A repository for my crypto-trading experimentation. This repository can be divided into four main areas of functionality; data collection and storage, data analysis, backtesting and strategy execution.

The current state of the price database is trivial; a folder of enormous csv files. It ought to be converted into an SQL database.

Current functionality:

• display OHLC data
• trend definition: the price extrema in intervals defined by derivatve of MA
• display the distribution of trend price-changes, time-changes and their correlations
• search for abitrage opportunities

Desired functionality:

• analyse pair: applies all analyses and displays the results with matplotlib and outputs results file
• analyse pairs: applies cross-pair analyses and displays the results with matplotlib and outputs results file
• time analysis: search for predictability in price change and volatility at particular times of day, week, month and year
• introduce alternate datapoints: sentiment and basic indicators such as RSI and bollinger bands
• clean data: categorise datapoints where data is missing or exchange is offline

Desired functionality:

• to run strategy execution of historic OHLC data and output trades.json and stats.json
• basic stats includes win/loss ratio, profit/loss ratio, average win, average loss, number of trades, variance of these numbers
• also alpha, beta, information ratio, maximum adverse excursion, average true range, skewness, kurtosis, ulcer index and conditional value at risk

Current functionality:

• manage a simple algorithm buying and selling around a stable midpoint
• mobile notifications
• output trades.json Desired functionality:
• analyse trades.json
• execute algorithm with variable midpoint
• risk management
• execute arbitrage algorithm