Updated trendline "AP markup mode", profitable neural. Examples.... (#…

…988)

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extensions/exchanges/poloniex/exchange.js

@@ -29,12 +29,9 @@ module.exports = function container (get, set, clear) {
   }
 
   function retry (method, args) {
-    if (method !== 'getTrades') {
-      console.error(('\nPoloniex API is down! unable to call ' + method + ', retrying in 10s').red)
-    }
     setTimeout(function () {
       exchange[method].apply(exchange, args)
-    }, 10000)
+    }, 1)
   }
 
   var orders = {}

extensions/strategies/neural/README.md

@@ -0,0 +1,56 @@
+
+## Reading the console output
+
+![console](Capture.PNG)
+
+From left to right ( for trendline not pictured above, which is neural ):
+
+- Timestamp in local time (grey, blue when showing "live" stats)
+- Asset price in currency (yellow)
+- Percent change of price since last period (red/green)
+- Volume in asset since last period (grey)
+- [RSI](http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:relative_strength_index_rsi) ANSI graph (red/green)
+- strategy inormation, in order:
+```
+- col1: current last trade price
+- col2: The old trade last trade price averaged with the prediction. 
+- If the predicted price and average of last trade price exceeds the current last trade price, then buy.. Like a neural-trendline.
+```
+- Current signal or action, including `buy`, `sell`, `buying`, `selling`, `bought`, `sold` and `last_trade_worth` (percent change in the trend direction since last buy/sell)
+- Account balance (asset)
+- Account balance (currency)
+- Profit or loss percent (can be reset with `--reset_profit`)
+- Gain or loss vs. buy/hold strategy
+
+The signaling for this strategy example:
+
+```
+          learn();
+          var item = tlp.reverse();
+          s.prediction = predict(item)
+          s.mean = s.lookback[0].close
+          s.meanp = math.mean(s.prediction, oldmean)
+          oldmean = s.prediction
+        }
+        // NORMAL onPeriod STUFF here
+        global.meanp = s.meanp
+        global.mean = s.mean
+        //something strange is going on here
+        global.sig0 = global.meanp < global.mean
+        if (
+           global.sig0 === false
+           )
+           {
+            s.signal = 'sell'
+           }
+        else if
+           (
+           global.sig0 === true
+           )
+           {
+           s.signal = 'buy'
+           }
+      cb()
+     }
+    },
+    ```

extensions/strategies/neural/conf-example.js

@@ -0,0 +1,222 @@
+var c = module.exports = {}
+
+/// This conf is for NEURAL strategy as a profitable sim example, use --period=1m
+
+// mongo configuration
+c.mongo = {}
+c.mongo.host = process.env.MONGODB_PORT_27017_TCP_ADDR || 'localhost'
+c.mongo.port = 27017
+c.mongo.db = 'zenbot4'
+c.mongo.username = null
+c.mongo.password = null
+// when using mongodb replication, i.e. when running a mongodb cluster, you can define your replication set here; when you are not using replication (most of the users), just set it to `null` (default).
+c.mongo.replicaSet = null
+
+// default selector. only used if omitting [selector] argument from a command.
+c.selector = 'poloniex.BCH-BTC'
+// name of default trade strategy
+c.strategy = 'neural'
+
+// Exchange API keys:
+
+// to enable GDAX trading, enter your API credentials:
+c.gdax = {}
+c.gdax.key = 'XXX'
+c.gdax.b64secret = 'XXX'
+c.gdax.passphrase = 'XXX'
+
+// to enable Poloniex trading, enter your API credentials:
+c.poloniex = {}
+c.poloniex.key = 'KEY'
+c.poloniex.secret = 'SECRET'
+// please note: poloniex does not support market orders via the API
