From f235ba1e3966801b3617ac20c2ac60dcd299e8f6 Mon Sep 17 00:00:00 2001 From: Chase Date: Sun, 7 Jan 2018 02:32:12 +0100 Subject: [PATCH] v4.1.0: release to master (#1069) * bring the recent commits to master down into unstable (#1048) * update products.json file to newest trading pairs at binance (#1028) * Binance changed API 24 hours to 1 hour (#1027) * Update README * Update README again * add generation data to gitignore (#1012) * binance changed their API strategy from 24 hour windows to 1 hour. * rename periodLength to period_length (#1035) * Change markup_pct to new markdown and markup, set commonArgs so it is included in all strategies, fix return. (#1047) The only other occurrence is in the readme file noting the legacy aspect. * Update darwin.js * Added support for dema-strategy to darwin.js (#1046) * fix bad escaping on output to console (#1045) * Update periodLength to underscore syntax for darwin * Missing | lead to bitwise operation being performed rather than an OR logical comparison. (#1053) * Console Output adjustment (#1055) * resolution to .csv & .json output (#1058) * resolution to .csv & .json output trogdor123 got me looking at the right section where the params were being input in json. made some minor tweaks to the code and now both are outputting correctly. * Update darwin.js ...changes - formatting. * darwin.js - crossover strategy (#1060) noticed that generational output was static from gen to gen for smalen1 and smalen2. sure enough, those are coded into the strategy itself, but were left out of the darwin.js strategy config for mutation. * Docker (#1061) * docker fix * Resolve docker build problems * noop strategy: readme/links/list (#1062) * Travis. Docker. (#1063) * Updated minimum required node version (#1066) It appears Zenbot wont work on anything before 8.3.0. Updating the minimum required version, for clarity. * Merge DemaStrats (#1067) fixes #1064 * v4.1.0: prepare release (#1068) * v4.1.0: prepare release * update package-lock.json --- .travis.yml | 8 + CHANGELOG.md | 44 + Dockerfile | 6 +- README.md | 188 +- commands/trade.js | 6 +- docker-compose-windows.yml | 4 +- docker-compose.yml | 4 +- extensions/exchanges/bittrex/exchange.js | 2 +- extensions/exchanges/poloniex/exchange.js | 6 +- .../strategies/dema-lessnoise/_codemap.js | 6 - .../strategies/dema-lessnoise/strategy.js | 83 - extensions/strategies/dema/strategy.js | 5 +- extensions/strategies/noop/_codemap.js | 5 +- extensions/strategies/trendline/strategy.js | 4 +- lib/engine.js | 6 +- package-lock.json | 8209 +++++++++++++---- package.json | 5 +- scripts/genetic_backtester/darwin.js | 70 +- 18 files changed, 6837 insertions(+), 1824 deletions(-) create mode 100644 .travis.yml create mode 100644 CHANGELOG.md delete mode 100644 extensions/strategies/dema-lessnoise/_codemap.js delete mode 100644 extensions/strategies/dema-lessnoise/strategy.js diff --git a/.travis.yml b/.travis.yml new file mode 100644 index 0000000000..5c2b1d5ba4 --- /dev/null +++ b/.travis.yml @@ -0,0 +1,8 @@ +language: node_js +node_js: + - "8" + - "9" +before_install: + - rm -rf package-lock.json + - npm install https://github.com/floatdrop/pinkie-promise.git + - npm install -g node-gyp diff --git a/CHANGELOG.md b/CHANGELOG.md new file mode 100644 index 0000000000..91e51d3128 --- /dev/null +++ b/CHANGELOG.md @@ -0,0 +1,44 @@ +## Changelog + +- [v4.1.0](https://github.com/carlos8f/zenbot/releases/tag/v4.1.0) (Latest) + - more indicators + - more strategies + - more exchanges + - too many bug fixes to list here + - web UI + - Travis + - Docker automated builds + - Automated tests +- [v4.0.5](https://github.com/carlos8f/zenbot/releases/tag/v4.0.5) + - handle insufficient funds errors from gdax + - new trend_ema defaults adjusted for latest btc movements: 20m period, neutral_rate=0 + - include more data in sim output + - remove rarely useful trend_ema options + - avoid abort in trader on failed getTrades() +- v4.0.4 + - debugging for polo odd results + - sim: simplify and correct makerFee assessment + - fix conf path in API credentials errors + - fix order total under 0.0001 error on polo + - Docker: extend README slightly (thanks [@DeviaVir](https://github.com/deviavir) and [@egorbenko](https://github.com/egorbenko)) + - docker-compose: do not expose mongodb by default! (thanks [@DeviaVir](https://github.com/deviavir)) +- v4.0.3 + - fix for docker mongo host error + - link for new Discord chat! + - fix polo crash on getOrder weird result + - fix oversold_rsi trigger while in preroll + - fix polo "not enough..." errors + - fancy colors for price report + - display product id in report + - fix poloniex backfill batches too big, mongo timeouts + - fix cursorTo() crash on some node installs + - memDump for debugging order failures + - fix column spacing on progress report +- v4.0.2 + - minor overhaul to trend_ema strat - added whipsaw filtering via std. deviation (`--neutral_rate=auto`) + - trim preroll of sim result graph +- v4.0.1 + - Added .dockerignore (thanks [@sulphur](https://github.com/sulphur)) + - fix crashing on mongo timeout during backfill + - fix gaps in poloniex backfill + - default backfill days 90 -> 14 diff --git a/Dockerfile b/Dockerfile index 56aa8a5d96..8d4c09ba10 100644 --- a/Dockerfile +++ b/Dockerfile @@ -4,7 +4,11 @@ RUN mkdir -p /app WORKDIR /app COPY package.json /app/ -RUN npm install -g node-gyp && npm install --unsafe-perm +COPY webpack.config.js /app/ +COPY webpack-src /app/webpack-src +COPY templates /app/templates +RUN npm install -g node-gyp +RUN npm install --unsafe-perm COPY . /app RUN ln -s /app/zenbot.sh /usr/local/bin/zenbot diff --git a/README.md b/README.md index 1a9bce9f8b..0f1da42ab7 100644 --- a/README.md +++ b/README.md @@ -3,6 +3,8 @@ > β€œTo follow the path, look to the master, follow the master, walk with the master, see through the master, become the master.” > – Zen Proverb +# Zenbot [![Build/Test Status](https://travis-ci.org/DeviaVir/zenbot.svg?branch=master)](https://travis-ci.org/DeviaVir/zenbot) + ## Current Status Zenbot 4 is functional, but is having trouble reliably making profit. At this point, **I would recommend against trading with large amounts** until some of these issues can be worked out: @@ -16,7 +18,7 @@ Zenbot 4 is functional, but is having trouble reliably making profit. At this po Zenbot is a hobby project for me and I'm sorry that I can't devote myself full-time to it. Since I'm getting busier, development may slow down a bit from here, so please be patient if issues aren't fixed right away. ## Questions -Please ask questions related to zenbot on stackoverflow. The tag is [zenbot](https://stackoverflow.com/questions/tagged/zenbot). +Please