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Ichinscratchy Ichinscratchy HOT
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ichinscratchy v0.2.0, released on March, 5th 2017

changes from v0.1.0

New features:

  • implemented portfolio management using spearman correlation
  • new config option PORTFOLIO_ALLOCATION which selects the portfolio allocation model, currently equal (all position sizes are equal) and spearman (position size of new trade is determined by spearman correlation with existing portfolio entries)
  • added config option PORTFOLIO_SPEARMAN_PERIOD which determines the period used for calculating Spearmans Rho
  • added a bunch of config options PORTFOLIO_CORR_... and PORTFOLIO_PN_... to tailor position sizing based on correlation
  • database changes: portfolio now has the column pos_size; orderbook_daily column size was renamed to quantity and additional column pos_size was added ==> THIS BREAKS DATABASE COMPATIBILTY WITH versions < v0.2.0!!
  • added command line option -p/--portfolio to skip signal evaluation/execution and print out current portfolio to database
  • added average (mean) and median holding days to orderbook analysis/ reporting function (use --report or -r command line option)
  • export_trades.sh and startmysql.sh in /tools now parse the config file under /config, no more hardcoded db credentials in scripts
  • release version now comes with example DAX30 data file for users to start experimenting with
  • migrated source code documentation to doxygen-compatible style --> full reference in html/pdf now available under /docs

Bugfixes:

  • if run twice without updating the quotes (with a couple of days to execute), the program would sell positions based on the last SL in database. If days to execute date back long enough, it selled even positions which were bought later
  • when running backwards, the trend filter ICHI_CHIKOU_CONFIRM did not work properly
  • if portfolio contained more than 1 position with same SL, for each day the SL was hit only 1 SL was executed
  • when reporting statistics (-r/--report or config option) and there is no trade in db --> print message instead of crashing :)
Data
Created 05.03.2017
Changed 05.03.2017
Version 0.2.0
Size 1.67 MB
Rating
(0 votes)
Author
MD5 Checksum 60971c89408d8624ebc572a7b8bd189a
Created by Super User
Changed by Super User
Downloads 180
License GNU/GPL external
Price
Website
SHA1 Checksum 70082c6cc0b5a3c7bdfb9c1e58c296b24734ebfd
Filename:ichin...2_0.zip
Size:1.67 MB