Commit Graph

1153 Commits

Author SHA1 Message Date
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
c9s
11854db51a
pivotshort: move SupportTakeProfit to the core api 2022-08-26 18:09:46 +08:00
c9s
c8c7211e75
pivotshort: fix resistance short subscribe 2022-08-26 17:55:59 +08:00
c9s
a48471d4c8
pivotshort: refactor trend ema and stop ema 2022-08-26 17:52:46 +08:00
c9s
52d245ecf1
floats: move floats related functions and add crossover, crossunder funcs 2022-08-26 16:15:39 +08:00
Raphanus Lo
a2ab9db4eb strategy: bollmaker: fix nil pointer 2022-08-25 23:43:31 +08:00
c9s
5953fe49d1
all: move float slice/map to a single package 2022-08-25 17:31:42 +08:00
Andy Cheng
e2774ed2b5
Merge pull request #880 from andycheng123/improve/supertrend-strategy-report
Improve: strategy-supertrend output acc. profit report to tsv file
2022-08-25 14:25:03 +08:00
Andy Cheng
fcaa6466b6 strategy/bollmaker: preload dynamic spreads 2022-08-25 13:44:38 +08:00
c9s
702ce5220b
autoborrow: improve debtRatio repay 2022-08-25 11:05:31 +08:00
Yo-An Lin
066b0ca30e
Merge pull request #892 from c9s/feature/pivot-right-window
feature: add pivot low right window support
2022-08-24 19:44:44 +08:00
c9s
2e71e63fae
all: fix interval window struct usage 2022-08-24 18:17:37 +08:00
Zenix
3a98ae00b9
Merge pull request #890 from zenixls2/feature/wdrift
weighted drift
2022-08-24 16:59:25 +09:00
Andy Cheng
6176c06002 strategy/supertrend: use pointer for AccumulatedProfitReport field in strategy struct 2022-08-24 13:58:30 +08:00
c9s
88f243c91b
util: move math util functions to util 2022-08-24 11:34:55 +08:00
Andy Cheng
978db22c0a strategy/supertrend: accumulated daily profit uses its own window config 2022-08-24 11:23:48 +08:00
Andy Cheng
592eae8c3c strategy/supertrend: output by interval 2022-08-23 18:43:13 +08:00
zenix
6b6a24a655 feature: add gma, add wdrift, export drift filter, fix: LastPrice truncation 2022-08-23 17:22:45 +09:00
c9s
c86b29e6dc
all: resolve import cycle 2022-08-23 02:12:26 +08:00
c9s
0947c28294
all: move PrintConfig to pkg/util 2022-08-23 01:56:15 +08:00
c9s
2611012d28
types: move json struct to types package 2022-08-23 01:54:29 +08:00
c9s
5a4d71b073
strategy/autoborrow: fix reBalanceDebt check 2022-08-19 18:56:25 +08:00
c9s
834487d568
strategy/schedule: add MaxBaseBalance config 2022-08-19 16:48:43 +08:00
c9s
4622f9f34e
autoborrow: add more verbose logs 2022-08-19 16:10:13 +08:00
zenix
5030b93285 fix: move canInt to dynamic 2022-08-18 18:05:52 +09:00
zenix
e5c1152030 doc: add comment to strategy config printing func 2022-08-18 17:38:27 +09:00
zenix
5e7ea71613 feature: withdraw print config functionality from drift to be a general function 2022-08-18 17:38:27 +09:00
c9s
94e2e28edd
strategy/autoborrow: add debt re-balancing 2022-08-17 16:45:10 +08:00
Andy Cheng
2b638d1f8f strategy/supertrend: use pkg/data/tsv for tsv output 2022-08-16 15:49:08 +08:00
Andy Cheng
f7feb7e0fc strategy/supertrend: output acc. profit report to tsv file 2022-08-16 14:42:04 +08:00
Zenix
2e9f554f9e
Merge pull request #878 from zenixls2/drift_rebase
Drift rebase
2022-08-16 15:35:42 +09:00
zenix
17d6b2465c fix: drift add back symbol in InstanceID 2022-08-16 12:50:30 +09:00
zenix
14aa667d59 fix: drift pnl and cumpnl 2022-08-16 12:45:40 +09:00
zenix
9f8b8d97d0 fix: drift empty pnl. exit condition 2022-08-16 12:30:29 +09:00