+
+// to enable Kraken trading, enter your API credentials:
+c.kraken = {}
+c.kraken.key = 'YOUR-API-KEY'
+c.kraken.secret = 'YOUR-SECRET'
+// Please read API TOS on https://www.kraken.com/u/settings/api
+c.kraken.tosagree = 'disagree'
+
+// to enable Binance trading, enter your API credentials:
+c.binance = {}
+c.binance.key = 'YOUR-API-KEY'
+c.binance.secret = 'YOUR-SECRET'
+
+// to enable Bittrex trading, enter your API credentials:
+c.bittrex = {}
+c.bittrex.key = 'YOUR-API-KEY'
+c.bittrex.secret = 'YOUR-SECRET'
+// make sure to give your API key access to only: "Trade Limit" and "Read Info",
+// please note that this might change in the future.
+// please note that bittrex API is limited, you cannot use backfills or sims (paper/live trading only)
+
+// to enable Bitfinex trading, enter your API credentials:
+c.bitfinex = {}
+c.bitfinex.key = 'YOUR-API-KEY'
+c.bitfinex.secret = 'YOUR-SECRET'
+// May use 'exchange' or 'trading' wallet balances. However margin trading may not work...read the API documentation.
+c.bitfinex.wallet = 'exchange'
+
+// to enable Bitstamp trading, enter your API credentials:
+c.bitstamp = {}
+c.bitstamp.key = 'YOUR-API-KEY'
+c.bitstamp.secret = 'YOUR-SECRET'
+// A client ID is required on Bitstamp
+c.bitstamp.client_id = 'YOUR-CLIENT-ID'
+
+// to enable CEX.IO trading, enter your API credentials:
+c.cexio = {}
+c.cexio.username = 'YOUR-CLIENT-ID'
+c.cexio.key = 'YOUR-API-KEY'
+c.cexio.secret = 'YOUR-SECRET'
+
+// to enable QuadrigaCX tranding, enter your API credentials:
+c.quadriga = {}
+c.quadriga.key = 'YOUR-API-KEY'
+// this is the manual secret key entered by editing the API access
+// and NOT the md5 hash you see in the summary
+c.quadriga.secret = 'YOUR-SECRET'
+// replace with the client id used at login, as a string, not number
+c.quadriga.client_id = 'YOUR-CLIENT-ID'
+
+// to enable WEX.NZ trading, enter your API credentials:
+// Note: WexNZ only supports backfilling the last ~1/4 day ATM.
+c.wexnz = {}
+c.wexnz.key = 'YOUR-API-KEY'
+c.wexnz.secret = 'YOUR-SECRET'
+
+// to enable Gemini trading, enter your API credentials:
+c.gemini = {}
+c.gemini.key = 'YOUR-API-KEY'
+c.gemini.secret = 'YOUR-SECRET'
+// set to false to trade on the live platform API
+c.gemini.sandbox = true
+
+// to enable hitBTC trading, enter your API credentials:
+c.hitbtc = {}
+c.hitbtc.key = 'YOUR-API-KEY'
+c.hitbtc.secret = 'YOUR-SECRET'
+
+// to enable therock trading, enter your API credentials:
+c.therock = {}
+c.therock.key = 'YOUR-API-KEY'
+c.therock.secret = 'YOUR-SECRET'
+
+// Optional stop-order triggers:
+
+// sell if price drops below this % of bought price (0 to disable)
+c.sell_stop_pct = 0
+// buy if price surges above this % of sold price (0 to disable)
+c.buy_stop_pct = 0
+// enable trailing sell stop when reaching this % profit (0 to disable)
+c.profit_stop_enable_pct = 0
+// maintain a trailing stop this % below the high-water mark of profit
+c.profit_stop_pct = 1
+
+// Order execution rules:
+
+// avoid trading at a slippage above this pct
+c.max_slippage_pct = 5
+// buy with this % of currency balance (WARNING : sim won't work properly if you set this value to 100)
+c.buy_pct = 100
+// sell with this % of asset balance (WARNING : sim won't work properly if you set this value to 100)
+c.sell_pct = 100
+// ms to adjust non-filled order after
+c.order_adjust_time = 15000
+// avoid selling at a loss below this pct set to 0 to ensure selling at a higher price...
+c.max_sell_loss_pct = 25
+// ms to poll order status
+c.order_poll_time = 15000
+// ms to wait for settlement (after an order cancel)
+c.wait_for_settlement = 5000
