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finlab-crypto-0.2.9
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مشاهده بیشترتوضیحات
A backtesting framework for crytpo currency
| ویژگی | مقدار |
|---|---|
| سیستم عامل | - |
| نام فایل | finlab-crypto-0.2.9 |
| نام | finlab-crypto |
| نسخه کتابخانه | 0.2.9 |
| نگهدارنده | [] |
| ایمیل نگهدارنده | [] |
| نویسنده | FinLab |
| ایمیل نویسنده | finlabstaff@gmail.com |
| آدرس صفحه اصلی | - |
| آدرس اینترنتی | https://pypi.org/project/finlab-crypto/ |
| مجوز | - |
<a href="url"><img src="https://i.ibb.co/qWCSkr9/Picture1.png" align="center" width="200px"></a>
[](https://travis-ci.com/finlab-python/finlab_crypto) [](https://badge.fury.io/py/finlab-crypto) [](https://codecov.io/gh/finlab-python/finlab_crypto)
Develop and verify crypto trading strategies at a glance.
## Key Features
* Pandas vectorize backtest
* Talib wrapper to composite strategies easily
* Backtest visualization and analysis (uses [vectorbt](https://github.com/polakowo/vectorbt/) as backend)
* Analyze the probability of overfitting ([combinatorially symmetric cross validation](https://www.davidhbailey.com/dhbpapers/backtest-prob.pdf))
* Easy to deploy strategies on google cloud functions
* Colab and Jupyter compatable
* [10 hours trading bot online course](https://hahow.in/cr/crypto-python)
## Installation
```
pip install finlab_crypto
```
## Colab Example
* [basic example for backtesting and optimization  ](https://colab.research.google.com/drive/1l1hylhFY-tzMV1Jca95mv_32hXe0L0M_?usp=sharing)
## Usage
### Setup Research Environment (Recommend)
Create directory `./history/` for saving historical data. If Colab notebook is detected, it creates `GoogleDrive/crypto_workspace/history` and link the folder to `./history/`.
``` python
import finlab_crypto
finlab_crypto.setup()
```
### Get Historical Price
``` python
ohlcv = finlab_crypto.crawler.get_all_binance('BTCUSDT', '4h')
ohlcv.head()
```
### Trading Strategy
``` python
@finlab_crypto.Strategy(n1=20, n2=60)
def sma_strategy(ohlcv):
n1 = sma_strategy.n1
n2 = sma_strategy.n2
sma1 = ohlcv.close.rolling(int(n1)).mean()
sma2 = ohlcv.close.rolling(int(n2)).mean()
return (sma1 > sma2), (sma1 < sma2)
```
### Backtest
``` python
# default fee and slipagge are 0.1% and 0.1%
vars = {'n1': 20, 'n2': 60}
portfolio = sma_strategy.backtest(ohlcv, vars, freq='4h', plot=True)
```
### Optimization
``` python
import numpy as np
vars = {
'n1': np.arange(10, 100, 5),
'n2': np.arange(10, 100, 5)
}
portfolio = sma_strategy.backtest(ohlcv, vars, freq='4h', plot=True)
```
### Live Trading
To perform live trading of a strategy, the following 3 sections should be executed when any candle is complete.
#### 1. Create TradingMethods
First, we need to encapsulate a strategy into `TradingMethod`
```py
from finlab_crypto.online import TradingMethod, TradingPortfolio, render_html
# create TradingMethod for live trading
tm_sma = TradingMethod(
name='live-strategy-sma'
symbols=['ADAUSDT', 'DOTBTC', 'ETHBTC'], freq='4h', lookback=1200,
strategy=sma_strategy,
variables=dict(n1 = 35, n2 = 105,),
weight=5000,
weight_unit='USDT',
execution_price='close' # trade at close or open price
)
```
#### 2. register TradingMethods to TradingPortfolio
A `TradingPortfolio` can sync the virtual portfolio to your Binance trading account. A `TradingPortfolio` contains many `TradingMethod`s, which should be executed whenever any new candle is (going to) closed. You can decide when to rebalance the portfolio by giving `execute_before_candle_complete` when creating the `TradingPortfolio`:
* `execute_before_candle_complete=True`: rebalance right *before* a candle is closed (i.e. setting xx:59 for 1h frequency strategy), so you can execute orders faster then others. However, signal hazards may occur due to incomplete candles.
