From 827c31d4bc4e7511acdf5d0f37313a1343251c8a Mon Sep 17 00:00:00 2001 From: Blackhawke Date: Wed, 12 Aug 2020 09:42:16 -0700 Subject: [PATCH 1/5] Re-arranged the introduction to better explain the theory of operation and the limitations of Edge. Added paragraphs at the bottom of "running edge independently" to better explain Edge's order of operations processing and potential differences between historical output and live/dry-run operation. --- docs/edge.md | 14 ++++++++++---- 1 file changed, 10 insertions(+), 4 deletions(-) diff --git a/docs/edge.md b/docs/edge.md index c91e72a3a..ccbae1cb1 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -2,11 +2,13 @@ This page explains how to use Edge Positioning module in your bot in order to enter into a trade only if the trade has a reasonable win rate and risk reward ratio, and consequently adjust your position size and stoploss. -!!! Warning + !!! Warning Edge positioning is not compatible with dynamic (volume-based) whitelist. -!!! Note - Edge does not consider anything else than buy/sell/stoploss signals. So trailing stoploss, ROI, and everything else are ignored in its calculation. + !!! Note + 1. Edge does not consider anything other than *its own* buy/sell/stoploss signals. It ignores the stoploss, trailing stoploss, and ROI settings in the strategy configuration file. + + 2. Therefore, it is important to understand that Edge can improve the performance of some trading strategies but *decrease* the performance of others. ## Introduction @@ -89,7 +91,7 @@ You can also use this value to evaluate the effectiveness of modifications to th ## How does it work? -If enabled in config, Edge will go through historical data with a range of stoplosses in order to find buy and sell/stoploss signals. It then calculates win rate and expectancy over *N* trades for each stoploss. Here is an example: +Edge combines dynamic stoploss, dynamic positions, and whitelist generation into one isolated module which is then applied to the trading strategy. If enabled in config, Edge will go through historical data with a range of stoplosses in order to find buy and sell/stoploss signals. It then calculates win rate and expectancy over *N* trades for each stoploss. Here is an example: | Pair | Stoploss | Win Rate | Risk Reward Ratio | Expectancy | |----------|:-------------:|-------------:|------------------:|-----------:| @@ -186,6 +188,10 @@ An example of its output: | APPC/BTC | -0.02 | 0.44 | 2.28 | 1.27 | 0.44 | 25 | 43 | | NEBL/BTC | -0.03 | 0.63 | 1.29 | 0.58 | 0.44 | 19 | 59 | +Edge produced the above table by comparing ``calculate_since_number_of_days`` to ``minimum_expectancy`` to find ``min_trade_number``. Historical information based on the config file. The time frame Edge uses for its comparisons can be further limited by using the ``--timeframe`` switch. + +In live and dry-run modes, after the ``process_throttle_secs`` has passed, Edge will again process ``calculate_since_number_of_days`` against ``minimum_expectancy`` to find ``min_trade_number``. If no ``min_trade_number`` is found, the bot will return "whitelist empty". Depending on the trade strategy being deployed, "whitelist empty" may be return much of the time---or *all* of the time. The use of Edge may also cause trading to occur in bursts, though this is rare. + ### Update cached pairs with the latest data Edge requires historic data the same way as backtesting does. From 47b215fe0aa23f6222b0b1e107e017d3009cf4e8 Mon Sep 17 00:00:00 2001 From: Blackhawke Date: Fri, 14 Aug 2020 09:25:53 -0700 Subject: [PATCH 2/5] Update docs/edge.md Co-authored-by: Matthias --- docs/edge.md | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/docs/edge.md b/docs/edge.md index ccbae1cb1..1695732af 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -190,7 +190,9 @@ An example of its output: Edge produced the above table by comparing ``calculate_since_number_of_days`` to ``minimum_expectancy`` to find ``min_trade_number``. Historical information based on the config file. The time frame Edge uses for its comparisons can be further limited by using the ``--timeframe`` switch. -In live and dry-run modes, after the ``process_throttle_secs`` has passed, Edge will again process ``calculate_since_number_of_days`` against ``minimum_expectancy`` to find ``min_trade_number``. If no ``min_trade_number`` is found, the bot will return "whitelist empty". Depending