Here you can see that changes were made at each release of the main framework.
- [NEW FEATURE]
Testnet Bybit Perpetualsis now supported for backtesting, paper, and live trading
- [NEW FEATURE] Added all_positions and portfolio_value properties to the strategy API
- [Improvement] Automated "handling of take-profit and stop-loss that are priced the opposite of what they are supposed to" in strategies by closing the position instead of raising an exception causing the session to terminate.
- [Improvement] Added support for cancelling (remaining) entry orders in
- [Improvement] Error logs are now logged as info logs as well so info logs now include all the logs.
- [FIX] Fixed Discord notifications not working
- [FIX] Fixed an error when handling rejected (take-profit/stop-loss) orders in live trading sessions
- [FIX] Fixed a bug that happened when live trading strategies that require "extra routes"
- [FIX] The research module has been updated to support usage in Jupyter Notebooks
- [FIX] Fixed a bug in database migrations
0.30.0 (GUI Dashboard)
- [NEW FEATURE] GUI Dashboard is now available and replaces the CLI.
- [NEW FEATURE] Docker setup is improved and is now a first-class citizen of Jesse and is shipped with all newly created Jesse projects. It enabled you to run Jesse with one single command!
- [NEW FEATURE] Sending feedback and exception reports with optional log-file attachment right from within the dashboard.
- [NEW FEATURE] Responsive design which makes it easy to use even on mobile devices (if you install Jesse on a remote server)
- [NEW FEATURE] Added average execution time for optimizing mode
- [NEW FEATURE] All main forms of the dashboard remember your inputs. So repeating backtests, etc is much easier with a click of a button
- [NEW FEATURE] Ability to open multiple tabs (inside the dashboard itself) and run multiple candle importing and backtests in parallel.
- [NEW FEATURE] You can choose between light and dark mode.
- [BREAKING CHANGE] Environment variables are now set in the
.envfile, and application settings are now in the settings section of the dashboard. No more
- [BREAKING CHANGE] DNAs of the optimize mode are now defined in the strategy instead of the
- [Improvement] The error handling is now much more robust and reliable.
- [Improvement] Every time you run an action like a backtest, the action is run in a separate process. This means that the action is not blocking the main process; hence, the main process can continue to run even if an error occurs. One example good that comes out of this is that notifications are now more reliable.
- [Improvement] Installation of the live-trade plugin is now fully automated. No need to manually find your machine's info, download, and install.
- [Improvement] Faster backtest execution with the debug mode enabled because of no actual terminal printing
- [Improvement] Improved handling of database connections
- And much more! This was the biggest release yet.
Starting from version 0.30.0, this page will include changelog of the live-trade plugin as well.
[Improvement] Change Python version validation to recognize 3.10 (understood it as 3.1 before) [Improvement] The CSV created from the optimization mode now uses tab delimiter, as sometimes chars from the DNA would mess up the file. [Improvement] The CSV created from the optimization mode now includes all metrics from the backtest. [Improvement] Added missing REQUIRED_PACKAGES to setup.py [DEPRECATED] 3D and Week candles have been removed, as they differed from the exchange.
- [BREAKING CHANGE]
on_stop_loss()event methods have been removed, and replaced with the
- [Improvement] If the price difference between the current price and order price are significantly small (less than 0.01%) Jesse will use a MARKET order instead of LIMIT or STOP. This probably has no effect on your backtests but prevents some communication errors from exchange's side in live trading mode.
- [Improvement] Replaced
quantstats. This means now the metrics in Jesse's metrics report and Quantstat's HTML reports should be identical.
- [NEW FEATURE] Added
serenityoptions for the optimize mode's fitness metric.
- [NEW FEATURE] Add support for
FTX Futuresexchange's perpetual futures trading (both live-trade and backtest).
- [NEW FEATURE] Add initial support for
Bybit Perpetualsdriver (backtest only).
- [NEW FEATURE] Added
- [Improvement] Can handle many of order rejection events that sometimes happen from exchange's side instead of requiring to restart your live session.
- [NEW FEATURE] Add
combinations_without_repeatutility to create unique combinations. Useful for optimize mode.