* `execute_before_candle_complete=False` (default): rebalance right *after* a candle is closed (i.e. setting xx:00 for 1h frequency strategy)
The above information is crucial to help `TradingPortfolio` decide whether to remove incomplete candles when generating trading signals or not. However, `Tradingportfolio` will *not* execute periodically for you. So, you should set up a crontab or cloud function to execute it.
We recommend you run the code by yourself before setting the crontab or cloud function.
```py
# setup portftolio
BINANCE_KEY = '' # Enter your key and secret here!
BINANCE_SECRET = ''
tp = TradingPortfolio(BINANCE_KEY, BINANCE_SECRET, execute_before_candle_complete=False)
tp.register(tm0)
# additional trading methods can be registered
# tp.register(tm1)
```
#### 3. view and execute orders
Finally, we could call `tp.get_ohlcvs()` to get history data of all trading assets and call `tp.get_latest_signals` to calculate the trading signals. The aggregate information is created using `tp.calculate_position_size`. All the information can be viewed by `tp.render_html`.
```py
ohlcvs = tp.get_ohlcvs()
signals = tp.get_latest_signals(ohlcvs)
position, position_btc, new_orders = tp.calculate_position_size(signals)
render_html(signals, position, position_btc, new_orders, order_results)
```
If the result makes sense, use `tp.execute_orders` to sync the position of your real account. Please make an issue if there is any bug:
```py
# (order) mode can be either 'TEST', 'MARKET', 'LIMIT'
# TEST mode will show orders without real executions.
order_results = tp.execute_orders(new_orders, mode='TEST')
```
### Testing
The following script runs all test cases on your local environment. [Creating an isolated python environment](https://docs.conda.io/projects/conda/en/latest/user-guide/tasks/manage-environments.html#creating-an-environment-with-commands) is recommended. To test crawler functions, please provide Binance API's key and secret by setting environment variables `BINANCE_KEY` and `BINANCE_SECRET`, respectively.
``` bash
git clone https://github.com/finlab-python/finlab_crypto.git
cd finlab_crypto
pip install requirements.txt
pip install coverage
BINANCE_KEY=<<YOUR_BINANCE_KEY>> BINANCE_SECRET=<<YOUR_BINANCE_SECRET>> coverage run -m unittest discover --pattern *_test.py
```
## Updates
Version 0.2.24
* fix dependency in colab
Version 0.2.23
* fix binance min_notional not found
Version 0.2.22
* fix compatability of seaborn in cscv algorithm plotting
Version 0.2.21
* fix pyecharts compatibility
* set the default argument `client` of get_nbars_binance
Version 0.2.20
* fix get_all_binance last candle not updated
Version 0.2.19
* fix bar color
Verison 0.2.18
* fix stop loss and take profit and add them into tests
Verison 0.2.17
* update vectorbt version
Version 0.2.16
* update pandas version
Version 0.2.15
* fix tp.portfolio_backtest
Version 0.2.14
* add `execute_before_candle_complete`
* add `weight` and `weight_unit` for `TradingMethod`
Version 0.2.12
* fix numba version
Version 0.2.11
Version 0.2.10
* fix numpy version
Version 0.2.8
* merge transactions to reduce fees
Version 0.2.7
* fix test error (request binance api too fast)
* add USDC as base stable coin (tp.set_default_stable_coin('USDC'))
Version 0.2.6
* fix version of pandas==1.1.5, since pandas==1.2.0 is not compatable with vectorbt
* fix show_parameters function in Strategy and Filter
Version 0.2.5
* fix weight_btc error
* fix strategy mutable input
Verison 0.2.4
* fix entry price online.py
Version 0.2.3
* fix execution price issue
