369geofreeman/system_strategies

A collection of tests and ideas for trading systems

System Strategies

Dynamic Stop-Loss/Liquidation

• Linear Regression
• LOESS Regression
• Analysis of the OrderBook

Entries

• Average Range
• Spread Entries

API

• Basic API structure for buy / sell orders on any exchange
• Bitmex API Example
• CoinGecko (marketcap / volume)

Pairs Trading

• Ornstein Uhlenbeck Model
• Coin Comparision (Heatmap)
• Stationarity
• Integration
• Cointegration

Arbirage

• Multi Exchange tickers of same asset

Functions

• Comparing Deviations

  • Interquartile Range
  • Standard Deviation
  • Mean Deviation
  • Median Absolute Deviation
  • RMSD

• Mann Kendall - Trend Detection

• Volatility Estimators

  • Comparisons
  • Standard Deviation
  • Garman Klass
  • Hodges Tompkins
  • Kurtosis
  • Parkinson
  • Rogers Satchell
  • Skew
  • Yang Zhang

• Average True Range

• Markov (SPX)

• Transitional Probability

• Clusters (Top Platform)

• True RSI

• Script to test orderBookL2_25 websocket

Indicators

• Volume Profile
• VWAP