zenix
71d3b926ec fix: go1.7 2022-08-15 21:46:13 +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
2f75dda6ee fix: highest price and lowest price reset, condition gets crossed 2022-08-15 21:05:08 +09:00
zenix
ba532bd98c fix: takeProfitFactor NaN 2022-08-15 21:04:48 +09:00
zenix
e34b0c6c30 fix: drift pnl calculation and graph drawing, filter periods other than s.Interval and 1m 2022-08-15 21:04:31 +09:00
zenix
0cc3c5d485 feature: output config to telegram 2022-08-15 21:04:01 +09:00
zenix
6a4eec71d6 feature: create simpleinteract and remove command in notification 2022-08-15 21:03:48 +09:00
zenix
90e596f463 feature: send photo through telegram, register handler dynamically in strategy, fix canvas rendering 2022-08-15 21:03:14 +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
ankion
65218d8920 pivotshort: trendema add length check 2022-08-12 00:54:40 +08:00
ankion
1b0f653450 pivotshort: trendema add initial date 2022-08-11 16:42:29 +08:00
c9s
3bdc6c7f28
bollmaker: remove unused embedded struct 2022-08-10 23:46:24 +08:00
Yo-An Lin
62aff676da
Revert "feature: add smart cancel to drift" 2022-08-09 16:25:36 +08:00
zenix
5be6e822e9 fix: highest price and lowest price reset, condition gets crossed 2022-08-09 13:26:56 +09:00
zenix
2c4e03a102 fix: takeProfitFactor NaN 2022-08-09 13:26:56 +09:00
zenix
0e3aecb549 fix: drift pnl calculation and graph drawing, filter periods other than s.Interval and 1m 2022-08-09 13:26:56 +09:00
zenix
9704c09a09 feature: output config to telegram 2022-08-09 13:26:56 +09:00
zenix
45e819ebe7 feature: create simpleinteract and remove command in notification 2022-08-09 13:26:56 +09:00
zenix
4117a83cd1 feature: send photo through telegram, register handler dynamically in strategy, fix canvas rendering 2022-08-09 13:26:56 +09:00
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
Andy Cheng
ef18791c6a
Merge pull request #865 from andycheng123/fix/protective-stoploss
fix: protectivestoploss not working on long position
2022-08-09 12:15:33 +08:00
austin362667
bb4db871b2 factorzoo: add comments for strategy
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
re-format
2022-08-08 20:09:15 +08:00
Andy Cheng
5455ae810b strategy/supertrend: only show nterval profit report in backtesting 2022-08-08 17:42:21 +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
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
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
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
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
efaf8e9559
pivotshort: add more logs 2022-07-30 13:14:29 +08:00
c9s
bd754e1714
pivotshort: use infof log 2022-07-29 16:13:57 +08:00
Fredrik
b324149db2 added SideEffectTypeAutoRepay to supportTakeProfit 2022-07-29 09:41:35 +02:00
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
c9s
30978ecbd4
pivotshort: check TrendEMA pointer 2022-07-28 11:29:27 +08:00
c9s
d61047cd26
pivotshort: add maxGradient config to trendEMA 2022-07-28 10:27:16 +08:00
c9s
5fa2606357
pivotshort: rename kLineClosedStop to fakeBreakStop 2022-07-28 09:29:10 +08:00
c9s
151d907457
use debug log for trendEMA 2022-07-27 19:22:56 +08:00
c9s
c65456e44b
pivotshort: refactor and add trendEMA to resistance short 2022-07-27 19:22:56 +08:00
c9s
2719c86400
