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Hello everyone,
I've only been here for a short time and I am particularly interested in the crypto market. Now I would like to create an algorithm that applies an indicator (e.g. MACD crossing) to a Crypto Universe, which contains the top 10 coins that are traded on Bitfinex. And if for an example there is a MACD cross above at the BTCUSDT pair the trading bot should go long and the other way round.
Do you have an idea how I can implement this?
Attached is a backtest in which I tried to copy something from the blog entries together, but it doesn't really work and I think it does not really make sense…
There is a short cut for US equities, but is there a short cut for cryptos?
I still hope someone can give me some hints, how I can
- get a crypto Universe of the top 10 coins or it is also fine if I can create a Manual Universe Selection Model with Coins I can input by myself, but how can I order them by volume etc?
- apply indicators to a crypto universe
I hope some of you can help me :)
Louis Szeto
Hi Marcel
Sorry that we do not provide a shortcut for any crypto selection tool yet, the method in your backtest is impossible as the security does not map to any CoarseFundamental object. but it is possible to manually add all the coins desirable and do further filtering within the algorithm by indicators.
It would be hard to quantify the word "good" in this context, but let's consider the highest daily volume in this case. Please check the attached backtest as an example.
Best
Louis Szeto
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Emi Gal
Hi Louis Szeto,
Thank you for the code snippet above - very useful.
I'm trying to create a universe based on both volume as well as whether the asset is within Bollinger Bands (aka it's in a mean-reversion pattern).
I updated your code snippet to try and only include mean-reverting assets, but it doesn't seem to be working. Any idea what I'm doing wrong?
Thanks,
Emi
Vladimir
Emi Gal
-->Any idea what I'm doing wrong?
Try to replace
bband = self.BB(symbol, 1, MovingAverageType.Simple, Resolution.Daily)
by
bband = self.BB(symbol, 21, 2, MovingAverageType.Simple,Resolution.Daily)
2022-04-03 20:00:00 :
Selected universe contains ['XRPUSD', 'IOTAUSD', 'EOSUSD', 'XRPBTC', 'IOTABTC'].
Emi Gal
Vladimir - that's fantastic and works great, thank you for taking the time to help.
Louis Szeto
Hi All
Please be noted that Coarse Fundamental Universe Selection is now available for Cryptos. Refer to this thread for more information.
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Marcel Friz
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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