ask (programming) questions related to zenbot on stackoverflow. The tag is [zenbot](https://stackoverflow.com/questions/tagged/zenbot). ## Description @@ -43,7 +45,7 @@ Zenbot is a command-line cryptocurrency trading bot using Node.js and MongoDB. I ### Step 1) Requirements - Windows / Linux / macOS 10 (or Docker) -- [Node.js](https://nodejs.org/) (version 8 or higher) and [MongoDB](https://www.mongodb.com/). +- [Node.js](https://nodejs.org/) (version 8.3.0 or higher) and [MongoDB](https://www.mongodb.com/). ### Step 2) Install zenbot 4 @@ -109,7 +111,6 @@ After installing (step 2 above), ``` cd zenbot -docker-compose build docker-compose up (-d if you don't want to see the log) ``` @@ -126,6 +127,17 @@ docker-compose exec server zenbot list-selectors docker-compose exec server zenbot backfill --days ``` +#### Updating docker + +In case you are behind on updates, you can run: +``` +docker pull deviavir/zenbot:unstable +``` +And re-run `docker-compose up -d` to start the new image. + +`deviavir/zenbot` is automatically updated after every merge. +You can follow the tags/builds here: https://hub.docker.com/r/deviavir/zenbot/builds/ + ## Selectors A "selector" is a short identifier that tells Zenbot which exchange and currency pair to act on. Use the form `{exchange_slug}.{asset}-{currency}`. A complete list of selectors your Zenbot install supports can be found with: @@ -270,29 +282,67 @@ and also: ``` zenbot list-strategies +cci_srsi + description: + Stochastic CCI Strategy + options: + --period= period length, same as --period_length (default: 20m) + --period_length= period length, same as --period (default: 20m) + --min_periods= min. number of history periods (default: 30) + --ema_acc= sideways threshold (0.2-0.4) (default: 0.03) + --cci_periods= number of RSI periods (default: 14) + --rsi_periods= number of RSI periods (default: 14) + --srsi_periods= number of RSI periods (default: 9) + --srsi_k= %K line (default: 5) + --srsi_d= %D line (default: 3) + --oversold_rsi= buy when RSI reaches or drops below this value (default: 18) + --overbought_rsi= sell when RSI reaches or goes above this value (default: 85) + --oversold_cci= buy when CCI reaches or drops below this value (default: -90) + --overbought_cci= sell when CCI reaches or goes above this value (default: 140) + --constant= constant (default: 0.015) +If you have questions about this strategy, contact me... @talvasconcelos + crossover_vwap description: Estimate trends by comparing "Volume Weighted Average Price" to the "Exponential Moving Average". options: + --period= period length, same as --period_length (default: 120m) + --period_length= period length, same as --period (default: 120m) --emalen1= Length of EMA 1 (default: 30) --smalen1= Length of SMA 1 (default: 108) --smalen2= Length of SMA 2 (default: 60) --vwap_length= Min periods for vwap to start (default: 10) --vwap_max= Max history for vwap. Increasing this makes it more sensitive to short-term changes (default: 8000) +dema + description: + Buy when (short ema > long ema) and sell when (short ema < long ema). + options: + --period= period length (default: 1h) + --min_periods= min. number of history periods (default: 21) + --ema_short_period= number of periods for the shorter EMA (default: 10) + --ema_long_period= number of periods for the longer EMA (default: 21) + --up_trend_threshold= threshold to trigger a buy signal (default: 0) + --down_trend_threshold= threshold to trigger a sold signal (default: 0) + --overbought_rsi_periods= number of periods for overbought RSI (default: 9) + --overbought_rsi= sold when RSI exceeds this value (default: 80) + --noise_level_pct= do not trade when short ema is with this % of last short ema, 0 disables this feature (default: 0) + forex_analytics description: Apply the trained forex analytics model. options: --modelfile= modelfile (generated by running `train`), should be in models/ (default: none) - --period= period length of a candlestick (default: 30m) (default: 30m) + --period= period length of a candlestick (default: 30m), same as --period_length (default: 30m) + --period_length= period length of a candlestick (default: 30m), same as --period (default: 30m) --min_periods= min. number of history periods (default: 100) macd description: Buy when (MACD - Signal > 0) and sell when (MACD - Signal < 0). options: - --period= period length (default: 1h) + --period= period length, same as --period_length (default: 1h) + --period_length= period length, same as --period (default: 1h) --min_periods= min. number of history periods (default: 52) --ema_short_period= number of periods for the shorter EMA (default: 12) --ema_long_period= number of periods for the longer EMA (default: 26) @@ -306,23 +356,32 @@ neural description: Use neural learning to predict future price. Buy = mean(last 3 real prices) < mean(current & last prediction) options: - --period= period length - make sure to lower your poll trades time to lower than this value (default: 5s) + --period= period length - make sure to lower your poll trades time to lower than this value. Same as --period_length (default: 1m) + --period_length= period length - make sure to lower your poll trades time to lower than this value. Same as --period (default: 1m) --activation_1_type= Neuron Activation Type: sigmoid, tanh, relu (default: sigmoid) - --neurons_1= Neurons in layer 1 Shoot for atleast 100 (default: 5) - --depth= Rows of data to predict ahead for matches/learning (default: 3) + --neurons_1= Neurons in layer 1 Shoot for atleast 100 (default: 1) + --depth= Rows of data to predict ahead for matches/learning (default: 1) --selector= Selector (default: Gdax.BTC-USD) - --min_periods= Periods to calculate learn from (default: 100) - --min_predict= Periods to predict next number from (default: 10) - --momentum= momentum of prediction (default: 0) - --decay= decay of prediction, use teeny tiny increments (default: 0) - --threads= Number of processing threads you'd like to run (best for sim) (default: 8) - --learns= Number of times to 'learn' the neural network with past data (default: 100) + --min_periods= Periods to calculate learn from (default: 1000) + --min_predict= Periods to predict next number from (default: 1) + --momentum= momentum of prediction (default: 0.9) + --decay= decay of prediction, use teeny tiny increments (default: 0.1) + --threads= Number of processing threads you'd like to run (best for sim) (default: 1) + --learns= Number of times to 'learn' the neural network with past data (default: 2) + +noop + description: + Just do nothing. Can be used to e.g. generate candlesticks for training the genetic forex strategy. + options: + --period= period length, same