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Frank Dai soulmachine Google Mountain View, CA http://www.soulmachine.me Interested in Spark, Hadoop, Scrapy, React, TensorFlow, blockchain, etc.

soulmachine/acm-cheat-sheet 1527

Acm Cheat Sheet

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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

soulmachine/crypto-client 5

An unified client for all cryptocurrency exchanges.

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Crawl orderbook and trade messages from crypto exchanges

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some algorithm code snippets

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A golang ebook intro how to build a web with golang

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PR closed mementum/backtrader

Removed the unused parameter compression

The compression parameter is not used by the class Returns at all, therefore it can be safely removed from the doc.

+0 -8

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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

Removed the unused parameter compression

The compression parameter is not used by the class Returns at all, therefore it can be safely removed from the doc.

+0 -8

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Customized Backtrader for Cryptocurrency.

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Volume bar analysis

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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

https://www.backtrader.com

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Backtesting Framework in Python

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EWMAC strategy from the book Systematic Trading

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startedrobcarver17/pysystemtrade

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issue commentsoulmachine/crypto-client

okex

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

otccoin

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