: support strategy doc	2022-02-06 17:47:14 +08:00
c9s	c0b8c36222	config: update bollmaker config	2022-02-01 01:43:12 +08:00
c9s	f96c2e6271	bbgo: add activated flag on trailing stop order	2022-02-01 00:41:28 +08:00
c9s	c7ce59cd6f	config: add more doc to the config	2022-01-31 01:52:47 +08:00
c9s	36b0db6cc8	config: update schedule strategy config	2022-01-31 01:46:02 +08:00
c9s	bed03dbd17	schedule: refactor and improve schedule strategy with QuantityOrAmount struct	2022-01-31 01:42:21 +08:00
c9s	bcb33f6887	config: update trailing stop usage doc	2022-01-31 00:18:52 +08:00
c9s	f49b7165d8	bollmaker: fix MinNotional adjustment	2022-01-27 19:56:10 +08:00
c9s	eec26663c5	update bollmaker config	2022-01-27 19:17:00 +08:00
c9s	30a9a5849f	add user data stream sync config	2022-01-27 09:34:04 +08:00
c9s	78c8cb1362	add dynamicExposurePositionScale to the sample config	2022-01-27 08:52:27 +08:00
c9s	aaec79eec9	add sync config example	2022-01-27 08:43:44 +08:00
austin362667	904e7c03ad	strategy: cleanup funding strategy ... strategy: cleanup funding strategy	2022-01-15 08:28:02 +08:00
austin362667	d0e26c66e4	strategy: add funding strategy	2022-01-15 08:28:02 +08:00
c9s	c6a20b0d53	config/bollmaker.yaml: add persistence config	2022-01-09 23:45:33 +08:00
c9s	ba7328f025	config: move disableShort and add more description	2022-01-09 22:53:35 +08:00
c9s	10e21d5a8f	config: change default exchange	2022-01-09 22:49:54 +08:00
c9s	51aa45a077	config: add config doc	2022-01-09 22:48:34 +08:00
c9s	4cdb5b607b	rename bollpp to bollmaker	2022-01-09 01:20:47 +08:00
c9s	567f0c8b59	update bollpp config	2022-01-08 02:40:34 +08:00
c9s	1652c17e33	config: clean up xmaker config	2022-01-01 01:06:08 +08:00
c9s	dcdf33e2c9	xmaker: pull out notifyTrade to a single callback	2021-12-27 00:12:35 +08:00
c9s	05a0745d08	fix InitExchange for publicOnly session	2021-12-26 15:29:42 +08:00
c9s	30a7ca1ce1	rename gap to xgap	2021-12-26 15:13:51 +08:00
なるみ	41d4001872	Add log	2021-12-22 01:59:25 +08:00
Yo-An Lin	1ab20e6397	Merge pull request #381 from narumiruna/maxamount ... strategy: rebalance: adjust quantity by max amount	2021-12-21 20:20:44 +08:00
なるみ	531805a449	Adjust quantity by max amount	2021-12-20 23:46:22 +08:00
Andy Cheng	e4bdb1de06	strategy: allow setting the interval and the window for trigger MA	2021-12-19 18:28:47 +08:00
Andy Cheng	4416a96194	doc: remove obsolete back-testing commission options	2021-12-17 14:41:40 +08:00
Andy Cheng	0e82bf630f	doc: update support strategy	2021-12-16 19:32:35 +08:00
Andy Cheng	debd5b3bf2	doc: issue #281	2021-12-16 18:35:44 +08:00
Andy Cheng	634b722044	doc: support strategy	2021-12-16 18:30:38 +08:00
Yo-An Lin	d531e041dd	Merge pull request #357 from narumiruna/rebalance ... feature: add portfolio rebalancing strategy	2021-12-14 12:01:07 +08:00
なるみ	f320d78f2f	Refactor	2021-12-14 02:18:08 +08:00
Andy Cheng	5a6ff7ebb7	doc: fix tg doc, needs no notification: block	2021-12-13 11:43:05 +08:00
なるみ	f494a0f514	Initial commit of rebalance strategy	2021-12-13 05:19:44 +08:00
Andy Cheng	8fdd8873c8	config: add pricealert-tg.yaml	2021-12-09 20:23:40 +08:00
c9s	f6937b03e0	adjust default grid parameters	2021-12-05 02:51:08 +08:00
c9s	df683bdf56	use position to calculate the pnl	2021-12-05 02:17:15 +08:00
c9s	e835e63c9b	add persistence settings to bollpp config	2021-10-18 00:57:23 +08:00
c9s	d6b707c832	bollpp: fix order quantity	2021-10-18 00:56:22 +08:00
c9s	0bd32094ee	bollpp: improve bolling ping pong maker	2021-10-18 00:42:01 +08:00
c9s	4c061439d3	rename buyandhold to pricedrop	2021-10-14 13:10:00 +08:00
c9s	7119378ac0	add bollpp config	2021-10-14 12:53:46 +08:00
c9s	6e7f12ca9f	rename trailingstop to emastop	2021-10-14 12:04:56 +08:00
c9s	764a8be46a	adjust grid backtest parameters	2021-10-13 10:43:56 +08:00
c9s	291a2edbaa	fix etf config format	2021-08-26 11:47:51 +08:00
c9s	14d6a71127	add etf config example	2021-08-26 11:37:20 +08:00
c9s	41daea9e05	config: update support example configs	2021-06-01 01:39:22 +08:00
c9s	b27a840607	add interval setting	2021-05-12 01:29:43 +08:00
c9s	4c1d2b60a9	add xbalance example	2021-05-12 01:18:18 +08:00
c9s	6c34ed2d71	increase date range	2021-05-08 01:04:48 +08:00