pivotshort: drop unused tail function 2022-07-27 19:22:56 +08:00
c9s
5821dd02cb
pivotshort: fix log format 2022-07-27 19:22:56 +08:00
c9s
9b35c789ee
pivotshort: add total quantity to the notification 2022-07-27 19:22:55 +08:00
c9s
b067c02cf0
pivotshort: fix resistance order quantity calculation 2022-07-27 19:22:55 +08:00
c9s
a9eef3fb93
pivotshort: fix pivot low usage 2022-07-27 19:22:55 +08:00
Yo-An Lin
3aeb6912c9
Merge pull request #846 from c9s/strategy/pivotshort
strategy/pivotshort: refactor breaklow + add fake break stop
2022-07-27 12:18:50 +08:00
c9s
4c6fe11796
pivotshort: rename ClosedKLineStop to fake break stop 2022-07-27 12:04:54 +08:00
c9s
7438798390
bbgo: add ClosedKLineStop trigger 2022-07-27 11:47:12 +08:00
c9s
f323e91a56
pivotshort: fix resistance short 2022-07-27 11:30:32 +08:00
Yo-An Lin
4fd571d712
Merge pull request #813 from zenixls2/feature/drift_study
feature: drift study
2022-07-27 11:29:48 +08:00
zenix
84c7c0596d fix: fix drift naming style, fix kline Copy -> Set 2022-07-27 12:17:33 +09:00
c9s
ac496e8488
pivotshort: refactor pivot low collector 2022-07-27 01:57:28 +08:00
c9s
b746f801f7
pivotshort: get the correct pivot low value 2022-07-27 01:56:18 +08:00
c9s
854af6b4bd
pivotshort: use new config struct stopEMA and trendEMA 2022-07-27 01:53:53 +08:00
c9s
6f64b6d08e
pivotshort: introduce new config struct 2022-07-27 01:51:47 +08:00
c9s
2822e39e7b
pivotshort: remove the legacy preloadPivot 2022-07-26 19:00:09 +08:00
c9s
3959e288fd
all: refactor standard indicator helper and fix tests 2022-07-26 18:35:50 +08:00
zenix
85f8b9510d fix: gofmt 2022-07-26 18:00:05 +09:00
zenix
4dd4c5823f fix: unlock lock to get latest price 2022-07-26 18:00:05 +09:00
zenix
2ceb24ad09 fix: panic on image drawing, reduce fee by smoothing the drift curve 2022-07-26 18:00:05 +09:00
zenix
553a55811c fix: buyPrice/sellPrice calculation on one order multiple trades 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
b6fb5e958d feature: deduct fee from entry, move StopLoss orders cleanup to the begin of close position function 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
62aac8ecc4 fix: indicator limits 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
b52208d7b6 fix: bug in wrong channel subscription in drift 2022-07-26 18:00:05 +09:00
zenix
7368069c7a fix: add persistence to drift 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
7310feb0de fix: highest price normalization in drift strategy 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
6a9e00ebd4 fix: update drift strategy 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
44c3e5a6f7
indicator: split pivot low indicator 2022-07-26 16:50:45 +08:00
Yo-An Lin
9bf48e9de4
Merge pull request #822 from c9s/fix/api-upgrade
refactor: ewoDgtrd: upgrade order executor api
2022-07-26 14:33:06 +08:00
c9s
8986eeb3a4
bollmaker: apply kline filter closure 2022-07-26 12:08:47 +08:00
c9s
c252a7dcf9
bollmaker: fix log format issue 2022-07-26 12:08:47 +08:00
c9s
d26dd2f1da
bollmaker: remove status change setter 2022-07-26 12:08:47 +08:00
c9s
83c8bc819a
all: drop the legacy smart stops 2022-07-26 12:08:47 +08:00
c9s
c3b6cb80c3
bollmaker: upgrade bollmaker exits methods 2022-07-26 12:08:47 +08:00
c9s
6ae0620730
bollmaker: integrate exits method to bollmaker 2022-07-26 12:08:47 +08:00