+// % to mark down buy price for orders
+c.markdown_buy_pct = 0.5
+// % to mark up sell prie for orders
+c.markup_sell_pct = 0.5
+// become a market taker (high fees) or a market maker (low fees)
+c.order_type = 'maker'
+// when supported by the exchange, use post only type orders.
+c.post_only = true
+
+// Misc options:
+
+// default # days for backfill and sim commands
+c.days = 14
+// ms to poll new trades at
+c.poll_trades = 15000
+// amount of currency to start simulations with
+c.currency_capital = 1
+// amount of asset to start simulations with
+c.asset_capital = 0
+// for sim, reverse time at the end of the graph, normalizing buy/hold to 0
+c.symmetrical = false
+// number of periods to calculate RSI at
+c.rsi_periods = 14
+// period to record balances for stats
+c.balance_snapshot_period = '15m'
+// avg. amount of slippage to apply to sim trades
+c.avg_slippage_pct = 0.045
+// time to leave an order open, default to 1 day (this feature is not supported on all exchanges, currently: GDAX)
+c.cancel_after = 'day'
+
+// Notifiers:
+c.notifiers = {}
+
+// xmpp config
+c.notifiers.xmpp = {}
+c.notifiers.xmpp.on = false  // false xmpp disabled; true xmpp enabled (credentials should be correct)
+c.notifiers.xmpp.jid = 'trader@domain.com'
+c.notifiers.xmpp.password = 'Password'
+c.notifiers.xmpp.host = 'domain.com'
+c.notifiers.xmpp.port = 5222
+c.notifiers.xmpp.to = 'MeMyselfAndI@domain.com'
+// end xmpp configs
+
+// pushbullets configs
+c.notifiers.pushbullet = {}
+c.notifiers.pushbullet.on = false // false pushbullets disabled; true pushbullets enabled (key should be correct)
+c.notifiers.pushbullet.key = 'YOUR-API-KEY'
+c.notifiers.pushbullet.deviceID = 'YOUR-DEVICE-ID'
+// end pushbullets configs
+
+// ifttt configs
+c.notifiers.ifttt = {}
+c.notifiers.ifttt.on = false // false ifttt disabled; true ifttt enabled (key should be correct)
+c.notifiers.ifttt.makerKey = 'YOUR-API-KEY'
+c.notifiers.ifttt.eventName = 'zenbot'
+// end ifttt configs
+
+// slack config
+c.notifiers.slack = {}
+c.notifiers.slack.on = false
+c.notifiers.slack.webhook_url = ''
+// end slack config
+
+// discord configs
+c.notifiers.discord = {}
+c.notifiers.discord.on = false // false discord disabled; true discord enabled (key should be correct)
+c.notifiers.discord.id = 'YOUR-WEBHOOK-ID'
+c.notifiers.discord.token = 'YOUR-WEBHOOK-TOKEN'
+// end discord configs
+
+// prowl configs
+c.notifiers.prowl = {}
+c.notifiers.prowl.on = false // false prowl disabled; true prowl enabled (key should be correct)
+c.notifiers.prowl.key = 'YOUR-API-KEY'
+// end prowl configs
+
+// textbelt configs
+c.notifiers.textbelt = {}
+c.notifiers.textbelt.on = false // false textbelt disabled; true textbelt enabled (key should be correct)
+c.notifiers.textbelt.phone = '3121234567'
+c.notifiers.textbelt.key = 'textbelt'
+// end textbelt configs
+
+// output
+c.output  = {}
+
+// REST API
+c.output.api = {}
+c.output.api.on = true
+c.output.api.port = 0 // 0 = random port

extensions/strategies/neural/strategy.js

@@ -18,15 +18,14 @@ module.exports = function container (get, set, clear) {
       this.option('periodLength', 'period length - make sure to lower your poll trades time to lower than this value. Same as --period', String, '1m')
       this.option('activation_1_type', "Neuron Activation Type: sigmoid, tanh, relu", String, 'sigmoid')
       this.option('neurons_1', "Neurons in layer 1 Shoot for atleast 100", Number, 1)
-      this.option('depth', "Rows of data to predict ahead for matches/learning", Number, 5)
+      this.option('depth', "Rows of data to predict ahead for matches/learning", Number, 1)