- [NEW FEATURE] New indicators: Arnaud Legoux Moving Average, Holt-Winter Moving Average, Natural Moving Average, Ehlers Distance Coefficient Filter, Moving Average Bands, Ulcer Index, Moving Average Adaptive Q, MWDX Average, Variable Length Moving Average, Square Root Weighted Moving Average, Squared Weighted Moving Average, Variable Power Weighted Moving Average, Cubed Weighted Moving Average, JSA Moving Average, End Point Moving Average, Ehlers Predictive Moving Average, Wavetrend, Hurst Exponent
- [NEW FEATURE] - New Moving Averages added to the
- [Improvement] Minor code optimizations.
- [Improvement] Packages updated - Update websocket-client from 1.1.0 to 1.1.1, Update scipy from 1.7.0 to 1.7.1, Update pandas from 1.3.0 to 1.3.1, Update numpy from 1.20.3 to 1.21.1, Update pydash from 5.0.1 to 5.0.2, Update requests from 2.25.1 to 2.26.0, Update ta-lib from 0.4.20 to 0.4.21
- [FIX] The
maindicator now better handles volume which is needed for
- [FIX] The
kaufmanstopnow uses the correct formula for long and now supports the
- [NEW FEATURE] Introduces a plugin-based system for exchange drivers.
- [BREAKING] Requires a
plugins.pypresent in the project.
- [CHANGE] Adjustments in the candle store as was required by the live trade mode.
- Minor bug fixes
- [NEW FEATURE] Added new utility functions that are used in statistical analysis of the prices such as for writing statistical arbitrage strategies: z_score, are_cointegrated, prices_to_returns
- [IMPROVEMENT] Refactored how we execute routes in the live trade mode so the order of execution is the same as defined in the
routes.pyfile. This makes it possible to write strategies that depend on it such as statistical arbitrage.
- [IMPROVEMENT] Added support for M1 macs.
- [CHANGE] The
numbapackage has become an optional package which was a requirement for supporting M1 macs. Now
numbawon't be installed by default. This means, if you are an M1 user, you don’t have to install
numbaand you can install Jesse as before and it will work just fine. If you are NOT an M1 user, then you can still take advantage of
numbaby installing it through running
pip install numba.
- [IMPROVEMENT] Minor bug fixes
- [NEW FEATURE] Added
self.logmethod for easier logging from withing the strategy file.
- [NEW FEATURE] Added new properties to the Strategy API:
- [NEW FEATURE] Implemented the liquidation mechanism for the
isolatedmode in backtests, and both
crossin live mode.
- [NEW FEATURE] New indicators: Jurik Moving Average, Chande Kroll Stop, Choppiness Index, Pascals Weighted Moving Average, Symmetric Weighted Moving Average, Bandpass filter, Inverse Fisher Transform applied on RSI, KDJ
- [NEW FEATURE]
zscoreindicators now let you choose the
- [Improvement] Packages updated - Update matplotlib from 3.4.1 to 3.4.2, Update numpy from 1.20.2 to 1.20.3, Update ta-lib from 0.4.19 to 0.4.20, Update websocket-client from 0.59.0 to 1.0.1, Update click from 7.1.2 to 8.0.1
- [Improvement] Available
matypesused in some indicators extended.
- [Improvement] Improved handling of none string values in the logger
- [BREAKING CHANGE] For consistency
- [Improvement] Updated Docker images. By TheCrazyLexopen in new window.
- [Improvement] Packages updated - scipy from
1.6.3, arrow from
1.1.0, quantstats from
0.0.32, websocket-client from
0.59.0, quantstats from
0.0.34, pytest from
- [Improvement] Rounding for live or paper now uses the required precision from the exchange. Could have caused exceptions before for coins with exotic precision requirement.
size_to_qtynow round the qty down. As in some conditions the qty would otherwise exceed the
self.capitalleading to the InsufficientMargin exception.
risk_to_qtynow also accepts
- [Improvement] The full report (quantstats) now uses 365 trading days for the metrics which makes its calculations crypto friendly. By sbkhoshopen in new window and mblumopen in new window.
- [Improvement] The ExampleStrategy imports ta and utils by default now.