c9s
549e28079b
autoborrow: call Debt() for repay 2022-07-26 11:49:04 +08:00
Yo-An Lin
2e7ed9f583
Merge pull request #840 from andycheng123/fix/supertrend-strategy
strategy/supertrend: fix exit methods problem
2022-07-25 15:14:22 +08:00
c9s
0d5d92b26d
pivotshort: fix tail function 2022-07-25 15:02:59 +08:00
Andy Cheng
07959c8862 strategy/supertrend: fix exit methods problem 2022-07-25 14:11:55 +08:00
c9s
36cfaa924d
risk: move leverage quantity calculation to the risk package 2022-07-22 11:55:24 +08:00
c9s
54affd2f99
pivotshort: quantity calculation -- sub debt 2022-07-22 11:47:48 +08:00
c9s
76def2fe9d
pull out AccountValueCalculator 2022-07-21 19:46:58 +08:00
c9s
15879adf3b
pivotshort: fix trade loss ratio 2022-07-21 13:17:46 +08:00
c9s
88c0f31e87
pivotshort: add trade loss to the quantity calculating 2022-07-21 13:05:46 +08:00
c9s
756fcb4807
pivotshort: fix min leverage protection 2022-07-21 13:04:19 +08:00
c9s
b6d0482517
pivotshort: add more logs and check 2022-07-21 12:05:05 +08:00
c9s
ea4efccd89
schedule: use general order executor and fix notification message format 2022-07-19 17:38:32 +08:00
c9s
f72cf9bfff
pivotshort: fix quantity check 2022-07-19 11:25:27 +08:00
c9s
29fc58cb18
autoborrow: fix repay amount 2022-07-18 19:14:31 +08:00
c9s
6e4c28ed1b
disable marketTrade stop 2022-07-17 00:59:35 +08:00
c9s
a370a5e489
pivotshort: fix on start handler 2022-07-14 18:36:28 +08:00
c9s
89ffd94d98
update pivotlow on start 2022-07-14 18:35:58 +08:00
Yo-An Lin
191e00adeb
Merge pull request #827 from c9s/strategy/pivotshort
strategy/pivotshort: improve quantity calculation for margin and futures
2022-07-14 18:16:48 +08:00
c9s
c4332fcac2
pivotshort: add leverage settings 2022-07-14 17:44:33 +08:00
c9s
adb96cac39
pivotshort: check maximum margin leverage 2022-07-14 17:38:11 +08:00
c9s
6c91af2392
pivotshort: improve useQuantityOrBaseBalance 2022-07-14 17:36:03 +08:00
c9s
0ba529cb45
pivotshort: replace orders if the active orders is empty 2022-07-14 16:34:03 +08:00
c9s
8fb216ce52
pivotshort: when resistance order is filled, reset the current resistance price 2022-07-14 16:28:30 +08:00
c9s
2ef8ecf3d9
indicator: clean up bollinger band indicator api usage 2022-07-14 14:26:08 +08:00
c9s
a5715c6aee
indicator: rewrite boll indicator with stddev indicator 2022-07-14 14:26:08 +08:00
c9s
cb481c660f
fix all indicators for KLineCalculateUpdater interface 2022-07-14 10:28:53 +08:00
c9s
2a3118a086
indicator: clean up and update calculator method names 2022-07-14 09:18:42 +08:00
c9s
c27f416dbc
indicator: canonicalize the CalculateAndUpdate method call
also fix the xmaker boll indicator preloading
2022-07-14 09:18:42 +08:00
c9s
1152fae346
ewoDgtrd: upgrade order executor api 2022-07-14 01:36:02 +08:00
c9s
cecb278aa1
autoborrow: use info logger for the margin level info 2022-07-13 13:34:59 +08:00
c9s
ee163eb441
pivotshort: add trendEMA protection 2022-07-13 11:09:57 +08:00
c9s
f5f6fabe07
pivotshort: add trendEMA and add stopEMA subscribe 2022-07-13 10:49:52 +08:00
Yo-An Lin
8119afbb44
Merge branch 'main' into strategy/pivotshort 2022-07-12 23:38:23 +08:00
c9s
6ce9f6a2b7
fix FilterSimpleArgs 2022-07-12 17:55:15 +08:00
c9s
b521a7cf70
pivotshort: fix resistance price update algo 2022-07-12 17:45:47 +08:00
c9s
da4b35bd31
pivotshort: add 1m subscribe 2022-07-12 17:45:47 +08:00