Version 0.2.2: not stable
* improve syntax
* add execution price for the strategy
Version 0.2.1
* fix vectorbt version
Version 0.2.0
* update vectorbt to 0.14.4
Version 0.1.19
* refactor(strategy.py): refactor strategy
* refactor(cscv.py): refactor cscv
* add cscv_nbins and cscv_objective to strategy.backtest
* add bitmex support
Version 0.1.18
* fix(crawler): get_n_bars
* fix(TradingPortfolio): get_ohlcv
* fix(TradingPortfolio): portfolio_backtest
Version 0.1.17
* fix error for latest_signal asset_btc_value
* add unittest for latest_signal
Version 0.1.16
* fix web page error
* fix error for zero orders
Version 0.1.15
* fix web page error
Version 0.1.14
* refine render_html function
Version 0.1.13
* refine display html for TradingPortfolio
Version 0.1.12
* add delay when portfolio backtesting
* fix colab compatability
* improve interface of TradingPortfolio
Version 0.1.11
* fix portfolio backtest error
* add last date equity for backtest
Version 0.1.10
* add portfolio backtest
* rename online.py functions
* refactor error tolerance of different position in online.py functions
* set usdt to excluded asset when calculate position size
Version 0.1.9
* set 'filters' as an optional argument on TradingMethod
* set plot range dynamically
* portfolio backtest
Version 0.1.8
* fix talib parameter type incompatable issue
Version 0.1.7
* fix talib parameter type incompatable issue
Version 0.1.6
* fix talib-binary compatable issue using talib_strategy or talib_filter
Version 0.1.5
* add filters to online.py
* add lambda argument options to talib_filter
* move talib_filter to finlab_crypto package
Version 0.1.4
* fix talib filter and strategy pandas import error
* fix talib import error in indicators, talib_strategy, and talib_filter
Version 0.1.3
* remove progress bar when only single strategy is backtested
* adjust online portfolio to support leaverge
* new theme for overfitting plots
* fix online order with zero order amount
* fix SD2 for overfitting plots
Version 0.1.2
* fix strategy variables
Version 0.1.1
* fix talib error
* add filters folder
* add excluded assets when sync portfolio
* add filter folder to setup
* fix variable eval failure
Version 0.1.0
* add filter interface
* add talib strategy wrapper
* add talib filter wrapper
Version 0.0.9.dev1
* vectorbt heatmap redesign
* improve optimization plots
* redesign strategy interface
* add new function setup, to replace setup_colab
Version 0.0.8.dev1
* fix transaction duplicate bug
Version 0.0.7.dev1
* fix bugs of zero transaction
Version 0.0.6.dev1
* fix latest signal
* rename strategy.recent_signal
* restructure rebalance function in online.py
Version 0.0.5.dev1
* add init module
* add colab setup function
* set vectorbt default
* fix crawler duplicated index
Version 0.0.4.dev1
* add seaborn to dependencies
* remove talib-binary from dependencies
* fix padding style
Version 0.0.3.dev1
* remove logs when calculating portfolio
* add render html to show final portfolio changes
* add button in html to place real trade with google cloud function
Version 0.0.2.dev1
* skip heatmap if it is broken
* add portfolio strategies
* add talib dependency
نیازمندی
| مقدار | نام |
|---|---|
| >=0.53.1 | numba |
| >=1.1.5 | pandas |
| >=0.7.5 | python-binance |
| ==1.9.1 | pyecharts |
| - | vectorbt |
| >=0.10.2 | statsmodels |
| >=4.41.1 | tqdm |
| >=0.10.1 | seaborn |
زبان مورد نیاز
| مقدار | نام |
|---|---|
| >=3 | Python |
نحوه نصب
نصب پکیج whl finlab-crypto-0.2.9:
pip install finlab-crypto-0.2.9.whl
نصب پکیج tar.gz finlab-crypto-0.2.9:
pip install finlab-crypto-0.2.9.tar.gz