as --period_length (default: 30m) + --period_length= period length, same as --period (default: 30m) rsi description: Attempts to buy low and sell high by tracking RSI high-water readings. options: - --period= period length (default: 2m) + --period= period length, same as --period_length (default: 2m) + --period_length= period length, same as --period (default: 2m) --min_periods= min. number of history periods (default: 52) --rsi_periods= number of RSI periods --oversold_rsi= buy when RSI reaches or drops below this value (default: 30) @@ -335,7 +394,8 @@ sar description: Parabolic SAR options: - --period= period length (default: 2m) + --period= period length, same as --period_length (default: 2m) + --period_length= period length, same as --period (default: 2m) --min_periods= min. number of history periods (default: 52) --sar_af= acceleration factor for parabolic SAR (default: 0.015) --sar_max_af= max acceleration factor for parabolic SAR (default: 0.3) @@ -344,7 +404,8 @@ speed description: Trade when % change from last two 1m periods is higher than average. options: - --period= period length (default: 1m) + --period= period length, same as --period_length (default: 1m) + --period_length= period length, same as --period (default: 1m) --min_periods= min. number of history periods (default: 3000) --baseline_periods= lookback periods for volatility baseline (default: 3000) --trigger_factor= multiply with volatility baseline EMA to get trigger value (default: 1.6) @@ -353,7 +414,8 @@ srsi_macd description: Stochastic MACD Strategy options: - --period= period length (default: 30m) + --period= period length, same as --period_length (default: 30m) + --period_length= period length, same as --period (default: 30m) --min_periods= min. number of history periods (default: 200) --rsi_periods= number of RSI periods --srsi_periods= number of RSI periods (default: 9) @@ -371,7 +433,8 @@ stddev description: Buy when standard deviation and mean increase, sell on mean decrease. options: - --period= period length, set poll trades to 100ms, poll order 1000ms (default: 100ms) + --period= period length, set poll trades to 100ms, poll order 1000ms. Same as --period_length (default: 100ms) + --period_length= period length, set poll trades to 100ms, poll order 1000ms. Same as --period (default: 100ms) --trendtrades_1= Trades for array 1 to be subtracted stddev and mean from (default: 5) --trendtrades_2= Trades for array 2 to be calculated stddev and mean from (default: 53) --min_periods= min_periods (default: 1250) @@ -380,7 +443,8 @@ ta_ema description: Buy when (EMA - last(EMA) > 0) and sell when (EMA - last(EMA) < 0). Optional buy on low RSI. options: - --period= period length (default: 10m) + --period= period length, same as --period_length (default: 10m) + --period_length= period length, same as --period (default: 10m) --min_periods= min. number of history periods (default: 52) --trend_ema= number of periods for trend EMA (default: 20) --neutral_rate= avoid trades if abs(trend_ema) under this float (0 to disable, "auto" for a variable filter) (default: 0.06) @@ -391,7 +455,8 @@ ta_macd description: Buy when (MACD - Signal > 0) and sell when (MACD - Signal < 0). options: - --period= period length (default: 1h) + --period= period length, same as --period_length (default: 1h) + --period_length= period length, same as --period (default: 1h) --min_periods= min. number of history periods (default: 52) --ema_short_period= number of periods for the shorter EMA (default: 12) --ema_long_period= number of periods for the longer EMA (default: 26) @@ -405,7 +470,8 @@ trend_ema (default) description: Buy when (EMA - last(EMA) > 0) and sell when (EMA - last(EMA) < 0). Optional buy on low RSI. options: - --period= period length (default: 2m) + --period= period length, same as --period_length (default: 2m) + --period_length= period length, same as --period (default: 2m) --min_periods= min. number of history periods (default: 52) --trend_ema= number of periods for trend EMA (default: 26) --neutral_rate= avoid trades if abs(trend_ema) under this float (0 to disable, "auto" for a variable filter) (default: auto) @@ -416,17 +482,22 @@ trendline description: Calculate a trendline and trade when trend is positive vs negative. options: - --period= period length (default: 10s) - --trendtrades_1= Number of trades to load into data (default: 100) - --lastpoints= Number of short points at beginning of trendline (default: 3) - --avgpoints= Number of long points at end of trendline (default: 53) - --min_periods= Minimum trades to backfill with (trendtrades_1 + about ~10) (default: 1250) + --period= period length (default: 30s) + --period_length= period length (default: 30s) + --lastpoints= Number of trades for short trend average (default: 100) + --avgpoints= Number of trades for long trend average (default: 1000) + --lastpoints2= Number of trades for short trend average (default: 10) + --avgpoints2= Number of trades for long trend average (default: 100) + --min_periods= Basically avgpoints + a BUNCH of more preroll periods for anything less than 5s period (default: 15000) + --markup_sell_pct= test (default: 0) + --markdown_buy_pct= test (default: 0) trust_distrust description: Sell when price higher than $sell_min% and highest point - $sell_threshold% is reached. Buy when lowest price point + $buy_threshold% reached. options: - --period= period length (default: 30m) + --period= period length, same as --period_length (default: 30m) + --period_length= period length, same as --period (default: 30m) --min_periods= min. number of history periods (default: 52) --sell_threshold= sell when the top drops at least below this percentage (default: 2) --sell_threshold_max= sell when the top drops lower than this max, regardless of sell_min (panic sell, 0 to disable) (default: 0) @@ -446,6 +517,10 @@ While the `trade` command is running, Zenbot will respond to these keypress comm These commands can be used to override what the bot is doing. Or, while running with the `--manual` flag, this allows you to make all the trade decisions yourself. +### noop strategy + +If you want to use the bot without it trading for you, but just use it for the balance overview and manual trades, you can start the bot with `--strategy noop`, the bot will not trade automatically. + ## Conf/argument override files To run `trade` or `sim` commands with a pre-defined set of options, use: @@ -468,7 +543,9 @@ c.oversold_rsi_periods = 20 c.max_slippage_pct = 10 c.order_adjust_time = 10000 ``` -## GUI + +## GUI + A basic web UI is available at the url stated during startup. This port can be configured in the conf.js or randomly assigned. In it's infancy, there