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Include trendline strategy for genetic backtesting #977

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Dec 27, 2017
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Include trendline strategy for genetic backtesting #977

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19 changes: 19 additions & 0 deletions scripts/genetic_backtester/darwin.js
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Original file line number Diff line number Diff line change
Expand Up @@ -41,6 +41,7 @@ let runCommand = (taskStrategyName, phenotype, cb) => {
let commonArgs = `--strategy=${taskStrategyName} --periodLength=${phenotype.periodLength} --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=${phenotype.profit_stop_pct}`;
let strategyArgs = {
crossover_vwap: `--emalen1=${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}`,
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=${phenotype.down_trend_threshold}`,
macd: `--ema_short_period=${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}`,
Expand Down Expand Up @@ -430,6 +431,24 @@ let strategies = {
overbought_rsi_periods: Range(1, 50),
overbought_rsi: Range(20, 100)
},
trendline: {
// -- common
periodLength: RangePeriod(1, 400, 'm'),
min_periods: Range(1, 200),
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),
profit_stop_enable_pct: Range0(1, 20),
profit_stop_pct: Range(1,20),

// -- strategy
lastpoints: Range(20, 500),
avgpoints: Range(300, 3000),
lastpoints2: Range(5, 300),
avgpoints2: Range(50, 1000),
},
ta_ema: {
// -- common
periodLength: RangePeriod(1, 120, 'm'),
Expand Down