- [FIX] Error in
ta.minmaxsolved. Namedtuple changed:
min -> is_minand
max -> is_max
- [FIX] Setting configs via environment variables now also works when spaces are involved. By julesGoulleeopen in new window.
- [NEW FEATURE] New indicator: Polarized Fractal Efficiency (PFE)
- [NEW FEATURE] Added HTML reports with a more complete set of metrics and charts enabled by the
--full-reportsflag in your backtests. By nicolay-zlobinopen in new window.
- [NEW FEATURE] New indicators: Elder Ray Index (ERI), ttm_trend, kurtosis, mean_ad, median_ad, skewness
- [Improvement] Added a check for the right symbol format (with dash) for the import candle mode - preventing possible confusion and resulting errors.
- [Improvement] A @cached property has been added to improve performance and avoid unnecessary repeated calculations. It's applied where sensible in the Strategy class and available via import to be used on indicators inside a users Strategy as well. Some strategies might see a huge boost because of this.
- [Improvement] All indicators now use the helper functions same_length and slice_candles.
self.metricsis now only calculated if a trade happened leading to a performance boost.
- [Improvement] The old way of working with strings in python (format) has been replaced with much faster f-strings leading to a performance boost.
- [FIX] Incorrect InsufficientMargin exceptions that were caused by reduce_only orders.
- [FIX] An error with the json export of the backtest that occurred is now fixed.
- [FIX] Using futures mode you had to add all the used assets to the config.py file - although that should have only been needed for spot mode. This is not necessary anymore. Additionally the spot mode now gives clearer error if assets are missing in the config.
- Multiple preparations for the live trade plugin. Other modes are unaffected by them.
- New indicators: Fibonacci's Weighted Moving Average (FWMA), Sine Weighted Moving Average (SINWMA), Chande Forcast Oscillator (CFO), Kaufman Efficency indicator, High Pass Filter 2-Pole, Supersmoother 3-Pole, Kaufmanstop, Safezonestop, Devstop, RSMK, STC, RVI, VWAP,
- New timeframes:
- [Improvement] The indicators now use the configured warmup_candles
- [FIX] Spot should work no again thanks to a fix by discoheadopen in new window
- [FIX] Sometimes users faced a InsufficentMargin error - this was caused by a small bug in the handling leverage of market orders.
- [Improvement] Durations are now displayed without decimals. By maebertopen in new window
- [Improvement] The crossed utility should be a little faster now, as we only use numpy there now.
metricsproperty to the Strategy API.
available_marginproperty to the Strategy API.
leverageproperty to the Strategy API.
- Updated the behavior of
capital. It now returns wallet balance.
- Added support for leverage (except for a liquidation mechanism)
- [BREAKING CHANGE] Change config values to work with the leverage support. Now instead of
marginyou need to enter
total_costto Position model.
roi(return on investment) property to the Position model. It is calculated while considering the leverage, the same way it is done on Binance Futures.
- Added Market Change metric.
tradesproperty to the Strategy API for getting previous executed trades by nicolay-zlobinopen in new window.
- Updated the docker image. Updated the docs to work with docker-compose. By julesGoulleeopen in new window.
- Exported trades as json now include
considering_timeframesby julesGoulleeopen in new window.
import-canldescommand to avoid confirmation on candle duplicates by Gabriopen in new window.
- [BREAKING CHANGE] Dropped support for Python
- [BREAKING CHANGE] Changed the syntax for symbols to use a
-in the middle to separate the base and quote assets. Instead of
BTCUSDyou now need to enter
- Added elitism to genetic/evolution algorithm by fjelicopen in new window
- [BREAKING CHANGE] Pass the
orderobject as a parameter for event methods such as
- Fixed a bug for adding to open positions using
reduced_countproperties to the Strategy API.
- [BREAKING CHANGE] Removed
- Added the
after()method the to Strategy API
- [BREAKING CHANGE] Renamed
- Added a route validation
- Improved performance of loading candles for cases with multiple routes
routesproperty to the Strategy API
- Improvements in exception messages
has_active_entry_ordersproperty to the Strategy API
- Improved plotting of orders on the generated charts for backtest by (macd2)[https://github.com/macd2]
- Fixed handling open trade at the end of backtest
- Added support for Python 3.9
- Fixed calculations of formulas depending on Quantopian's empyrical package (like annual return, Sharpe Ratio, etc) using our own forkopen in new window of it.