are a few caveats with the current UI. - In order to have statistics displayed, they must first be dumped from the CLI. Pressing `D` will refresh the statistics on each refresh of the dashboard. @@ -628,51 +705,6 @@ Or to sell 10% of your BTC, zenbot sell gdax.BTC-USD --pct=10 ``` -## Changelog - -- [v4.0.5](https://github.com/carlos8f/zenbot/releases/tag/v4.0.5) (Latest) - - handle insufficient funds errors from gdax - - new trend_ema defaults adjusted for latest btc movements: 20m period, neutral_rate=0 - - include more data in sim output - - remove rarely useful trend_ema options - - avoid abort in trader on failed getTrades() -- v4.0.4 - - debugging for polo odd results - - sim: simplify and correct makerFee assessment - - fix conf path in API credentials errors - - fix order total under 0.0001 error on polo - - Docker: extend README slightly (thanks [@DeviaVir](https://github.com/deviavir) and [@egorbenko](https://github.com/egorbenko)) - - docker-compose: do not expose mongodb by default! (thanks [@DeviaVir](https://github.com/deviavir)) -- v4.0.3 - - fix for docker mongo host error - - link for new Discord chat! - - fix polo crash on getOrder weird result - - fix oversold_rsi trigger while in preroll - - fix polo "not enough..." errors - - fancy colors for price report - - display product id in report - - fix poloniex backfill batches too big, mongo timeouts - - fix cursorTo() crash on some node installs - - memDump for debugging order failures - - fix column spacing on progress report -- v4.0.2 - - minor overhaul to trend_ema strat - added whipsaw filtering via std. deviation (`--neutral_rate=auto`) - - trim preroll of sim result graph -- v4.0.1 - - Added .dockerignore (thanks [@sulphur](https://github.com/sulphur)) - - fix crashing on mongo timeout during backfill - - fix gaps in poloniex backfill - - default backfill days 90 -> 14 - -## TODO - -- cancel pending orders on SIGINT -- tool to generate graph and stats from live or paper trading sessions -- review PRs -- web UI with graphs and logs -- "reaper" to automatically prune trades collection to a certain day length -- "lite mode" for trader, an option to run without MongoDB - ## Chat with other Zenbot users [![zenbot logo](https://rawgit.com/deviavir/zenbot/master/assets/discord.png)](https://discord.gg/ZdAd2gP) @@ -681,12 +713,16 @@ Zenbot has a Discord chat! You can get in [through this invite link](https://dis ## Donate -P.S., some have asked for how to donate to Zenbot development. I accept donations at **my Bitcoin address** Here: +P.S., some have asked for how to donate to Zenbot development. We accept donations at **Bitcoin addresses** below: -### carlos8f's BTC +### carlos8f's BTC (original zenbot author) `187rmNSkSvehgcKpBunre6a5wA5hQQop6W` +### DeviaVir's BTC (current maintainer) + +`3BZojxm9q8uGWvvsudLCmqfBhtT7ceeSQk` + ![zenbot logo](https://rawgit.com/deviavir/zenbot/master/assets/zenbot_square.png) Thanks! diff --git a/commands/trade.js b/commands/trade.js index 88501a83b4..53fee437f1 100644 --- a/commands/trade.js +++ b/commands/trade.js @@ -387,9 +387,11 @@ module.exports = function container (get, set, clear) { get('db.trades').select(opts, function (err, trades) { if (err) throw err if (!trades.length) { - console.log('------------------------------------------ INITIALIZE OUTPUT ------------------------------------------') + var head = '------------------------------------------ INITIALIZE OUTPUT ------------------------------------------'; + console.log(head) get('lib.output').initializeOutput(s) - console.log('---------------------------- STARTING ' + so.mode.toUpperCase() + ' TRADING ----------------------------') + var minuses = Math.floor((head.length - so.mode.length - 19) / 2) + console.log('-'.repeat(minuses) + ' STARTING ' + so.mode.toUpperCase() + ' TRADING ' + '-'.repeat(minuses + (minuses % 2 == 0 ? 0 : 1))) if (so.mode === 'paper') { console.log('!!! Paper mode enabled. No real trades are performed until you remove --paper from the startup command.') } diff --git a/docker-compose-windows.yml b/docker-compose-windows.yml index 02655aa71b..66f4d935fd 100644 --- a/docker-compose-windows.yml +++ b/docker-compose-windows.yml @@ -1,5 +1,5 @@ server: - build: . + image: deviavir/zenbot:unstable volumes: - ./conf.js:/app/conf.js - ./extensions:/app/extensions @@ -12,7 +12,7 @@ mongodb: image: mongo:latest volumes_from: - mongodb-data - command: mongod --smallfiles + command: mongod --smallfiles --bind_ip=0.0.0.0 --logpath=/dev/null mongodb-data: image: mongo:latest diff --git a/docker-compose.yml b/docker-compose.yml index 991ae22e23..36be578eb1 100644 --- a/docker-compose.yml +++ b/docker-compose.yml @@ -3,7 +3,7 @@ version: '3.1' services: server: - build: . + image: deviavir/zenbot:unstable volumes: - ./conf.js:/app/conf.js - ./extensions:/app/extensions @@ -22,7 +22,7 @@ services: image: mongo:latest volumes: - ./data/db:/data/db - command: mongod --smallfiles --logpath=/dev/null + command: mongod --smallfiles --bind_ip=0.0.0.0 --logpath=/dev/null ports: - 27017:27017 diff --git a/extensions/exchanges/bittrex/exchange.js b/extensions/exchanges/bittrex/exchange.js index 40332b673a..98bc0b2134 100644 --- a/extensions/exchanges/bittrex/exchange.js +++ b/extensions/exchanges/bittrex/exchange.js @@ -38,7 +38,7 @@ module.exports = function container(get, set, clear) { var timeout = 2500 } - console.error(('\Bittrex API error - unable to call ' + method + ' (' + error.message + '), retrying in ' + timeout / 1000 + 's').red) + console.error(('\nBittrex API error - unable to call ' + method + ' (' + error.message + '), retrying in ' + timeout / 1000 + 's').red) setTimeout(function () { exchange[method].apply(exchange, args) }, timeout) diff --git a/extensions/exchanges/poloniex/exchange.js b/extensions/exchanges/poloniex/exchange.js index 33e4ce60a3..194aa557c0 100644 --- a/extensions/exchanges/poloniex/exchange.js +++ b/extensions/exchanges/poloniex/exchange.js @@ -73,7 +73,7 @@ module.exports = function container (get, set, clear) { return retry('getTrades', func_args) } if (!body.map) { - console.error('\getTrades odd result:') + console.error('\ngetTrades odd result:') console.error(body) return retry('getTrades', func_args) } @@ -100,7 +100,7 @@ module.exports = function container (get, set, clear) { return retry('getBalance', args) } if (body.error) { - console.error('\ggetBalance error:') + console.error('\ngetBalance error:') console.error(body) return retry('getBalance', args) } @@ -126,7 +126,7 @@ module.exports = function container (get, set, clear) { return retry('getQuote', args) } if (body.error) { - console.error('\ggetQuote error:') + console.error('\ngetQuote