Lightweight trading framwork
Project description
LetTrade
A lightweight trading framework compatible with Stock, Forex, Crypto... markets
Find more at Documentation
Installation
[!WARNING]
LetTrade is under heavy construction, features and functions may be changed.Using Developing version to get latest update.
Stable version
pip install lettrade[all]
Developing version
pip install 'lettrade[all] @ git+https://git@github.com/AwesomeTrading/LetTrade.git@main'
Example
import talib.abstract as ta
from lettrade import indicator as i
from lettrade.all import DataFeed, ForexBackTestAccount, Strategy, let_backtest
class SmaCross(Strategy):
ema1_period = 9
ema2_period = 21
def indicators(self, df: DataFeed):
df["ema1"] = ta.EMA(df, timeperiod=self.ema1_period)
df["ema2"] = df.i.ema(period=self.ema2_period)
df["crossover"] = i.crossover(df.ema1, df.ema2)
df["crossunder"] = df.i.crossunder(df.ema1, df.ema2)
def next(self, df: DataFeed):
if df.l.crossover[-1]:
self.positions_exit()
self.buy(size=0.1)
elif df.l.crossunder[-1]:
self.positions_exit()
self.sell(size=0.1)
lt = let_backtest(
strategy=SmaCross,
datas="example/data/data/EURUSD_5m-0_1000.csv",
account=ForexBackTestAccount,
)
lt.run()
lt.plot()
# Strategy <class '__main__.SmaCross'>
Start 2024-05-13 21:15:00+00:00
End 2024-05-17 08:30:00+00:00
Duration 3 days 11:15:00
Start Balance 1000.0
Equity [$] 1003.16
Equity Peak [$] 1013.54
PL [$] 3.16
PL [%] 0.32
Buy & Hold PL [%] 0.63
Max. Drawdown [%] -4.98
Avg. Drawdown [%] -1.5
Max. Drawdown Duration 1 days 16:15:00
Avg. Drawdown Duration 0 days 12:30:00
# Positions 34
Win Rate [%] 0.38
Fee [$] -1.34
Best Trade [%] 29.36
Worst Trade [%] -18.14
SQN 0.07
Kelly Criterion 0.01392
Profit Factor 1.037781
Start a strategy
More examples can be found in example/
Download data
python -m example.data.yfinance
Backtest strategy
python -m example.strategy.backtest_sma_cross
Live Trading
Official
MetaTrader
: Support MetaTrader 5 Terminal tradingCCXT
: [WIP] Support most of cryptocurrency exchange from CCXT library
Development
Set up conda environment
conda create -y -n LetTrade python=3.12
conda activate LetTrade
pip install -r requirements-dev.txt
Project details
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