Add strategy: forex.analytics, an genetic optimization algorithm for …

…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

* !!! -> !

.gitignore

@@ -19,3 +19,5 @@ conf_*
 sim_result*
 *_test
 backtesting_*
+models/*.json
+models/*.html

commands/_codemap.js

@@ -6,6 +6,7 @@ module.exports = {
   'list-strategies': require('./list-strategies'),
   'backfill': require('./backfill'),
   'sim': require('./sim'),
+  'train': require('./train'),
   'balance': require('./balance'),
   'trade': require('./trade'),
   'buy': require('./buy'),
@@ -15,6 +16,7 @@ module.exports = {
   'list[30]': '#commands.list-strategies',
   'list[50]': '#commands.backfill',
   'list[60]': '#commands.sim',
+  'list[62]': '#commands.train',
   'list[65]': '#commands.balance',
   'list[70]': '#commands.trade',
   'list[80]': '#commands.buy',

commands/sim.js

@@ -16,7 +16,7 @@ module.exports = function container (get, set, clear) {
       .option('--conf <path>', 'path to optional conf overrides file')
       .option('--strategy <name>', 'strategy to use', String, c.strategy)
       .option('--order_type <type>', 'order type to use (maker/taker)', /^(maker|taker)$/i, c.order_type)
-      .option('--filename <filename>', 'filename for the result output (ex: result.html)', String, c.filename)
+      .option('--filename <filename>', 'filename for the result output (ex: result.html). "none" to disable', String, c.filename)
       .option('--start <timestamp>', 'start at timestamp')
       .option('--end <timestamp>', 'end at timestamp')
       .option('--days <days>', 'set duration by day count', Number, c.days)
@@ -35,6 +35,7 @@ module.exports = function container (get, set, clear) {
       .option('--max_slippage_pct <pct>', 'avoid selling at a slippage pct above this float', c.max_slippage_pct)
       .option('--symmetrical', 'reverse time at the end of the graph, normalizing buy/hold to 0', Boolean, c.symmetrical)
       .option('--rsi_periods <periods>', 'number of periods to calculate RSI at', Number, c.rsi_periods)
+      .option('--disable_options', 'disable printing of options')
       .option('--enable_stats', 'enable printing order stats')
       .option('--verbose', 'print status lines on every period')
       .action(function (selector, cmd) {
@@ -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
         so.verbose = !!cmd.verbose
         so.selector = get('lib.normalize-selector')(selector || c.selector)
         so.mode = 'sim'
@@ -93,8 +95,10 @@ module.exports = function container (get, set, clear) {
           option_keys.forEach(function (k) {
             options[k] = so[k]
           })
-          var options_json = JSON.stringify(options, null, 2)
-          output_lines.push(options_json)
+          if (so.show_options) {
+            var options_json = JSON.stringify(options, null, 2)
+            output_lines.push(options_json)
+          }
           if (s.my_trades.length) {
             s.my_trades.push({
               price: s.period.close,
@@ -159,9 +163,11 @@ module.exports = function container (get, set, clear) {
             .replace('{{output}}', html_output)
             .replace(/\{\{symbol\}\}/g,  so.selector + ' - zenbot ' + require('../package.json').version)
 
-          var out_target = so.filename || 'simulations/sim_result_' + so.selector +'_' + new Date().toISOString().replace(/T/, '_').replace(/\..+/, '').replace(/-/g, '').replace(/:/g, '').replace(/20/, '') + '_UTC.html'
-          fs.writeFileSync(out_target, out)
-          console.log('wrote', out_target)
+          if (so.filename !== 'none') {
+            var out_target = so.filename || 'simulations/sim_result_' + so.selector +'_' + new Date().toISOString().replace(/T/, '_').replace(/\..+/, '').replace(/-/g, '').replace(/:/g, '').replace(/20/, '') + '_UTC.html'
+            fs.writeFileSync(out_target, out)
+            console.log('wrote', out_target)
+          }
           process.exit(0)
         }