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Implement mkmarek/forex.analytics: Genetic analysis to build decision trees for buy and sell signals #385

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crubb opened this issue Jul 15, 2017 · 9 comments
Open

Implement mkmarek/forex.analytics: Genetic analysis to build decision trees for buy and sell signals #385

crubb opened this issue Jul 15, 2017 · 9 comments
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@crubb
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crubb commented Jul 15, 2017

Hey guys,

just documenting @infatrus idea from #general/Discord. https://github.com/mkmarek/forex.analytics looks very promising:

The result of technical analysis are two binary trees describing strategies for buy and sell signals which produced profit in a certain period of time specified by the input OHLC data set.

@arpheno, @gelotus, what do you guys think of the approach?

Best,
-crubb
@crubb crubb mentioned this issue Jul 16, 2017
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@Ekliptor
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Great idea.
But can we also use this to optimize parameters of our own strategies written in javascript?
The way I see it this forex depends on the c++ indicators of ta-lib and we can not add our own there? (at least not so easily)

@crubb
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crubb commented Jul 17, 2017

That's been done (or is underway at least). Take a look at #298 and #299.

@gelotus
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gelotus commented Jul 17, 2017

The best person to talk about is @arpheno, he write a thesis about genetics algo.
anyway that lib seems very wip.. And it's for fiat market, will work well in crypto market?
If you are in a good point to merge that with zenbot, simply test it and see the results, for me it's a coin flip

@crubb
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crubb commented Jul 17, 2017

zenbot already has some strategies using ta-lib, so that should be fine. Might be working well, see #389 ;)

@crubb
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crubb commented Jul 19, 2017

Ok, the current implementation does show some promise (see sim results in the PR #389).

There is still work to do, though (@mkmarek, if you read this, is your forex.analytics still actively maintained?):

@crubb crubb mentioned this issue Jul 21, 2017
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@crubb
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crubb commented Jul 21, 2017

Pinged the author, let's see.

@sandroid10
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how do i pull this branch ?/

@crubb
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crubb commented Jul 25, 2017

Pull zenbot from my github profile and then switch branches to crubb/forex.analytics.

Repository owner deleted a comment from sandroid1 Jul 26, 2017
Repository owner deleted a comment from sandroid1 Jul 26, 2017
DeviaVir pushed a commit that referenced this issue Jul 27, 2017
@crubb @DeviaVir
Add strategy: forex.analytics, an genetic optimization algorithm for …
2fe7741 
…TA-lib stats (#389)

* Add a 'noop' strategy, which just does nothing. Can be used to generate e.g. candlestick data for model training.

* - Add option to `sim` to disable output of option
- Add option to `sim` to disable writing HTML results

* Add forex_analytics training, simulation and strategy (see https://github.com/mkmarek/forex.analytics and #385)

* - .gitignore trained models
- Limit width of progressbar in training to 80 cols

* - Added timezone to datetime displays
- Fixed hang when not using a test dataset
- Changed default indicators

* Windows fixes for sim spawn

* Write a final model including sim results (output while training less pretty)

* Made train pretty again. Also write simulation Results as HTML files in models/

* Speed up parseSimulation()

* Properly name simulation result HTML files after training

* - Use the defaults of the forex.analytics project for training
- Add a check for unknown indicators

* forex_analytics documentation

* !!! -> !
@crubb
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crubb commented Jul 27, 2017

The strategy was committed as of today. Documentation is available.

Please play special attention to the limitations section and please contribute code to also optimise the loopback periods ;)

@DeviaVir DeviaVir mentioned this issue Jul 28, 2017
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supersabbath pushed a commit to supersabbath/zenbot that referenced this issue Oct 2, 2017
@crubb @DeviaVir
Add strategy: forex.analytics, an genetic optimization algorithm for …
4973c24 
…TA-lib stats (DeviaVir#389)

* Add a 'noop' strategy, which just does nothing. Can be used to generate e.g. candlestick data for model training.

* - Add option to `sim` to disable output of option
- Add option to `sim` to disable writing HTML results

* Add forex_analytics training, simulation and strategy (see https://github.com/mkmarek/forex.analytics and DeviaVir#385)

* - .gitignore trained models
- Limit width of progressbar in training to 80 cols

* - Added timezone to datetime displays
- Fixed hang when not using a test dataset
- Changed default indicators

* Windows fixes for sim spawn

* Write a final model including sim results (output while training less pretty)

* Made train pretty again. Also write simulation Results as HTML files in models/

* Speed up parseSimulation()

* Properly name simulation result HTML files after training

* - Use the defaults of the forex.analytics project for training
- Add a check for unknown indicators

* forex_analytics documentation

* !!! -> !
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@DeviaVir @crubb @gelotus @sandroid10 @Ekliptor