meridianalgo 0.1.2

A Python library for algorithmic trading and financial analysis

MeridianAlgo

A comprehensive Python library for algorithmic trading and financial analysis. MeridianAlgo provides tools for backtesting trading strategies, calculating technical indicators, and managing trading operations.

Features

• Trading Engine: Live trading operations and position management
• Backtest Engine: Historical strategy testing with performance metrics
• Technical Indicators: Comprehensive collection of technical analysis indicators
• Utility Functions: Risk management and performance calculation tools

Installation

From PyPI (when published)

pip install meridianalgo

From Source

git clone https://github.com/MeridianAlgo/Packages.git
cd meridianalgo
pip install -e .

Quick Start

Basic Usage

import pandas as pd
from meridianalgo import TradingEngine, BacktestEngine, Indicators, TradeUtils

# Initialize trading engine
engine = TradingEngine(paper_trading=True)
engine.connect()

# Get account information
account_info = engine.get_account_info()
print(f"Account Balance: {account_info['balance']}")

# Place a trade
order = engine.place_order(
    symbol="BTC/USD",
    side="buy",
    quantity=0.1,
    order_type="market"
)
print(f"Order placed: {order}")

Backtesting a Strategy

# Load historical data
data = pd.read_csv('historical_data.csv')
data['timestamp'] = pd.to_datetime(data['timestamp'])

# Initialize backtest engine
backtest = BacktestEngine(initial_capital=10000)

# Load data
backtest.load_data(data)

# Define a simple moving average crossover strategy
def ma_crossover_strategy(row, positions, capital, fast_period=10, slow_period=20):
    """Simple moving average crossover strategy"""
    if len(backtest.data) < slow_period:
        return None
    
    # Calculate moving averages
    fast_ma = backtest.data['close'].rolling(fast_period).mean().iloc[-1]
    slow_ma = backtest.data['close'].rolling(slow_period).mean().iloc[-1]
    
    current_price = row['close']
    
    # Buy signal: fast MA crosses above slow MA
    if fast_ma > slow_ma and 'BTC/USD' not in positions:
        quantity = capital * 0.1 / current_price  # Use 10% of capital
        return {
            'symbol': 'BTC/USD',
            'action': 'buy',
            'quantity': quantity
        }
    
    # Sell signal: fast MA crosses below slow MA
    elif fast_ma < slow_ma and 'BTC/USD' in positions:
        return {
            'symbol': 'BTC/USD',
            'action': 'sell',
            'quantity': positions['BTC/USD']['quantity']
        }
    
    return None

# Run backtest
results = backtest.run_backtest(ma_crossover_strategy)
print(f"Total Return: {results['total_return']:.2%}")
print(f"Sharpe Ratio: {results['sharpe_ratio']:.2f}")
print(f"Max Drawdown: {results['max_drawdown']:.2%}")

Using Technical Indicators

# Calculate RSI
rsi = Indicators.rsi(data['close'], period=14)

# Calculate MACD
macd_line, signal_line, histogram = Indicators.macd(data['close'])

# Calculate Bollinger Bands
upper_band, middle_band, lower_band = Indicators.bollinger_bands(data['close'])

# Calculate Stochastic Oscillator
k_percent, d_percent = Indicators.stochastic(
    data['high'], 
    data['low'], 
    data['close']
)

Risk Management

# Calculate position size based on risk
position_size = TradeUtils.calculate_position_size(
    capital=10000,
    risk_percent=2,  # Risk 2% of capital
    entry_price=50000,
    stop_loss=48000
)

# Calculate risk-reward ratio
rr_ratio = TradeUtils.calculate_risk_reward_ratio(
    entry_price=50000,
    target_price=55000,
    stop_loss=48000
)

# Calculate P&L
pnl = TradeUtils.calculate_pnl(
    entry_price=50000,
    exit_price=52000,
    quantity=0.1,
    side="long"
)

Documentation

For detailed documentation, visit https://meridianalgo.readthedocs.io/

API Reference

TradingEngine

Main class for live trading operations.

engine = TradingEngine(api_key="your_api_key", paper_trading=True)

Methods:

• connect(): Connect to trading platform
• get_account_info(): Get account information
• place_order(): Place a trading order
• get_positions(): Get current positions
• get_trade_history(): Get trade history
• calculate_pnl(): Calculate profit/loss

BacktestEngine

Class for backtesting trading strategies.

backtest = BacktestEngine(initial_capital=10000)

Methods:

• load_data(): Load historical data
• run_backtest(): Run backtest with strategy
• get_equity_curve(): Get equity curve data
• get_trades(): Get trade data

Indicators

Static methods for technical analysis indicators.

Available Indicators:

• sma(): Simple Moving Average
• ema(): Exponential Moving Average
• rsi(): Relative Strength Index
• macd(): MACD
• bollinger_bands(): Bollinger Bands
• stochastic(): Stochastic Oscillator
• atr(): Average True Range
• williams_r(): Williams %R
• cci(): Commodity Channel Index

TradeUtils

Utility functions for trading operations.

Available Functions:

• calculate_position_size(): Calculate position size based on risk
• calculate_risk_reward_ratio(): Calculate risk-reward ratio
• calculate_pnl(): Calculate profit/loss
• calculate_sharpe_ratio(): Calculate Sharpe ratio
• calculate_max_drawdown(): Calculate maximum drawdown
• calculate_win_rate(): Calculate win rate
• format_currency(): Format currency amounts
• validate_trade_params(): Validate trade parameters

Examples

See the examples/ directory for more detailed examples:

• simple_strategy.py: Basic moving average strategy
• rsi_strategy.py: RSI-based trading strategy
• risk_management.py: Risk management examples
• performance_analysis.py: Performance analysis examples

Contributing

1. Fork the repository
2. Create a feature branch (git checkout -b feature/amazing-feature)
3. Commit your changes (git commit -m 'Add some amazing feature')
4. Push to the branch (git push origin feature/amazing-feature)
5. Open a Pull Request

Testing

Run the test suite:

pytest tests/

Run with coverage:

pytest --cov=meridianalgo tests/

License

This project is licensed under the MIT License - see the LICENSE file for details.

Disclaimer

This library is for educational and research purposes only. Trading involves substantial risk of loss and is not suitable for all investors. Past performance does not guarantee future results.

Support

• Documentation: https://meridianalgo.readthedocs.io/
• Issues: https://github.com/MeridianAlgo/Packages/issues
• Email: [e-mail]

Changelog

Version 0.1.0

• Initial release
• Basic trading engine functionality
• Backtesting engine with performance metrics
• Technical indicators collection
• Utility functions for risk management