soulmachine/acm-cheat-sheet 1527
Acm Cheat Sheet
soulmachine/algorithm-essentials 536
算法精粹--举一反三，抛弃题海战术
soulmachine/crypto-crawlers 37
The All-in-one Solution to crawl data from cryptocurrency exchanges
soulmachine/awesome-blockchain-whitepapers 26
Awesome blockchain white papers
soulmachine/crypto-notebooks 15
Jupyter notebooks for analyzing crypto data
soulmachine/awesome-deep-trading 5
Papers of deep learning for trading
An unified client for all cryptocurrency exchanges.
Crawl orderbook and trade messages from crypto exchanges
some algorithm code snippets
soulmachine/build-web-application-with-golang 2
A golang ebook intro how to build a web with golang
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typo
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Closed all positions at the end
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typo
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Added a trend following strategy from Andreas Clenow
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Tiny polish
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Used three months' data
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Updated data
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comment
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commit sha 93201a0f728f9ae216095ab503ef97b862c13bfc
Upgraded crypto-crawler
commit sha 5655c1a45bcfee69f0cc622b3e890f48b2d02758
Updated trading pairs
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Upgraded crypto-markets
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Trading volume market shares
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Used two months data
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Added a bar plot
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Kept top 4 exchanges
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Added trading volume analysis
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Updated data
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Moved timestamp before timestamp_start in dataframe
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Fixed sharpe ratio parameters
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PR closed mementum/backtrader
The compression parameter is not used by the class Returns at all, therefore it can be safely removed from the doc.
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pull request commentmementum/backtrader
Removed the unused parameter compression
compression is used by parent class TimeFrameAnalyzerBase
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PR opened mementum/backtrader
The compression parameter is not used by the class Returns at all, therefore it can be safely removed from the doc.
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Removed the unused parameter compression
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commit sha 894063f13c53b9aa5bff7d3805144e0893670e24
Bugfix: timestamp should be the end of bar
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created repositorysoulmachine/crypto-backtrader
Customized Backtrader for Cryptocurrency.
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commit sha a2f695ee5ded408871b9fc356920f27d40248167
Fixed timestamp_end of TimeBar
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Volume bar analysis
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startedlidangzzz/hedgehog-lab
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commit sha 87114cd566b5bb4fff217f6eaaa49ec016e51e7c
Added more check
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Bugfix: made VolumeBar and DollarBar be consistent with AdvFinML
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Bugfix
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Minor refactoring
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Minor refactoring
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commit sha ce64b420557264837f49bbf1dcd4e2fb4a8d0c71
Added a parameter timeframe
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fork soulmachine/NeuralNetworkAsTradingStrategy
Use Neural Network as a trading strategy model
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issue openedrobcarver17/systematictradingexamples
What period should I use to calculate the volatility for another asset such as Bitcoin?
Hi Robert, this is not an issue but actually a question.
In your code ewmac.py#L63 you calculate the volatility with the following code:
stdev_returns=pd.ewmstd(price - price.shift(1), span=vol_lookback)
And you set vol_loopback to a constant value 25:
## Shouldn't need changing
vol_lookback=25
At page 198 of the book "Systematic Trading" you also said:
Rather than risk overfitting I decided on a default look-back of 25 business days, or five weeks.
What if I'm backtesting EWMAC rule for another asset such as Bitcoin? I think I need to use a different value, right?
Is there a way to calculate the best vol_lookback ? Thanks!
Best regards
--Frank Dai
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EWMAC Strategy in Backtrader
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Python Backtesting library for trading strategies
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SMA Crossover Strategy in backtesting.py
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Added links
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Added links
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commit sha 75fd5040280be5f80adc37887632bbfc133ee463
Added timeframe in data feed constructor
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commit sha 904f35fe9de03b343f8352fcbbfdd8129a53db97
Printed _timeframe and _compression
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commit sha 2eaa3cf6ae2707eb8a621993cc152ae1c4f60f77
Refactored code
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commit sha c453d1cee22d8aa69c8e21153b1215de510a4b81
Backtesting SMA Cross strategy with Backtrader
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commit sha 442ff814de3ca0092ada6b8c77ee7e0cb455a952
Changed title
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Formatted code
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commit sha ff1c5567ce77cd6aea2c80317675689aab77f334
Load custom Pandas dataframe to BackTrader
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commit sha 7c9d7859c9ca92fb4f42e6794def202a90f8b2bb
Deleted unused code
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push eventsoulmachine/crypto-notebooks
commit sha caa83c2a0dd96fdd209ad999c62aa82a66897f55
Crawler was down during Jun 1 to 6
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commit sha a4ac9b129ee93b812a6d37eef6449402930f384b
Limited to June only
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commit sha 0a5c20c5a2997828c1b35f67eead6e830e8be828
Added reference links
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commit sha 9e7e13478e06d4ddf35813e1832a9637bc886cab
Plot correlations
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push eventsoulmachine/crypto-notebooks
commit sha aa02fc815328630548e8a385cc6e118e1f497686
Merge multiple monthly CSV files
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commit sha cabeca773f310a432622f22d9cdad7e2c8e3f4e8
EWMAC strategy from the book Systematic Trading
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startedrobcarver17/pysystemtrade
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issue commentsoulmachine/crypto-client
OrderBook of OKEx is supported in this library https://github.com/soulmachine/crypto-crawler
crypto-client aims at placing orders, similar to ccxt. While crypto-crawlers aims at crawling Websocket realtime messages
OKEx options is not supported in both libraries yet, will implement in short future
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commit sha 32e035aa993efc23b483830febfc647d78592689
Turned timestamp to int64
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commit sha 02029b8a292a3f16409ba7228515d731f6c2d35c
Used UTC time zone
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commit sha eb133447b1eb8652b744893a3368536a6ef97bb6
doc
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commit sha aeaa3fdc405109de64c1aafe631233e4fea62a23
Deleted useless files
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Updated magnet link
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Refactored
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Updated month
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commit sha ac74557ad6790ed2e0455b5b6d231cd6db3d1da2
Added a tool to convert json to csv
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commit sha 5cfb224870735e26d41f0d5613e1f9320805b70c
Updated magnet link
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commit sha 4ac0140324244a0b7012d62f853feba287e680ff
Fixed magnet link
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commit sha 3122ee59981a483a8ec9ee2de853794a1c23a09b
Added magnet link for June 2020
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commit sha b26490e8d7439d50876d8e9ab97bff64228a29cf
Split by dates then deduplicate and sort
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commit sha 2f57bf5234a2246f9caaaed2660a883efb8c2862
ARMA-GARCH model
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commit sha 97a49a4f05032abcbfb7ca86bd847231ce05a9e9
Minor refactoring
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commit sha 8d8e2df7b7f8cb981150e082e96a78d4923e981b
Added auto.arima model
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commit sha 20d44aecc91995617e51f86ae99dd8512299aa5c
Upgraded crypto-crawler
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commit sha 6afe13fa452f48672106b4c06ccde849ce1ebbc3
Upgraded crypto-markets
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commit sha 797f8651ab2f9d239201dafb82b038e9f58eb8d0
Upgraded crypto-pairs to fix BitMEX XBTZ20
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Fixed normalizePair not equal errors
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Added AUD for Kraken
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Added more mappings for Bitfinex
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commit sha 7eadbcb978ab34cb12904303be523b8e9bbfdd50
EDO renamed to PNT in Bitfinex
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commit sha 03efa600a00358d5b99540600560a649c84cb41f
ncu -u
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Added BTCUAH for Binance
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Returned undefined instead of throwing out an error
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Added some links
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doc
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ARIMA
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doc
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