├── .gitattributes
├── .gitignore
├── README.md
├── cointegration_analysis_cryptocurrencies.ipynb
└── pairs_trading_cryptocurrencies_strategy_catalyst.py
/.gitattributes:
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2 | * text=auto
3 |
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/.gitignore:
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2 | __pycache__/
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73 | # Jupyter Notebook
74 | .ipynb_checkpoints
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115 |
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/README.md:
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1 | ### pairs_trading_cryptocurrencies_strategy_catalyst
2 | Pairs trading strategy example based on Catalyst. This article describes the strategy https://towardsdatascience.com/pairs-trading-with-cryptocurrencies-e79b4a00b015
3 |
4 | This strategy uses Catalyst framework for backtesting https://enigma.co/catalyst/beginner-tutorial.html
5 |
6 | Project contains:
7 |
8 | pairs_trading_cryptocurrencies_strategy_catalyst.py - main file. You should execute this file by python in Catalyst environment.
9 |
10 | cointegration_analysis_cryptocurrencies.ipynb - this ipython-notebook carries out a cointegration test analysis.
11 |
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/cointegration_analysis_cryptocurrencies.ipynb:
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1 | {
2 | "cells": [
3 | {
4 | "cell_type": "code",
5 | "execution_count": 5,
6 | "metadata": {},
7 | "outputs": [],
8 | "source": [
9 | "import quandl\n",
10 | "import pandas as pd\n",
11 | "from matplotlib import pyplot as plt\n",
12 | "import requests\n",
13 | "import statsmodels.tsa.stattools as ts \n",
14 | "from statsmodels.tsa.vector_ar.vecm import coint_johansen"
15 | ]
16 | },
17 | {
18 | "cell_type": "markdown",
19 | "metadata": {},
20 | "source": [
21 | "### Download price data from Bitfinex"
22 | ]
23 | },
24 | {
25 | "cell_type": "code",
26 | "execution_count": 2,
27 | "metadata": {},
28 | "outputs": [
29 | {
30 | "name": "stdout",
31 | "output_type": "stream",
32 | "text": [
33 | "Downloading BTCUSD\n",
34 | "Downloading ETHUSD\n",
35 | "Downloading LTCUSD\n",
36 | "Downloading XMRUSD\n",
37 | "Downloading NEOUSD\n",
38 | "Downloading XRPUSD\n",
39 | "Downloading ZECUSD\n"
40 | ]
41 | },
42 | {
43 | "data": {
44 | "text/html": [
45 | "\n",
46 | "\n",
59 | "
\n",
60 | " \n",
61 | " \n",
62 | " | \n",
63 | " BTCUSD | \n",
64 | " ETHUSD | \n",
65 | " LTCUSD | \n",
66 | " XMRUSD | \n",
67 | " NEOUSD | \n",
68 | " XRPUSD | \n",
69 | " ZECUSD | \n",
70 | "
\n",
71 | " \n",
72 | " \n",
73 | " \n",
74 | " | 0 | \n",
75 | " 14722.0 | \n",
76 | " 858.78 | \n",
77 | " 250.11 | \n",
78 | " 364.23 | \n",
79 | " 88.82 | \n",
80 | " 2.1930 | \n",
81 | " 547.88 | \n",
82 | "
\n",
83 | " \n",
84 | " | 1 | \n",
85 | " 15150.0 | \n",
86 | " 942.01 | \n",
87 | " 244.21 | \n",
88 | " 386.00 | \n",
89 | " 104.76 | \n",
90 | " 2.7317 | \n",
91 | " 559.70 | \n",
92 | "
\n",
93 | " \n",
94 | " | 2 | \n",
95 | " 15159.0 | \n",
96 | " 940.81 | \n",
97 | " 237.76 | \n",
98 | " 372.50 | \n",
99 | " 97.61 | \n",
100 | " 2.7367 | \n",
101 | " 545.11 | \n",
102 | "
\n",
103 | " \n",
104 | " | 3 | \n",
105 | " 16911.0 | \n",
106 | " 962.77 | \n",
107 | " 242.90 | \n",
108 | " 357.62 | \n",
109 | " 94.72 | \n",
110 | " 2.4961 | \n",
111 | " 541.98 | \n",
112 | "
\n",
113 | " \n",
114 | " | 4 | \n",
115 | " 17169.0 | \n",
116 | " 1004.30 | \n",
117 | " 278.00 | \n",
118 | " 392.63 | \n",
119 | " 100.35 | \n",
120 | " 2.6424 | \n",
121 | " 654.77 | \n",
122 | "
\n",
123 | " \n",
124 | "
\n",
125 | "