Yo-An Lin
1ef2c1d668
Merge pull request #811 from andycheng123/fix/supertrend-strategy
strategy/supertrend: fix double dema initialization problem
2022-07-12 13:13:19 +08:00
c9s
28d9aa6820
autoborrow: show margin level when check 2022-07-11 16:26:25 +08:00
c9s
3f15df4c0e
autoborrow: fix repay balance check 2022-07-11 16:22:21 +08:00
c9s
98aaa6ce43
autoborrow: fix repay mech 2022-07-11 16:20:45 +08:00
Andy Cheng
1b5dc309f0 strategy/supertrend: fix double dema initialization problem 2022-07-11 13:37:01 +08:00
Yo-An Lin
eacbd13e6b
Merge pull request #810 from andycheng123/fix/supertrend-strategy 2022-07-08 21:03:01 +08:00
c9s
59fcef0b6d
supertrend: avoid using embedded struct on DoubleDema 2022-07-08 17:13:12 +08:00
Andy Cheng
574e142cf9 strategy/supertrend: use types.IntervalWindow instead of types.Interval 2022-07-08 16:42:31 +08:00
c9s
79b70d4a31
supertrend: fix interval window for exit methods 2022-07-08 16:31:28 +08:00
c9s
46d6ecc663
fix types.TradeStats usage 2022-07-08 15:44:32 +08:00
c9s
581e4be218
supertrend: clean up and update 2022-07-08 15:41:28 +08:00
Andy Cheng
f8777752a0
Merge branch 'main' into improve/supertrend-strategy 2022-07-07 10:33:30 +08:00
c9s
81560746bd
all: reformat code 2022-07-07 02:26:39 +08:00
c9s
74593720a7
add ExitMethodSet.Bind method 2022-07-07 02:26:39 +08:00
Andy Cheng
c43d4e0b24 strategy/supertrend: func to get order side 2022-07-06 18:11:09 +08:00
Andy Cheng
8aa5b706b6 strategy/supertrend: fix double dema missing interval 2022-07-06 17:05:38 +08:00
Andy Cheng
6c93c42ef6 strategy/supertrend: pull double dema into a single file 2022-07-06 16:45:19 +08:00
Andy Cheng
c62e7bbb58 strategy/supertrend: refactor to smaller functions 2022-07-06 16:26:30 +08:00
c9s
2bc12c0522
add trailing stop and it's test cases with gomock
Signed-off-by: c9s <yoanlin93@gmail.com>
2022-07-06 03:04:01 +08:00
Andy Cheng
2de16ac7d1 strategy/supertrend: fix missing Bind() of DEMA 2022-07-05 17:11:58 +08:00
Andy Cheng
91077ce61d strategy/supertrend: add ExitMethod 2022-07-05 16:55:48 +08:00
Andy Cheng
f0dc9d6147 strategy/supertrend: add TradeStats 2022-07-05 16:30:13 +08:00
Andy Cheng
5b3ba03042 strategy/supertrend: preload indicators 2022-07-05 16:25:02 +08:00
Andy Cheng
0a0e5ac4d8 strategy/supertrend: config switch for stop by different signals 2022-07-05 15:59:35 +08:00
c9s
193703a9a0
all: use tradeStats constructor 2022-07-05 11:14:50 +08:00
c9s
3a37154737
pivotshort: fix supportTakeProfit binding 2022-07-04 02:20:15 +08:00
c9s
81f9639c85
pivotshort: bind supportTakeProfit method 2022-07-03 17:22:29 +08:00
c9s
278fbb7b51
pivotshort: fix support take profit method 2022-07-03 17:13:01 +08:00
c9s
74cac6e977
pivotshort: adjust layer price calculation 2022-07-03 15:44:37 +08:00
c9s
a408b20eda
fix resistance price calculation 2022-07-03 15:26:05 +08:00
c9s
1e8ac0d08a
pivotshort: improve price grouping 2022-07-02 18:51:17 +08:00
c9s
f940bb8e0a
implement SupportTakeProfit method 2022-07-02 13:21:27 +08:00
c9s
004e6b0e0b
pivotshort: fix findNextResistancePriceAndPlaceOrders 2022-07-02 00:28:41 +08:00
c9s
f1867b02c3
pivotshort: fix message 2022-07-01 18:10:39 +08:00
c9s
9a11fd59ed
pivotshort: fix open close price compare 2022-07-01 17:43:51 +08:00
c9s
53204f47ea
bollmaker: remove legacy state loading 2022-07-01 17:28:48 +08:00