error:') console.error(body) return retry('getQuote', args) } diff --git a/extensions/strategies/dema-lessnoise/_codemap.js b/extensions/strategies/dema-lessnoise/_codemap.js deleted file mode 100644 index d86fae3d5f..0000000000 --- a/extensions/strategies/dema-lessnoise/_codemap.js +++ /dev/null @@ -1,6 +0,0 @@ -module.exports = { - _ns: 'zenbot', - - 'strategies.dema-lessnoise': require('./strategy'), - 'strategies.list[]': '#strategies.dema-lessnoise' -} diff --git a/extensions/strategies/dema-lessnoise/strategy.js b/extensions/strategies/dema-lessnoise/strategy.js deleted file mode 100644 index d4dc26a23c..0000000000 --- a/extensions/strategies/dema-lessnoise/strategy.js +++ /dev/null @@ -1,83 +0,0 @@ -var z = require('zero-fill') - , n = require('numbro') - -module.exports = function container (get, set, clear) { - return { - name: 'dema', - description: 'Buy when (short ema > long ema) and sell when (short ema < long ema).', - - getOptions: function () { - this.option('period', 'period length', String, '1h') - this.option('min_periods', 'min. number of history periods', Number, 21) - this.option('ema_short_period', 'number of periods for the shorter EMA', Number, 10) - this.option('ema_long_period', 'number of periods for the longer EMA', Number, 21) - this.option('up_trend_threshold', 'threshold to trigger a buy signal', Number, 0) - this.option('down_trend_threshold', 'threshold to trigger a sold signal', Number, 0) - this.option('overbought_rsi_periods', 'number of periods for overbought RSI', Number, 9) - this.option('overbought_rsi', 'sold when RSI exceeds this value', Number, 80) - this.option('noise_level_pct', 'do not trade when short ema is with this % of last short ema', Number, 2) - }, - - calculate: function (s) { - if (s.options.overbought_rsi) { - // sync RSI display with overbought RSI periods - s.options.rsi_periods = s.options.overbought_rsi_periods - get('lib.rsi')(s, 'overbought_rsi', s.options.overbought_rsi_periods) - if (!s.in_preroll && s.period.overbought_rsi >= s.options.overbought_rsi && !s.overbought) { - s.overbought = true - if (s.options.mode === 'sim' && s.options.verbose) console.log(('\noverbought at ' + s.period.overbought_rsi + ' RSI, preparing to sold\n').cyan) - } - } - - // compture DEMA - get('lib.ema')(s, 'ema_short', s.options.ema_short_period) - get('lib.ema')(s, 'ema_long', s.options.ema_long_period) - if (s.period.ema_short && s.period.ema_long) { - s.period.dema_histogram = (s.period.ema_short - s.period.ema_long) - } - }, - - onPeriod: function (s, cb) { - if (!s.in_preroll && typeof s.period.overbought_rsi === 'number') { - if (s.overbought) { - s.overbought = false - s.trend = 'overbought' - s.signal = 'sold' - return cb() - } - } - - if (typeof s.period.dema_histogram === 'number' && typeof s.lookback[0].dema_histogram === 'number') { - if (s.period.ema_short / s.lookback[0].ema_short * 100 < s.options.noise_level_pct) { - s.signal = 'null'; - } else if ((s.period.dema_histogram + s.options.down_trend_threshold) < 0 && (s.lookback[0].dema_histogram + s.options.down_trend_threshold) >= 0) { - s.signal = 'sell'; - } else if ((s.period.dema_histogram - s.options.up_trend_threshold) > 0 && (s.lookback[0].dema_histogram - s.options.up_trend_threshold) <= 0) { - s.signal = 'buy'; - } else { - s.signal = null; // hold - } - } - cb() - }, - - onReport: function (s) { - var cols = [] - if (typeof s.period.dema_histogram === 'number') { - var color = 'grey' - if (s.period.dema_histogram > 0) { - color = 'green' - } - else if (s.period.dema_histogram < 0) { - color = 'red' - } - cols.push(z(8, n(s.period.dema_histogram).format('+00.0000'), ' ')[color]) - cols.push(z(8, n(s.period.overbought_rsi).format('00'), ' ').cyan) - } - else { - cols.push(' ') - } - return cols - } - } -} diff --git a/extensions/strategies/dema/strategy.js b/extensions/strategies/dema/strategy.js index c506b7bd77..a5dbb4d278 100644 --- a/extensions/strategies/dema/strategy.js +++ b/extensions/strategies/dema/strategy.js @@ -15,6 +15,7 @@ module.exports = function container (get, set, clear) { this.option('down_trend_threshold', 'threshold to trigger a sold signal', Number, 0) this.option('overbought_rsi_periods', 'number of periods for overbought RSI', Number, 9) this.option('overbought_rsi', 'sold when RSI exceeds this value', Number, 80) + this.option('noise_level_pct', 'do not trade when short ema is with this % of last short ema', Number, 0) }, calculate: function (s) { @@ -47,7 +48,9 @@ module.exports = function container (get, set, clear) { } if (typeof s.period.dema_histogram === 'number' && typeof s.lookback[0].dema_histogram === 'number') { - if ((s.period.dema_histogram - s.options.up_trend_threshold) > 0 && (s.lookback[0].dema_histogram - s.options.up_trend_threshold) <= 0) { + if (s.options.noise_level_pct != 0 && (s.period.ema_short / s.lookback[0].ema_short * 100 < s.options.noise_level_pct)) { + s.signal = 'null'; + } else if ((s.period.dema_histogram - s.options.up_trend_threshold) > 0 && (s.lookback[0].dema_histogram - s.options.up_trend_threshold) <= 0) { s.signal = 'buy'; } else if ((s.period.dema_histogram + s.options.down_trend_threshold) < 0 && (s.lookback[0].dema_histogram + s.options.down_trend_threshold) >= 0) { s.signal = 'sell'; diff --git a/extensions/strategies/noop/_codemap.js b/extensions/strategies/noop/_codemap.js index 74979297a3..94521a202c 100644 --- a/extensions/strategies/noop/_codemap.js +++ b/extensions/strategies/noop/_codemap.js @@ -1,5 +1,6 @@ module.exports = { _ns: 'zenbot', - 'strategies.noop': require('./strategy') -} \ No newline at end of file + 'strategies.noop': require('./strategy'), + 'strategies.list[]': '#strategies.noop' +} diff --git a/extensions/strategies/trendline/strategy.js b/extensions/strategies/trendline/strategy.js index 1b20bffe0a..63a307078b 100644 --- a/extensions/strategies/trendline/strategy.js +++ b/extensions/strategies/trendline/strategy.js @@ -72,8 +72,8 @@ module.exports = function container (get, set, clear) { s.signal = 'buy' } else if ( - s.growth === false | - s.growth2 === false | + s.growth === false || + s.growth2 === false || s.accel === false ) { diff --git a/lib/engine.js b/lib/engine.js index e8c826f490..d4aedfa350 100644 --- a/lib/engine.js +++ b/lib/engine.js @@ -706,7 +706,7 @@ module.exports = function container (get, set, clear) { process.stdout.write(z(8, pct(diff), ' ')[diff >= 0 ? 