Add strategy: forex.analytics, an genetic optimization algorithm for TA-lib stats #389

crubb · 2017-07-16T10:56:44Z

See #385 and see https://github.com/mkmarek/forex.analytics

Furthermore:

Add option to sim to disable output of option
Add option to sim to disable writing HTML results
Add a 'noop' strategy, which just does nothing. It is used to generate candlestick data for model training.

It seems to work, but I have no idea what the proper default training options or candlestick length periods should be.

I have not yet done any in-depth training and optimizations, but out of the box and in the current market conditions at least I get some % above buy/hold ;)

First, you have to backfill, then you train a model, e.g.
$ ./zenbot.sh train kraken.XETH-ZEUR --days_training 28 --days_test 7 --period 20m

Running train automatically runs simulations on the training and test periods (--days_test can be 0 (default)) and outputs the results.

You can then use the model automatically saved in models/ for trading
$ ./zenbot.sh trade kraken.XETH-ZEUR --modelfile models/forex.model_kraken.XETH-ZEUR_period-20m_from-20170704_020000_to-20170709_020000.json --period 20m --paper

Again, this needs optimization on the default parameters and I would love to get feedback from knowledgeable people (@arpheno, @gelotus, @infatrus, ...?).

-- crubb

…te e.g. candlestick data for model training.

- Add option to `sim` to disable writing HTML results

…thub.com/mkmarek/forex.analytics and #385)

tuxitor · 2017-07-16T11:22:22Z

Could separating data fetching and training be an idea? Reason is the exchanges that don't provide trade history, like Bitstamp, BTCe and probably more. Then data fetching (possibly without any screen output) could be running uninterupted even if trade stops for shorter or longer periods. Program name could be fill.js as an alternative to backfill.js

crubb · 2017-07-16T19:49:02Z

As discussed on #developers/Discord:

This is a general problem for these exchanges, since simulations will also not work properly in the moment, just --paper trading. We should be able to play around with this strategy in the other exchanges. If we achieve stellar performance, we should piece together some kind of database-filling method to train the model for these exchanges.

Thank you!

- Limit width of progressbar in training to 80 cols

crubb · 2017-07-17T19:53:56Z

Some example ;)

Running --paper since a few hours, so far -1.1%/-1.9%, though :/

- Fixed hang when not using a test dataset - Changed default indicators

…crubb/forex.analytics

infatrus · 2017-07-19T15:43:19Z

Model files are overwritten each time, when training with the same parameters. It would be nice to have sim/test results as pct. gain/loose as a part of a filename - that would solve the issue with overwriting, and would let easily find the best model.

… pretty)

…in models/

crubb · 2017-07-19T19:47:41Z

D'oh.. That does explain some of the variance in my results :D
Fixed.

infatrus · 2017-07-19T20:11:47Z

;) Yeah, same with me - I had some promising model for BTC-USDT, then just realized, that files are overwritten... Retard me... I could make a copy.

txssseal · 2017-07-20T21:39:52Z

extensions/strategies/forex_analytics/strategy.js

@@ -0,0 +1,87 @@
+var z = require('zero-fill')


would be really awesome to get a brief commented rundown of what this strategy does.

infatrus · 2017-07-21T07:30:22Z

crubb, can you add "--reverse" option to allow trades with reversed buy/sell signals?
Some models could probably deal better with such option.

2017-07-21 05:00:00 0.00000717 STR-BTC -0.8% 2.18m 57 ++ 0.1106 0.0337 buy
2017-07-21 05:10:00 0.00000701 STR-BTC -2.2% 4.91m - 46 -0.0653 0.0415 sell
2017-07-21 05:20:00 0.00000722 STR-BTC +3.0% 4.45m 57 ++ 0.1596 0.0752 buy

DeviaVir

The only real comment I have is that I would expect an entry in the /docs/ on how to use the training model, at least with a simple usage example. Other than that I think this code is fine and is ready to be used by more people so we can get more eyes and comments on it.

DeviaVir · 2017-07-26T16:14:57Z

commands/sim.js

@@ -63,6 +64,7 @@ module.exports = function container (get, set, clear) {
          so.start = d.subtract(so.days).toMilliseconds()
        }
        so.stats = !!cmd.enable_stats
+        so.show_options = !!!cmd.disable_options


- Add a check for unknown indicators

crubb · 2017-07-26T18:51:16Z

Documentation added.

