Fixed an assumption error

Tested GBPUSD & NZDUSD
jacktator · Jun 19, 2019 · d083f27 · d083f27
1 parent 662178b
commit d083f27
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Showing 14 changed files with 61,955 additions and 49,959 deletions.
diff --git a/README.md b/README.md
@@ -4,7 +4,7 @@ A mini Quant Trading System with Alpha, Risks, Cost, Portfolio Construction Mode
 
 ## Highlight: 
 
-**316.96**% for last 288 trade days, using [Slope & Velocity Strategy](./alpha#strategy-forex).
+**281.89**% for last 288 trade days, using [Slope & Velocity Strategy](./alpha#strategy-forex).
 
 ![](./alpha/gen/StrategySV_AUDUSD_Daily.png)
 

diff --git a/alpha/README.md b/alpha/README.md
@@ -140,7 +140,7 @@ Best Result: **177.03**%. Finished in 07:22s.
 
 Backtesting 15,625 sets of params to find the best params for [Slope & Velocity Strategy](#strategy-4-slope--velocity).
 
-Best Result: **316.96**% p.a.
+Best Result: **281.89**% p.a.
 
 ![](./gen/StrategySV_AUDUSD_Daily.png)
 

diff --git a/alpha/gen/StrategySV_AUDUSD_Daily.png b/alpha/gen/StrategySV_AUDUSD_Daily.png
diff --git a/alpha/gen/StrategySV_AUDUSD_Daily_Backtest_Params_df.csv b/alpha/gen/StrategySV_AUDUSD_Daily_Backtest_Params_df.csv
diff --git a/alpha/gen/StrategySV_AUDUSD_Daily_PaperTest_Params_df.csv b/alpha/gen/StrategySV_AUDUSD_Daily_PaperTest_Params_df.csv
diff --git a/alpha/gen/StrategySV_EURUSD_Daily.png b/alpha/gen/StrategySV_EURUSD_Daily.png
diff --git a/alpha/gen/StrategySV_EURUSD_Daily_Backtest_Params_df.csv b/alpha/gen/StrategySV_EURUSD_Daily_Backtest_Params_df.csv
diff --git a/alpha/gen/StrategySV_EURUSD_Daily_PaperTest_Params_df.csv b/alpha/gen/StrategySV_EURUSD_Daily_PaperTest_Params_df.csv
diff --git a/alpha/gen/StrategySV_USDCAD_Daily.png b/alpha/gen/StrategySV_USDCAD_Daily.png
diff --git a/alpha/gen/StrategySV_USDCAD_Daily_Backtest_Params_df.csv b/alpha/gen/StrategySV_USDCAD_Daily_Backtest_Params_df.csv
diff --git a/alpha/gen/StrategySV_USDCAD_Daily_PaperTest_Params_df.csv b/alpha/gen/StrategySV_USDCAD_Daily_PaperTest_Params_df.csv
diff --git a/alpha/strategies/optimization_sv.ipynb b/alpha/strategies/optimization_sv.ipynb
diff --git a/data/historical/crypto_daily.ipynb b/data/historical/crypto_daily.ipynb
@@ -37,7 +37,7 @@
           "output_type": "stream"
         }
       ],
-      "source": "import os, sys\n\napi_key \u003d \"6Z16V2GZLU7N0RKG\"\ntry:  \n   api_key \u003d os.environ[\"ALPHAVANTAGE_API_KEY\"]\n   print(\"Found AlphaVantage API Key\")\nexcept KeyError: \n   print(\"Please set the environment variable ALPHAVANTAGE_API_KEY\")\n   sys.exit(1)",
+      "source": "import os, sys\n\napi_key \u003d \"demo\"\ntry:  \n   api_key \u003d os.environ[\"ALPHAVANTAGE_API_KEY\"]\n   print(\"Found AlphaVantage API Key\")\nexcept KeyError: \n   print(\"Please set the environment variable ALPHAVANTAGE_API_KEY\")\n   sys.exit(1)",
       "metadata": {
         "pycharm": {
           "metadata": false,

diff --git a/data/historical/forex_daily.ipynb b/data/historical/forex_daily.ipynb