on the trade strategy being deployed, "whitelist empty" may be return much of the time---or *all* of the time. The use of Edge may also cause trading to occur in bursts, though this is rare. +In live and dry-run modes, after the `process_throttle_secs` has passed, Edge will again process `calculate_since_number_of_days` against `minimum_expectancy` to find `min_trade_number`. If no `min_trade_number` is found, the bot will return "whitelist empty". Depending on the trade strategy being deployed, "whitelist empty" may be return much of the time - or *all* of the time. The use of Edge may also cause trading to occur in bursts, though this is rare. + +If you encounter "whitelist empty" a lot, condsider tuning `calculate_since_number_of_days`, `minimum_expectancy` and `min_trade_number` to align to the trading frequency of your strategy. ### Update cached pairs with the latest data From a14ce9d7d9df45bf5ba9ce8e02c559ae8477c064 Mon Sep 17 00:00:00 2001 From: Blackhawke Date: Fri, 14 Aug 2020 09:26:28 -0700 Subject: [PATCH 3/5] Update docs/edge.md Co-authored-by: Matthias --- docs/edge.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/edge.md b/docs/edge.md index 1695732af..dad23bfd6 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -188,7 +188,7 @@ An example of its output: | APPC/BTC | -0.02 | 0.44 | 2.28 | 1.27 | 0.44 | 25 | 43 | | NEBL/BTC | -0.03 | 0.63 | 1.29 | 0.58 | 0.44 | 19 | 59 | -Edge produced the above table by comparing ``calculate_since_number_of_days`` to ``minimum_expectancy`` to find ``min_trade_number``. Historical information based on the config file. The time frame Edge uses for its comparisons can be further limited by using the ``--timeframe`` switch. +Edge produced the above table by comparing `calculate_since_number_of_days` to `minimum_expectancy` to find `min_trade_number` historical information based on the config file. The timerange Edge uses for its comparisons can be further limited by using the `--timerange` switch. In live and dry-run modes, after the `process_throttle_secs` has passed, Edge will again process `calculate_since_number_of_days` against `minimum_expectancy` to find `min_trade_number`. If no `min_trade_number` is found, the bot will return "whitelist empty". Depending on the trade strategy being deployed, "whitelist empty" may be return much of the time - or *all* of the time. The use of Edge may also cause trading to occur in bursts, though this is rare. From f3cedc849aa223407890d4c216cfec17cdfda02d Mon Sep 17 00:00:00 2001 From: Blackhawke Date: Fri, 14 Aug 2020 09:27:04 -0700 Subject: [PATCH 4/5] Update docs/edge.md Co-authored-by: Matthias --- docs/edge.md | 7 +++---- 1 file changed, 3 insertions(+), 4 deletions(-) diff --git a/docs/edge.md b/docs/edge.md index dad23bfd6..2bc43a4e8 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -5,10 +5,9 @@ This page explains how to use Edge Positioning module in your bot in order to en !!! Warning Edge positioning is not compatible with dynamic (volume-based) whitelist. - !!! Note - 1. Edge does not consider anything other than *its own* buy/sell/stoploss signals. It ignores the stoploss, trailing stoploss, and ROI settings in the strategy configuration file. - - 2. Therefore, it is important to understand that Edge can improve the performance of some trading strategies but *decrease* the performance of others. +!!! Note + Edge does not consider anything other than *its own* buy/sell/stoploss signals. It ignores the stoploss, trailing stoploss, and ROI settings in the strategy configuration file. + Therefore, it is important to understand that Edge can improve the performance of some trading strategies but *decrease* the performance of others. ## Introduction From 5d691b5ee3872129c3cd6a7bdfd70836e79e72fd Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 14 Aug 2020 19:34:22 +0200 Subject: [PATCH 5/5] Fix warning box typo --- docs/edge.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/edge.md b/docs/edge.md index 2bc43a4e8..dcb559f96 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -2,7 +2,7 @@ This page explains how to use Edge Positioning module in your bot in order to enter into a trade only if the trade has a reasonable win rate and risk reward ratio, and consequently adjust your position size and stoploss. - !!! Warning +!!! Warning Edge positioning is not compatible with dynamic (volume-based) whitelist. !!! Note