Backtesting for cyrpto trading strategies on Kraken
The intentions of this project was to create an environment that simulates the order books on cryptocurrency markets; I chose Kraken as the market of choice since it was easy enough to pull all of the historical data from a particular trading pair, some markets don’t offer this. What makes this testing library different from other back testing financial libraries is that it was intended to be used for cryptocurrency markets; so instead of relying on particular candle intervals, the precision can go all the way down to a per order book update logic; so you can make the update interval nearly anything you like. It also has different functionality when it comes to placing orders or stop limits; no assumptions are made on the buying or selling of crypto currency, meaning someone must fill your order for it to go through.
To run this script you will need
- python 3.4
- Pandas
Kraken_rig_runner is a commented example to see the flow of the program: Typically you want to set your trade logic apart from your indicator or trend declarations. Using the example plotting file you will get this:
Clearly this isnt a good trading strategy; but it gets the point across for now.
- generate the required javascript and css to produce a graph
- work on the techan branch to include other features I want
- include volume, expiring orderbook requests, and many basic finacial indicators and trends
- include many trading pairs at once