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Author	SHA1	Message	Date
Yo-An Lin	1bbd837e84	Update README.md	2022-09-05 17:09:42 +08:00
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