- Changed default value of
typefor all exchanges in
- Added damiani_volatmeter indicator
- Changed the color of printed logs in
--debugmode to white for more readability
- Fixed a bug where
should_cancel()was being executed in strategies with multiple entry orders
- Made caching configurable. You can now change the settings for your cache driver or completely disable it
- Fixed a bug where position stayed open with a close-to-zero size caused by rounding issues in Python
- Fixed for a bug in detecting executed orders with candles with gap
- Added support for reduce-only orders (take-profit and stop-loss orders)
- Added VossFilter indicator
- Added TrendFlex indicator
- Added ReFlex indicator
- Added High Pass Filter indicator
- Added Roofing indicator
- Added DV indicator
- Added support for balance handling for trading on spot markets
- Improved calculation and logging of fees (when
--debugflag is enabled)
- Improved calculation of daily balance change. It is now more accurate.
- Improved format in displaying of currencies. Instead of
10000, it now displays
- Made number of warmup candles configurable
- Fixed an issue with log folder being absent in newly created projects by jparklevopen in new window
- Improved performance of the chande indicator
- Added the
--cpuoption for the optimize mode to specify the number of cpu cores to use when running the optimize mode.
- Improved monitoring dashboard of the optimization mode.
--dnaflag in "jesse routes" command
- Improved error detection in the optimize mode
- Fixed when few of DNA trials caused optimize session to fail entirely
- Optimize mode's traceback is now printed to a log file
- Improved optimize mode's monitoring dashboard
- Fixed an issue with newly created projects missing the log directory
.jsonfiles to gitignore of newly created projects
- Implemented the initial version of the optimize mode which uses the Genetic Algorithm to find the best parameters for your strategy.
- Suppression of the "FutureWarning: pandas.util.testing is deprecated" caused by empyrical
- Added KST indicator
- Added Coppock curve indicator
- Added vortex indicator
- Added EFI indicator
- Added Chandelier Exit indicator
- Update of scipy and matplotlib
- Fixed issue related to NegativeBalance
- Some fixes and additions related to pytest
- Refactored directories that generated output files are stored at (csv, json, tradingview, charts).
jsonlogs files are disabled by default. You now HAVE TO use the
jsonflag to enable it.
- Added CSV output for completed trades by h0keopen in new window.
- Added exception for when trying to spend more than available exchange balance by fengkiejopen in new window
- Added fee_rate property to Strategy API
fee_rateas optional parameter for risk_to_qty and size_to_qty utilities
- Added readable error for when strategy structure is incorrect
- numpy_candles_to_dataframeopen in new window now uses Pandas datetime format for candle timestamps by lightyear15open in new window
- Improved exception text for unsupported exchanges
- Added the __init__ method to the strategy API
- Added the terminate() method to the strategy API
- Added validation for
- Added additional parameters to srsi indicator by Gabriopen in new window
- Fix issue #34open in new window
- Made filter misusage exception more readable
- Added new ratios in metrics: Calmar, Sortino, Omega
- Improve TradingView output by Gabriopen in new window
- Added supersmoother indicator
- Added gauss indicator
- Added itrend indicator
- Added faulty indicator
- Added beta indicator
- Added LINEARREG_ANGLE - Linear Regression Angle indicator
- Added LINEARREG - Linear Regression indicator
- Added AVGPRICE - Average Price indicator
- Added VWMACD - Volume Weighted Moving Average Convergence/Divergence indicator
- Added AD - Chaikin A/D Line indicator
- Added keltner indicator by jeremytregunnaopen in new window
- Fixed an issueopen in new window with filters.
- Fixed an issueopen in new window with CWD
- Added new indicators: Hull Moving Average, Zero-Lag Exponential Moving Average, Donchian Channels, Empirical Mode Decomposition, RSI Laguerre Filter, True strength index (TSI), Fractal Adaptive Moving Average (FRAMA), Awesome Oscillator, Alligator, SMMA (Smoothed Moving Average)