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BBGO v1.37.0

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@github-actions github-actions released this 19 Jul 02:10
fc5b59d

Fixes

  • Fixed backtest file lock race issue when running multiple back-test processes by the optimizer.
  • Fixed optimizer limitation.
  • Fixed backtest final asset calculation.
  • Fixed exit method stop market data subscription.

Improvements and Refactoring

  • Refactored and cleaned up indicators.
  • Added risk related functions for futures and margin.
  • Prepare database before executing backtest.

Strategies

  • autoborrow: fixed repay amount calculation.
  • pivotshort: updated pivot low on stream start.
  • pivotshort: added leverage settings.
  • pivotshort: improved quantity calculation.
  • pivotshort: fixed resistance order placement.
  • supertrend: fixed double dema initialization.
  • supertrend: fixed types.TradeStats usage.

Full Changelog

  • #830: backtest: resolve data race on index.json
  • #829: optimizer: eliminate limitation of number of grid point
  • #827: strategy/pivotshort: improve quantity calculation for margin and futures
  • #824: refactor: indicator: rewrite VWMA calculator
  • #823: refactor: refactor bollinger band indicator with the new series extend component
  • #821: refactor: refactor indicator api (canonicalize CalculateAndUpdate, PushK methods)
  • #820: feature: add risk functions
  • #818: backtest: correct final asset calculation
  • #817: optimizer: prepare database before executing backtests