…os8f-master * 'master' of https://github.com/carlos8f/zenbot: Improve command help for train command (DeviaVir#436) Support for missing win/loss and error rate from output (DeviaVir#426) Fix docker builds for forex.analytics (DeviaVir#424) Minor fixes for Quadriga trading API (DeviaVir#421) xmpp for trading alarms (DeviaVir#333) Strategies: TA (ema+macd) and Trust/Distrust (DeviaVir#285) Fixed docker build (DeviaVir#349) updated c.default_selector to c.selector in README.md (DeviaVir#418) added check for message before doing anything with it (DeviaVir#412) FIX: Properly check for unknown indicators in forex_analytics (DeviaVir#408) Added support for the BTCe exchange (DeviaVir#388) Add strategy: forex.analytics, an genetic optimization algorithm for TA-lib stats (DeviaVir#389) # Conflicts: # .gitignore # commands/sim.js # extensions/exchanges/bittrex/exchange.js # extensions/exchanges/quadriga/exchange.js # lib/engine.js # scripts/auto_backtester/backtester.js

…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 * !!! -> !

crubb added 3 commits July 16, 2017 12:27

Add a 'noop' strategy, which just does nothing. Can be used to genera…

9a35559

…te e.g. candlestick data for model training.

- Add option to sim to disable output of option

60d035e

- Add option to `sim` to disable writing HTML results

Add forex_analytics training, simulation and strategy (see https://gi…

247283e

…thub.com/mkmarek/forex.analytics and #385)

crubb changed the title ~~Add forex.analytics (an genetic optimization algorithm for TA-lib stats)~~ Add strategy: forex.analytics, an genetic optimization algorithm for TA-lib stats Jul 16, 2017

- .gitignore trained models

60c8c93

- Limit width of progressbar in training to 80 cols

Merge branch 'master' into crubb/forex.analytics

8570a6f

crubb mentioned this pull request Jul 17, 2017

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

Open

crubb added 3 commits July 18, 2017 12:18

- Added timezone to datetime displays

bd83ede

- Fixed hang when not using a test dataset - Changed default indicators

Merge branch 'crubb/forex.analytics' of github.com:crubb/zenbot into …

97d232a

…crubb/forex.analytics

Windows fixes for sim spawn

7eacf97

crubb added 2 commits July 19, 2017 21:26

Write a final model including sim results (output while training less…

7abdb12

… pretty)

Made train pretty again. Also write simulation Results as HTML files …

027558b

…in models/

crubb added 2 commits July 19, 2017 23:28

Speed up parseSimulation()

86808c7

Properly name simulation result HTML files after training

7a78b40

txssseal reviewed Jul 20, 2017

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crubb mentioned this pull request Jul 21, 2017

Also optimize lookback periods for indicators mkmarek/forex.analytics#11

Open

Repository owner deleted a comment from sandroid10 Jul 26, 2017

DeviaVir approved these changes Jul 26, 2017

View reviewed changes

crubb added 3 commits July 26, 2017 20:39

- Use the defaults of the forex.analytics project for training

5280c73

- Add a check for unknown indicators

forex_analytics documentation

57cf5f3

!!! -> !

5f42d26

DeviaVir merged commit 2fe7741 into DeviaVir:master Jul 27, 2017

snyk-bot mentioned this pull request Oct 29, 2020

[Snyk] Upgrade file-loader from 6.1.1 to 6.2.0 #2461

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Add strategy: forex.analytics, an genetic optimization algorithm for TA-lib stats #389

Add strategy: forex.analytics, an genetic optimization algorithm for TA-lib stats #389

crubb commented Jul 16, 2017 •

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tuxitor commented Jul 16, 2017

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infatrus commented Jul 19, 2017

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infatrus commented Jul 19, 2017

txssseal Jul 20, 2017

infatrus commented Jul 21, 2017

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DeviaVir Jul 26, 2017

crubb commented Jul 26, 2017

Add strategy: forex.analytics, an genetic optimization algorithm for TA-lib stats #389

Add strategy: forex.analytics, an genetic optimization algorithm for TA-lib stats #389

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