/crypto-market-analysis

Analysing market trends and signals through statistical and technical indicators

Primary LanguagePython

crypto-market-analysis

Analysing market trends and signals through statistical and technical indicators.

Algorithm for finding optimal PNL from historic market close data using local maxima and minima points.

Experimenting with varying maxima/ minima order.

main_optimal_trades_for_ohlc_data(df, subset_size=100, maxima_order=10, minima_order=5)

# >> Number of trades: 2, Total return: 23.5552265177704%
# >> Return / Trade ratio: 11.7776132588852 (Avg. return per trade)

optimal_trade_algo_1

main_optimal_trades_for_ohlc_data(df, subset_size=100, maxima_order=2, minima_order=2)

# >> Number of trades: 13, Total return: 35.012934865446056%
# >> Return / Trade ratio: 2.693302681957389 (Avg. return per trade)

optimal_trade_algo_2

Note: Minimal graph sizes for demonstration. Works equally well on large datasets.