       this.option('selector', "Selector", String, 'Gdax.BTC-USD')
-      this.option('min_periods', "Periods to calculate learn from", Number, 300)
-      this.option('min_predict', "Periods to predict next number from", Number, 100)
+      this.option('min_periods', "Periods to calculate learn from", Number, 1000)
+      this.option('min_predict', "Periods to predict next number from", Number, 1)
       this.option('momentum', "momentum of prediction", Number, 0.9)
-      this.option('decay', "decay of prediction, use teeny tiny increments", Number, 0)
+      this.option('decay', "decay of prediction, use teeny tiny increments", Number, 0.1)
       this.option('threads', "Number of processing threads you'd like to run (best for sim)", Number, 1)
-      this.option('learns', "Number of times to 'learn' the neural network with past data", Number, 10)
-      this.option('markup_pct', "Defaulting a markup percent", Number, 0.05)
+      this.option('learns', "Number of times to 'learn' the neural network with past data", Number, 2)
     },
     calculate: function (s) {
       calculated = null
@@ -81,7 +80,7 @@ module.exports = function container (get, set, clear) {
           learn();
           var item = tlp.reverse();
           s.prediction = predict(item)
-          s.mean = math.mean(s.lookback[0].close, s.lookback[1].close, s.lookback[2].close)
+          s.mean = s.lookback[0].close
           s.meanp = math.mean(s.prediction, oldmean)
           oldmean = s.prediction
         }
@@ -108,9 +107,9 @@ module.exports = function container (get, set, clear) {
     },
     onReport: function (s) {
       cols = []
-      cols.push(z(8, n(global.mean).format('00000.000'), ' ')[global.meanp > global.mean ? 'green' : 'red'])
+      cols.push(z(8, n(global.mean).format('0.000000000'), ' ')[global.meanp > global.mean ? 'green' : 'red'])
       cols.push('    ')
-      cols.push(z(8, n(global.meanp).format('00000.000'), ' ')[global.meanp > global.mean ? 'green' : 'red'])
+      cols.push(z(8, n(global.meanp).format('0.000000000'), ' ')[global.meanp > global.mean ? 'green' : 'red'])
       return cols
     },
   }

extensions/strategies/trendline/README.md

@@ -0,0 +1,29 @@
+
+## Reading the console output
+
+![console](Capture.PNG)
+
+From left to right ( for trendline not pictured above, which is neural ):
+
+- Timestamp in local time (grey, blue when showing "live" stats)
+- Asset price in currency (yellow)
+- Percent change of price since last period (red/green)
+- Volume in asset since last period (grey)
+- [RSI](http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:relative_strength_index_rsi) ANSI graph (red/green)
+- strategy inormation, in order:
+```
+- col1: trendline 10000/1000 trades 
+- col2: trendline 1000/100 trades 
+- col3:stdev of 10000 trades
+- col4: stdev of 1000 trades
+- col5: 10000trades mean
+- col6: 1000 trades mean
+- col7: the mean of the 10000 & 1000 trades and stdev calculated into 100* the stdev percentage of the mean of the long and short trades (in short the active-markup based on a multiplier to create a percentage of standard deviation.) 
+- If the four cols on the right are green, that means its a currently increasing trend) when both on the left are green both trends are increasing)
+```
+- Current signal or action, including `buy`, `sell`, `buying`, `selling`, `bought`, `sold` and `last_trade_worth` (percent change in the trend direction since last buy/sell)
+- Account balance (asset)
+- Account balance (currency)
+- Profit or loss percent (can be reset with `--reset_profit`)
+- Gain or loss vs. buy/hold strategy
+