'green' : 'red']) } else { - process.stdout.write(z(8, '', ' ')) + process.stdout.write(z(9, '', ' ')) } var volume_display = s.period.volume > 99999 ? abbreviate(s.period.volume, 2) : n(s.period.volume).format('0') volume_display = z(8, volume_display, ' ') @@ -789,8 +789,8 @@ module.exports = function container (get, set, clear) { z(19, 'DATE', ' ').grey, z(17, 'PRICE', ' ').grey, z(9, 'DIFF', ' ').grey, - z(15, 'VOL', ' ').grey, - z(12, 'RSI', ' ').grey, + z(10, 'VOL', ' ').grey, + z(8, 'RSI', ' ').grey, z(32, 'ACTIONS', ' ').grey, z(25, 'BAL', ' ').grey, z(22, 'PROFIT', ' ').grey diff --git a/package-lock.json b/package-lock.json index 8b7d483450..2421cefaa4 100644 --- a/package-lock.json +++ b/package-lock.json @@ -1,13 +1,13 @@ { "name": "zenbot4", - "version": "4.0.5", + "version": "4.1.0", "lockfileVersion": 1, "requires": true, "dependencies": { "@slack/client": { - "version": "3.14.2", - "resolved": "https://registry.npmjs.org/@slack/client/-/client-3.14.2.tgz", - "integrity": "sha512-Rs95C+yC2cJ81qydH8uH0beH/5wp60aCmX4k0Hj2v1vG4ntjHARyr8Dbeq/G2n9l8dkwdCwDS09KyLEyermmrg==", + "version": "3.15.0", + "resolved": "https://registry.npmjs.org/@slack/client/-/client-3.15.0.tgz", + "integrity": "sha512-MIgf5s9PrcxFaPlkJ2cFOhrfh9/KOmUKK5GG/Eka1IJK7+oBCscJFnQ6FfYnZICwIQxWkkuiXmeWYWNevZhCLg==", "requires": { "async": "1.5.2", "bluebird": "3.5.1", @@ -64,14 +64,19 @@ } }, "JSONStream": { - "version": "1.3.1", - "resolved": "https://registry.npmjs.org/JSONStream/-/JSONStream-1.3.1.tgz", - "integrity": "sha1-cH92HgHa6eFvG8+TcDt4xwlmV5o=", + "version": "1.3.2", + "resolved": "https://registry.npmjs.org/JSONStream/-/JSONStream-1.3.2.tgz", + "integrity": "sha1-wQI3G27Dp887hHygDCC7D85Mbeo=", "requires": { "jsonparse": "1.3.1", "through": "2.3.8" } }, + "abbrev": { + "version": "1.1.1", + "resolved": "https://registry.npmjs.org/abbrev/-/abbrev-1.1.1.tgz", + "integrity": "sha512-nne9/IiQ/hzIhY6pdDnbBtz7DjPTKrY00P/zvPSm5pOFkl6xuGrGnXn/VtTNNfNtAfZ9/1RtehkszU9qcTii0Q==" + }, "accepts": { "version": "1.3.4", "resolved": "https://registry.npmjs.org/accepts/-/accepts-1.3.4.tgz", @@ -82,10 +87,24 @@ } }, "acorn": { - "version": "5.2.1", - "resolved": "https://registry.npmjs.org/acorn/-/acorn-5.2.1.tgz", - "integrity": "sha512-jG0u7c4Ly+3QkkW18V+NRDN+4bWHdln30NL1ZL2AvFZZmQe/BfopYCtghCKKVBUSetZ4QKcyA0pY6/4Gw8Pv8w==", - "dev": true + "version": "5.3.0", + "resolved": "https://registry.npmjs.org/acorn/-/acorn-5.3.0.tgz", + "integrity": "sha512-Yej+zOJ1Dm/IMZzzj78OntP/r3zHEaKcyNoU2lAaxPtrseM6rF0xwqoz5Q5ysAiED9hTjI2hgtvLXitlCN1/Ug==" + }, + "acorn-dynamic-import": { + "version": "2.0.2", + "resolved": "https://registry.npmjs.org/acorn-dynamic-import/-/acorn-dynamic-import-2.0.2.tgz", + "integrity": "sha1-x1K9IQvvZ5UBtsbLf8hPj0cVjMQ=", + "requires": { + "acorn": "4.0.13" + }, + "dependencies": { + "acorn": { + "version": "4.0.13", + "resolved": "https://registry.npmjs.org/acorn/-/acorn-4.0.13.tgz", + "integrity": "sha1-EFSVrlNh1pe9GVyCUZLhrX8lN4c=" + } + } }, "acorn-jsx": { "version": "3.0.1", @@ -104,6 +123,48 @@ } } }, + "adjust-sourcemap-loader": { + "version": "1.1.0", + "resolved": "https://registry.npmjs.org/adjust-sourcemap-loader/-/adjust-sourcemap-loader-1.1.0.tgz", + "integrity": "sha1-QS2SQE62HkETY1ASy6U6M9AI4OI=", + "requires": { + "assert": "1.4.1", + "camelcase": "1.2.1", + "loader-utils": "1.1.0", + "lodash.assign": "4.2.0", + "lodash.defaults": "3.1.2", + "object-path": "0.9.2", + "regex-parser": "2.2.8" + }, + "dependencies": { + "camelcase": { + "version": "1.2.1", + "resolved": "https://registry.npmjs.org/camelcase/-/camelcase-1.2.1.tgz", + "integrity": "sha1-m7UwTS4LVmmLLHWLCKPqqdqlijk=" + }, + "lodash.defaults": { + "version": "3.1.2", + "resolved": "https://registry.npmjs.org/lodash.defaults/-/lodash.defaults-3.1.2.tgz", + "integrity": "sha1-xzCLGNv4vJNy1wGnNJPGEZK9Liw=", + "requires": { + "lodash.assign": "3.2.0", + "lodash.restparam": "3.6.1" + }, + "dependencies": { + "lodash.assign": { + "version": "3.2.0", + "resolved": "https://registry.npmjs.org/lodash.assign/-/lodash.assign-3.2.0.tgz", + "integrity": "sha1-POnwI0tLIiPilrj6CsH+6OvKZPo=", + "requires": { + "lodash._baseassign": "3.2.0", + "lodash._createassigner": "3.1.1", + "lodash.keys": "3.1.2" + } + } + } + } + } + }, "agent-base": { "version": "2.1.1", "resolved": "https://registry.npmjs.org/agent-base/-/agent-base-2.1.1.tgz", @@ -121,9 +182,9 @@ } }, "ajv": { - "version": "5.5.1", - "resolved": "https://registry.npmjs.org/ajv/-/ajv-5.5.1.tgz", - "integrity": "sha1-s4u4h22ehr7plJVqBOch6IskjrI=", + "version": "5.5.2", + "resolved": "https://registry.npmjs.org/ajv/-/ajv-5.5.2.tgz", + "integrity": "sha1-c7Xuyj+rZT49P5Qis0GtQiBdyWU=", "requires": { "co": "4.6.0", "fast-deep-equal": "1.0.0", @@ -134,8 +195,27 @@ "ajv-keywords": { "version": "2.1.1", "resolved": "https://registry.npmjs.org/ajv-keywords/-/ajv-keywords-2.1.1.tgz", - "integrity": "sha1-YXmX/F9gV2iUxDX5QNgZ4TW4B2I=", - "dev": true + "integrity": "sha1-YXmX/F9gV2iUxDX5QNgZ4TW4B2I=" + }, + "align-text": { + "version": "0.1.4", + "resolved": "https://registry.npmjs.org/align-text/-/align-text-0.1.4.tgz", + "integrity": "sha1-DNkKVhCT810KmSVsIrcGlDP60Rc=", + "requires": { + "kind-of": "3.2.2", + "longest": "1.0.1", + "repeat-string": "1.6.1" + } + }, + "alphanum-sort": { + "version": "1.0.2", + "resolved": "https://registry.npmjs.org/alphanum-sort/-/alphanum-sort-1.0.2.tgz", + "integrity": "sha1-l6ERlkmyEa0zaR2fn0hqjsn74KM=" + }, + "amdefine": { + "version": "1.0.1", + "resolved": "https://registry.npmjs.org/amdefine/-/amdefine-1.0.1.tgz", + "integrity": "sha1-SlKCrBZHKek2Gbz9OtFR+BfOkfU=" }, "ansi-escapes": { "version": "3.0.0", @@ -153,15 +233,55 @@ "resolved": "https://registry.npmjs.org/ansi-styles/-/ansi-styles-2.2.1.tgz", "integrity": "sha1-tDLdM1i2NM914eRmQ2gkBTPB3b4=" }, + "anymatch": { + "version": "1.3.2", + "resolved": "https://registry.npmjs.org/anymatch/-/anymatch-1.3.2.tgz", + "integrity": "sha512-0XNayC8lTHQ2OI8aljNCN3sSx6hsr/1+rlcDAotXJR7C1oZZHCNsfpbKwMjRA3Uqb5tF1Rae2oloTr4xpq+WjA==", + "requires": { + "micromatch": "2.3.11", + "normalize-path": "2.1.1" + } + }, + "aproba": { + "version": "1.2.0", + "resolved": "https://registry.npmjs.org/aproba/-/aproba-1.2.0.tgz", + "integrity": "sha512-Y9J6ZjXtoYh8RnXVCMOU/ttDmk1aBjunq9vO0ta5x85WDQiQfUF9sIPBITdbiiIVcBo03Hi3jMxigBtsddlXRw==" + }, + "are-we-there-yet": { + "version": "1.1.4", + "resolved": "https://registry.npmjs.org/are-we-there-yet/-/are-we-there-yet-1.1.4.tgz", + "integrity": "sha1-u13KOCu5TwXhUZQ3PRb9O6HKEQ0=", + "requires": { + "delegates": "1.0.0", + "readable-stream": "2.3.3" + } + }, "argparse": { "version": "1.0.9", "resolved": "https://registry.npmjs.org/argparse/-/argparse-1.0.9.tgz", "integrity": "sha1-c9g7wmP4bpf4zE9rrhsOkKfSLIY=", - "dev": true, "requires": { "sprintf-js": "1.0.3" } }, + "arr-diff": { + "version": "2.0.0", + "resolved": "https://registry.npmjs.org/arr-diff/-/arr-diff-2.0.0.tgz", + "integrity": "sha1-jzuCf5Vai9ZpaX5KQlasPOrjVs8=", + "requires": { + "arr-flatten": "1.1.0" + } + }, + "arr-flatten": { + "version": "1.1.0", + "resolved": "https://registry.npmjs.org/arr-flatten/-/arr-flatten-1.1.0.tgz", + "integrity": "sha512-L3hKV5R/p5o81R7O02IGnwpDmkp6E982XhtbuwSe3O4qOtMMMtodicASA1Cny2U+aCXcNpml+m4dPsvsJ3jatg==" + }, + "array-find-index": { + "version": "1.0.2", + "resolved": "https://registry.npmjs.org/array-find-index/-/array-find-index-1.0.2.tgz", + "integrity": "sha1-3wEKoSh+Fku9pvlyOwqWoexBh6E=" + }, "array-flatten": { "version": "1.1.1", "resolved": "https://registry.npmjs.org/array-flatten/-/array-flatten-1.1.1.tgz", @@ -182,6 +302,11 @@ "integrity": "sha1-r2rId6Jcx/dOBYiUdThY39sk/bY=", "dev": true }, + "array-unique": { + "version": "0.2.1", + "resolved": "https://registry.npmjs.org/array-unique/-/array-unique-0.2.1.tgz", + "integrity": "sha1-odl8yvy8JiXMcPrc6zalDFiwGlM=" + }, "array.prototype.findindex": { "version": "2.0.2", "resolved": "https://registry.npmjs.org/array.prototype.findindex/-/array.prototype.findindex-2.0.2.tgz", @@ -202,16 +327,29 @@ "resolved": "https://registry.npmjs.org/asn1/-/asn1-0.2.3.tgz", "integrity": "sha1-2sh4dxPJlmhJ/IGAd36+nB3fO4Y=" }, + "asn1.js": { + "version": "4.9.2", + "resolved": "https://registry.npmjs.org/asn1.js/-/asn1.js-4.9.2.tgz", + "integrity": "sha512-b/OsSjvWEo8Pi8H0zsDd2P6Uqo2TK2pH8gNLSJtNLM2Db0v2QaAZ0pBQJXVjAn4gBuugeVDr7s63ZogpUIwWDg==", + "requires": { + "bn.js": "4.11.8", + "inherits": "2.0.3", + "minimalistic-assert": "1.0.0" + } + }, + "assert": { + "version": "1.4.1", + "resolved": "https://registry.npmjs.org/assert/-/assert-1.4.1.tgz", + "integrity": "sha1-mZEtWRg2tab1s0XA8H7vwI/GXZE=", + "requires": { + "util": "0.10.3" + } + }, "assert-plus": { "version": "0.2.0", "resolved": "https://registry.npmjs.org/assert-plus/-/assert-plus-0.2.0.tgz", "integrity": 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"4.1.0" + "camelcase": "3.0.0" + }, + "dependencies": { + "camelcase": { + "version": "3.0.0", + "resolved": "https://registry.npmjs.org/camelcase/-/camelcase-3.0.0.tgz", + "integrity": "sha1-MvxLn82vhF/N9+c7uXysImHwqwo=" + } } }, "zero-fill": { diff --git a/package.json b/package.json index a97332bb7b..081f5472ee 100644 --- a/package.json +++ b/package.json @@ -1,6 +1,6 @@ { "name": "zenbot4", - "version": "4.0.5", + "version": "4.1.0", "description": "Cryptocurrency trading bot", "bugs": "https://github.com/carlos8f/zenbot/issues", "license": "MIT", @@ -35,7 +35,6 @@ "commander": "^2.9.0", "convnetjs": "0.3.0", "counterup": "^1.0.2", - "css-loader": "^0.28.7", "ejs": "^2.5.7", "express": "^4.16.2", "exports-loader": "^0.6.4", @@ -74,10 +73,10 @@ "pusher-js": "^4.1.0", "quadrigacx": "0.0.7", "random-port": "^0.1.0", + "regression": "^2.0.0", "resolve-url-loader": "^2.2.1", "run-parallel": "^1.1.6", "run-series": "^1.1.4", - "regression": "^2.0.0", "sass-loader": "^6.0.6", "semver": "^5.4.1", "simple-xmpp": "^1.3.0", diff --git a/scripts/genetic_backtester/darwin.js b/scripts/genetic_backtester/darwin.js index c795a1947f..37dc306fcd 100755 --- a/scripts/genetic_backtester/darwin.js +++ b/scripts/genetic_backtester/darwin.js @@ -39,9 +39,9 @@ let NEUTRAL_RATE_AUTO = false; let iterationCount = 0; let runCommand = (taskStrategyName, phenotype, cb) => { - let commonArgs = `--strategy=${taskStrategyName} --period_length=${phenotype.period_length} --min_periods=${phenotype.min_periods} --markup_pct=${phenotype.markup_pct} --order_type=${phenotype.order_type} --sell_stop_pct=${phenotype.sell_stop_pct} --buy_stop_pct=${phenotype.buy_stop_pct} --profit_stop_enable_pct=${phenotype.profit_stop_enable_pct} --profit_stop_pct=${phenotype.profit_stop_pct}`; + let commonArgs = `--strategy=${taskStrategyName} --period_length=${phenotype.period_length} --min_periods=${phenotype.min_periods} --markdown_buy_pct=${phenotype.markdown_buy_pct} --markup_sell_pct=${phenotype.markup_sell_pct} --order_type=${phenotype.order_type} --sell_stop_pct=${phenotype.sell_stop_pct} --buy_stop_pct=${phenotype.buy_stop_pct} --profit_stop_enable_pct=${phenotype.profit_stop_enable_pct} --profit_stop_pct=${phenotype.profit_stop_pct}`; let strategyArgs = { - crossover_vwap: `--emalen1=${phenotype.emalen1} --vwap_length=${phenotype.vwap_length} --vwap_max=${phenotype.vwap_max} --markdown_buy_pct=${phenotype.markdown_buy_pct} --markup_sell_pct=${phenotype.markup_sell_pct}`, + crossover_vwap: `--emalen1=${phenotype.emalen1} --smalen1=${phenotype.smalen1} --smalen2=${phenotype.smalen2} --vwap_length=${phenotype.vwap_length} --vwap_max=${phenotype.vwap_max}`, trendline: `--lastpoints=${phenotype.lastpoints} --avgpoints=${phenotype.avgpoints} --lastpoints2=${phenotype.lastpoints2} --avgpoints2=${phenotype.avgpoints2} --markdown_buy_pct=${phenotype.markdown_buy_pct} --markup_sell_pct=${phenotype.markup_sell_pct}`, cci_srsi: `--cci_periods=${phenotype.rsi_periods} --rsi_periods=${phenotype.srsi_periods} --srsi_periods=${phenotype.srsi_periods} --srsi_k=${phenotype.srsi_k} --srsi_d=${phenotype.srsi_d} --oversold_rsi=${phenotype.oversold_rsi} --overbought_rsi=${phenotype.overbought_rsi} --oversold_cci=${phenotype.oversold_cci} --overbought_cci=${phenotype.overbought_cci} --constant=${phenotype.constant}`, srsi_macd: `--rsi_periods=${phenotype.rsi_periods} --srsi_periods=${phenotype.srsi_periods} --srsi_k=${phenotype.srsi_k} --srsi_d=${phenotype.srsi_d} --oversold_rsi=${phenotype.oversold_rsi} --overbought_rsi=${phenotype.overbought_rsi} --ema_short_period=${phenotype.ema_short_period} --ema_long_period=${phenotype.ema_long_period} --signal_period=${phenotype.signal_period} --up_trend_threshold=${phenotype.up_trend_threshold} --down_trend_threshold=${phenotype.down_trend_threshold}`, @@ -53,7 +53,8 @@ let runCommand = (taskStrategyName, phenotype, cb) => { trend_ema: `--trend_ema=${phenotype.trend_ema} --oversold_rsi=${phenotype.oversold_rsi} --oversold_rsi_periods=${phenotype.oversold_rsi_periods} --neutral_rate=auto`, trust_distrust: `--sell_threshold=${phenotype.sell_threshold} --sell_threshold_max=${phenotype.sell_threshold_max} --sell_min=${phenotype.sell_min} --buy_threshold=${phenotype.buy_threshold} --buy_threshold_max=${phenotype.buy_threshold_max} --greed=${phenotype.greed}`, ta_macd: `--ema_short_period=${phenotype.ema_short_period} --ema_long_period=${phenotype.ema_long_period} --signal_period=${phenotype.signal_period} --up_trend_threshold=${phenotype.up_trend_threshold} --down_trend_threshold=${phenotype.down_trend_threshold} --overbought_rsi_periods=${phenotype.overbought_rsi_periods} --overbought_rsi=${phenotype.overbought_rsi}`, - ta_ema: `--trend_ema=${phenotype.trend_ema} --oversold_rsi=${phenotype.oversold_rsi} --oversold_rsi_periods=${phenotype.oversold_rsi_periods} --neutral_rate=auto` + ta_ema: `--trend_ema=${phenotype.trend_ema} --oversold_rsi=${phenotype.oversold_rsi} --oversold_rsi_periods=${phenotype.oversold_rsi_periods} --neutral_rate=auto`, + dema: `--ema_short_period=${phenotype.ema_short_period} --ema_long_period=${phenotype.ema_long_period} --signal_period=${phenotype.signal_period} --up_trend_threshold=${phenotype.up_trend_threshold} --down_trend_threshold=${phenotype.down_trend_threshold} --overbought_rsi_periods=${phenotype.overbought_rsi_periods} --overbought_rsi=${phenotype.overbought_rsi}` }; let zenbot_cmd = process.platform === 'win32' ? 