crypto-strategy

A repository to perform backtests and create trading strategies for cryptocurrencies.

Install

pip install crypto-strategy[full]

Usage

Backtest Strategy

1. Moving Average Strategy

• Description

  BestMaStrategy(symbols, freq, res_dir, flag_filter, flag_stop)
  

  • symbols: asset name, e.g., BTCUSDT
  • freq: data frequency to use, 1h | 4h
  • res_dir: results directory
  • flag_filter: filter to use, [mmi | ang]
    • mmi: Market Meanness Index filter
    • ang: Linear Regression Angle filter
  • flag_stop: early stop flag, [ts_stop | sl_stop | tp_stop]
    • ts_stop: trailing stop
    • sl_stop: stop loss
    • tp_stop: take profit

• Example: Find the best params using 1h data with mmi filter and ts_stop

  BestMaStrategy(
      symbols=['BTCUSDT', 'ETHUSDT'], 
      freq='1h', 
      res_dir='results/best-1h-ma-mmi-filter', 
      flag_filters='mmi',
      flag_stop='ts_stop'
  )
  

2. Breakout Strategy

   • Description: A method to optimize the BO strategy

     • symbols: a list of symbols to be optimzied on, e.g., 'BTCUSDT'
     • freq: currently supported values: '1h' or '4h'
     • res_dir: the output directory
     • flag_filter: currently supported filters: 'vol', 'ang', default: None
     • flag_stop: early stop flag, [ts_stop | sl_stop | tp_stop]
       • ts_stop: trailing stop
       • sl_stop: stop loss
       • tp_stop: take profit

   • Example: Find the best params for bo strategy with vol filter using BTCUSDT 4h data and sl_stop

     BestBoStrategy(
         symbols = 'BTCUSDT',
         freq = '4h', 
         res_dir = 'results/best-4h-bo_rev-vol-filter', 
         flag_filters = 'vol',
         flag_stop = 'sl_stop',
     )
     
     
     

3. MACD Strategy

BestMacdStrategy(symbols, freq, res_dir, flag_filter)

• symbols: asset name, e.g., BTCUSDT
• freq: data frequency to use, 1h | 4h
• res_dir: results directory
• flag_filter: filter to use, [mmi | ang | stoch | sma]
  • vol: Volume filter
  • ang: Linear Regression Angle filter

Inspect Strategy

1. MA Strategy

   • Description: A method to inspect the MA strategy with given params

     InspectMaStrategy(symbols, freq, name, n1, n2, timeperiod, threshold, flag_filter, stop_vars)
     

     • symbol: the name of the crypto, e.g., 'BTCUSDT'
     • freq: currently supported values are '1h' or '4h'
     • name, n1, n2: the name and the params of the ma strategy, e.g., 'sma', 100, 50
     • timeperiod: param used in either mmi or ang filter
     • threshold: param used in ang filter
     • flag_filter: currently supported fitlers: 'mmi', 'ang', default: None
     • stop_vars: dictionary of stop vars, currently support 'ts_stop', 'sl_stop', 'tp_stop', default None
   • Example: Inspect MA strategy linear_reg with n1=30 & n2=280 and sl_stop=0.1 & tp_stop=0.1

     InspectMaStrategy(
         symbols, 
         freq='4h', 
         name='linear_reg', n1=30, n2=280, 
         stop_vars={'sl_stop':0.1, 'tp_stop':0.1})
     

2. BO Strategy

   • Description: A method to inspect the BO strategy

     InspectBoStrategy(symbol, freq, long_window, short_window, ts_stop, timeperiod, multiplier, threshold, flag_filter, flag_ts_stop)
     

     • symbols: a list of symbols to be optimzied on, e.g., 'BTCUSDT'
     • freq: currently supported values: '1h' or '4h'
     • long_window, short_window: breakout params
     • flag_filter: currently supported fitlers: 'vol', 'ang', default: None
     • timeperiod, multiplier: volume filter params
     • timeperiod, threshold: angle filter params
     • stop_vars: dictionary of stop vars, currently support 'ts_stop', 'sl_stop', 'tp_stop', default None

   • Example: Inspect 4h BTCUSDT breakout strategy with volume filter and trailing stop

     InspectBoStrategy(
         'BTCUSDT', 
         freq='4h', 
         long_window=100, short_window=50,
         flag_filter='vol', timeperiod=20, multiplier=2,
         stop_vars={'ts_stop':0.1})
     

CLI

Backtests can also be carried out in command line. To find out more

crypto --help

Example 1: Find the best params for BO strategy with vol filter using 4h data

crypto best-bo-strategy -f 4h -r results/best-4h-bo-vol-filter -g vol -e bo

Example 2: Find the best params for MA strategy with mmi filter and ts_stop using 1h data

crypto best-ma-strategy -f 1h -r results/best-1h-ma-mmi-filter -g mmi -t ts_stop

Tests

pytest