c9s	28b918b3f9	adjust balance config and grid parameters	2021-05-08 01:03:50 +08:00
c9s	3501e8f5fd	refactor backtest, add BootstrapBacktestEnvironment	2021-05-08 00:14:25 +08:00
c9s	7c57246070	add TWD balance	2021-05-05 16:59:30 +08:00
c9s	503ce42a8d	adjust backtest time range	2021-05-05 16:56:49 +08:00
Yo-An Lin	76bf6edffc	add more comments to the schedule parameters	2021-05-03 00:14:12 +08:00
c9s	885d6c1a9d	add schedule config for ethusdt and btcusdt	2021-05-03 00:10:29 +08:00
Yo-An Lin	4e75557c0f	update schedule config	2021-05-03 00:07:46 +08:00
c9s	103095a986	add schedule config example	2021-05-03 00:06:24 +08:00
c9s	5de221524f	adjust state and reset per day	2021-03-22 18:48:18 +08:00
c9s	e86f29b7cc	add gap strategy	2021-03-22 17:32:21 +08:00
c9s	814a77ea39	xmaker: improve balance checking	2021-03-21 12:55:33 +08:00
c9s	e22a2caade	add basic risk control to the xmaker config	2021-03-21 12:55:33 +08:00
c9s	bc620601f6	add xmaker config files	2021-03-21 12:55:33 +08:00
Larry850806	a77bd1d74c	Remove unused symbols in backtest	2021-03-03 14:43:49 +08:00
c9s	83111c9eb9	test exponential scale with reverse range	2021-02-28 12:12:03 +08:00
c9s	3c9bcd8c9d	add more margin order side effect alias	2021-02-28 12:00:51 +08:00
c9s	99f236d2e0	integrate quantity scale into support strategy and grid strategy	2021-02-28 11:57:25 +08:00
c9s	b158884708	add long flag to the sample config	2021-02-20 11:52:56 +08:00
c9s	b207663732	add config for testing support strategy	2021-02-20 10:32:43 +08:00
c9s	f8378957ee	add more checks for bollgrid ... related to #93	2021-02-13 16:03:31 +08:00
Yo-An Lin	7aa6b60fbc	Update and rename movingstop.yaml to trailingstop.yaml	2020-12-31 17:18:25 +08:00
Yo-An Lin	ff5378bc51	Update grid-usdttwd.yaml	2020-12-31 14:02:10 +08:00
Yo-An Lin	ce83285893	Update grid-usdttwd.yaml	2020-12-31 13:56:12 +08:00
c9s	39868a99bc	add usdttwd grid config	2020-12-31 13:54:17 +08:00
c9s	43c8b03da9	reconfigure price range	2020-12-29 18:32:59 +08:00
c9s	f485c1ba7f	fix grid strategy order placing	2020-12-29 18:18:32 +08:00
c9s	97375da875	delete cached config/bbgo.yaml	2020-12-17 15:38:34 +08:00
c9s	16c873ce7d	update readme for helm chart usage	2020-12-17 15:31:00 +08:00
c9s	bee06ea192	chart: load secrets into env vars	2020-12-17 14:09:22 +08:00
c9s	f604e3c3c9	include ETHUSDT in backtest	2020-12-14 14:40:50 +08:00
c9s	cabd8f8dcb	improve buyandhold strategy	2020-12-14 14:21:02 +08:00
c9s	c5d002a0b0	fix market data kline registration	2020-12-05 13:32:41 +08:00
Yo-An Lin	535e07cf25	Create movingstop.yaml	2020-12-05 10:23:42 +08:00
ricotoothless	6ab7b04a90	fix: backtest endTime	2020-11-26 22:53:23 +08:00
Yo-An Lin	0e16434e24	Delete grid-max.yaml	2020-11-12 17:03:15 +08:00
c9s	63bfaccc4e	update config	2020-11-12 16:34:57 +08:00
c9s	1a6f5b99ae	bollgrid: submit orders on connect	2020-11-12 16:31:09 +08:00
c9s	fc9409673f	add graceful shutdown	2020-11-12 14:50:21 +08:00
c9s	de2a8d6adc	update grid backtest date range	2020-11-12 12:55:54 +08:00
c9s	6740541bcd	improve bollgrid	2020-11-12 08:28:59 +08:00
c9s	4dfc0039e5	add bollgrid config	2020-11-11 23:19:08 +08:00
c9s	b2cd595069	grid: rename baseQuantity to just quantity	2020-11-11 17:55:16 +08:00
c9s	04f6da3cb8	add traditional grid strategy	2020-11-10 19:06:20 +08:00
c9s	4a2a542222	refactor basic risk controller	2020-11-09 14:56:54 +08:00
c9s	6bd3573287	add exchange field in the table so that we can reuse the kline objects for backtest	2020-11-08 12:13:34 +08:00
c9s	4b0bab31fb	Merge branch 'feature/backtest' into main	2020-11-07 20:34:55 +08:00
c9s	641784e1b1	calculate pnl after the backtest	2020-11-07 20:34:34 +08:00
c9s	a4a9067c6a	integrate matching engine with backtest exchange	2020-11-07 19:57:36 +08:00
c9s	573a082391	add flashcrash strategy	2020-11-07 12:02:15 +08:00
c9s	b13a2deec5	emit klines and setup account balances	2020-11-07 03:18:05 +08:00
c9s	22a214328d	implement backtest command, stream and add backtest config	2020-11-07 02:57:50 +08:00
c9s	b86b74effb	fix max kline parsing	2020-11-05 15:04:56 +08:00
c9s	c54c0788ab	rewrite grid strategy trigger	2020-11-05 14:27:22 +08:00