'zenbot.bat' : './zenbot.sh'; let command = `${zenbot_cmd} sim ${simArgs} ${commonArgs} ${strategyArgs[taskStrategyName]}`; @@ -142,7 +143,8 @@ let processOutput = output => { delete r.stats; delete r.use_strategies; delete r.verbose; - + r.selector = r.selector.normalized + if (start) { r.start = moment(start).format("YYYYMMDDhhmm"); } @@ -164,7 +166,8 @@ let processOutput = output => { days: days, period_length: params.period_length, min_periods: params.min_periods, - markup_pct: params.markup_pct, + markdown_buy_pct: params.markdown_buy_pct, + markup_sell_pct: params.markup_sell_pct, order_type: params.order_type, roi: roi, wlRatio: losses > 0 ? roundp(wins / losses, 3) : 'Infinity', @@ -251,6 +254,8 @@ let strategies = { // -- strategy emalen1: Range(1, 300), + smalen1: Range(1, 300), + smalen2: Range(1, 300), vwap_length: Range(1, 300), vwap_max: RangeFactor(0, 10000, 10)//0 disables this max cap. Test in increments of 10 }, @@ -258,7 +263,8 @@ let strategies = { // -- common period_length: RangePeriod(1, 120, 'm'), min_periods: Range(1, 200), - markup_pct: RangeFloat(0, 5), + markdown_buy_pct: RangeFloat(-1, 5), + markup_sell_pct: RangeFloat(-1, 5), order_type: RangeMakerTaker(), sell_stop_pct: Range0(1, 50), buy_stop_pct: Range0(1, 50), @@ -281,7 +287,8 @@ let strategies = { // -- common period_length: RangePeriod(1, 120, 'm'), min_periods: Range(1, 200), - markup_pct: RangeFloat(0, 5), + markdown_buy_pct: RangeFloat(-1, 5), + markup_sell_pct: RangeFloat(-1, 5), order_type: RangeMakerTaker(), sell_stop_pct: Range0(1, 50), buy_stop_pct: Range0(1, 50), @@ -305,7 +312,8 @@ let strategies = { // -- common period_length: RangePeriod(1, 120, 'm'), min_periods: Range(1, 200), - markup_pct: RangeFloat(0, 5), + markdown_buy_pct: RangeFloat(-1, 5), + markup_sell_pct: RangeFloat(-1, 5), order_type: RangeMakerTaker(), sell_stop_pct: Range0(1, 50), buy_stop_pct: Range0(1, 50), @@ -325,7 +333,8 @@ let strategies = { // -- common period_length: RangePeriod(1, 120, 'm'), min_periods: Range(1, 200), - markup_pct: RangeFloat(0, 5), + markdown_buy_pct: RangeFloat(-1, 5), + markup_sell_pct: RangeFloat(-1, 5), order_type: RangeMakerTaker(), sell_stop_pct: Range0(1, 50), buy_stop_pct: Range0(1, 50), @@ -344,7 +353,8 @@ let strategies = { // -- common period_length: RangePeriod(1, 120, 'm'), min_periods: Range(1, 200), - markup_pct: RangeFloat(0, 5), + markdown_buy_pct: RangeFloat(-1, 5), + markup_sell_pct: RangeFloat(-1, 5), order_type: RangeMakerTaker(), sell_stop_pct: Range0(1, 50), buy_stop_pct: Range0(1, 50), @@ -363,7 +373,8 @@ let strategies = { // -- common period_length: RangePeriod(1, 120, 'm'), min_periods: Range(2, 100), - markup_pct: RangeFloat(0, 5), + markdown_buy_pct: RangeFloat(-1, 5), + markup_sell_pct: RangeFloat(-1, 5), order_type: RangeMakerTaker(), sell_stop_pct: Range0(1, 50), buy_stop_pct: Range0(1, 50), @@ -378,7 +389,8 @@ let strategies = { // -- common period_length: RangePeriod(1, 120, 'm'), min_periods: Range(1, 100), - markup_pct: RangeFloat(0, 5), + markdown_buy_pct: RangeFloat(-1, 5), + markup_sell_pct: RangeFloat(-1, 5), order_type: RangeMakerTaker(), sell_stop_pct: Range0(1, 50), buy_stop_pct: Range0(1, 50), @@ -393,7 +405,8 @@ let strategies = { // -- common period_length: RangePeriod(1, 120, 'm'), min_periods: Range(1, 100), - markup_pct: RangeFloat(0, 5), + markdown_buy_pct: RangeFloat(-1, 5), + markup_sell_pct: RangeFloat(-1, 5), order_type: RangeMakerTaker(), sell_stop_pct: Range0(1, 50), buy_stop_pct: Range0(1, 50), @@ -409,7 +422,8 @@ let strategies = { // -- common period_length: RangePeriod(1, 120, 'm'), min_periods: Range(1, 100), - markup_pct: RangeFloat(0, 5), + markdown_buy_pct: RangeFloat(-1, 5), + markup_sell_pct: RangeFloat(-1, 5), order_type: RangeMakerTaker(), sell_stop_pct: Range0(1, 50), buy_stop_pct: Range0(1, 50), @@ -428,7 +442,8 @@ let strategies = { // -- common period_length: RangePeriod(1, 120, 'm'), min_periods: Range(1, 200), - markup_pct: RangeFloat(0, 5), + markdown_buy_pct: RangeFloat(-1, 5), + markup_sell_pct: RangeFloat(-1, 5), order_type: RangeMakerTaker(), sell_stop_pct: Range0(1, 50), buy_stop_pct: Range0(1, 50), @@ -467,7 +482,8 @@ let strategies = { // -- common period_length: RangePeriod(1, 120, 'm'), min_periods: Range(1, 100), - markup_pct: RangeFloat(0, 5), + markdown_buy_pct: RangeFloat(-1, 5), + markup_sell_pct: RangeFloat(-1, 5), order_type: RangeMakerTaker(), sell_stop_pct: Range0(1, 50), buy_stop_pct: Range0(1, 50), @@ -478,6 +494,26 @@ let strategies = { trend_ema: Range(TREND_EMA_MIN, TREND_EMA_MAX), oversold_rsi_periods: Range(OVERSOLD_RSI_PERIODS_MIN, OVERSOLD_RSI_PERIODS_MAX), oversold_rsi: Range(OVERSOLD_RSI_MIN, OVERSOLD_RSI_MAX) + }, + dema: { + // -- common + period_length: RangePeriod(1, 120, 'm'), + min_periods: Range(1, 200), + markup_pct: RangeFloat(0, 5), + order_type: RangeMakerTaker(), + sell_stop_pct: Range0(1, 50), + buy_stop_pct: Range0(1, 50), + profit_stop_enable_pct: Range0(1, 20), + profit_stop_pct: Range(1,20), + + // -- strategy + ema_short_period: Range(1, 20), + ema_long_period: Range(20, 100), + signal_period: Range(1, 20), + up_trend_threshold: Range(0, 50), + down_trend_threshold: Range(0, 50), + overbought_rsi_periods: Range(1, 50), + overbought_rsi: Range(20, 100) } }; @@ -626,7 +662,7 @@ let simulateGeneration = () => { results.sort((a, b) => (a.fitness < b.fitness) ? 1 : ((b.fitness < a.fitness) ? -1 : 0)); - let fieldsGeneral = ['selector', 'fitness', 'vsBuyHold', 'wlRatio', 'frequency', 'strategy', 'order_type', 'endBalance', 'buyHold', 'wins', 'losses', 'period_length', 'min_periods', 'days', 'params']; + let fieldsGeneral = ['selector.normalized', 'fitness', 'vsBuyHold', 'wlRatio', 'frequency', 'strategy', 'order_type', 'endBalance', 'buyHold', 'wins', 'losses', 'period_length', 'min_periods', 'days', 'params']; let fieldNamesGeneral = ['Selector', 'Fitness', 'VS Buy Hold (%)', 'Win/Loss Ratio', '# Trades/Day', 'Strategy', 'Order Type', 'Ending Balance ($)', 'Buy Hold ($)', '# Wins', '# Losses', 'Period', 'Min Periods', '# Days', 'Full Parameters']; let dataCSV = json2csv({