___       _       _ _ _                  _     _____              _ _               ____        _ 
|_ _|_ __ | |_ ___| | (_) __ _  ___ _ __ | |_  |_   _| __ __ _  __| (_)_ __   __ _  | __ )  ___ | |_
 | || '_ \| __/ _ \ | | |/ _` |/ _ \ '_ \| __|   | || '__/ _` |/ _` | | '_ \ / _` | |  _ \ / _ \| __|
 | || | | | ||  __/ | | | (_| |  __/ | | | |_    | || | | (_| | (_| | | | | | (_| | | |_) | (_) | |_ 
|___|_| |_|\__\___|_|_|_|\__, |\___|_| |_|\__|   |_||_|  \__,_|\__,_|_|_| |_|\__, | |____/ \___/ \__|
                         |___/                                               |___/                   
₿   Ξ   ₳   ₮   ✕   ◎   ●   Ð   Ł   Ƀ   Ⱥ   ∞   ξ   ◈   ꜩ   ɱ   ε   ɨ   Ɓ   Μ   Đ  ⓩ  Ο   Ӿ   Ɍ  ȿ

📈 Intelligent Trading Signals 📉 https://t.me/intelligent_trading_signals

Intelligent trading bot

The project is aimed at developing an intelligent trading bot for automated trading cryptocurrencies using state-of-the-art machine learning (ML) algorithms and feature engineering. The project provides the following major functionalities:

• Defining derived features using custom (Python) functions including technical indicators
• Analyzing historic data and training machine learning models in batch off-line mode
• Analyzing the predicted scores and choosing best signal parameters
• Signaling service which is regularly requests new data from the exchange and generates buy-sell signals by applying the previously trained models in on-line mode
• Trading service which does real trading by buying or selling the assets according to the generated signals

Intelligent trading channel

The signaling service is running in cloud and sends its signals to this Telegram channel:

📈 Intelligent Trading Signals 📉 https://t.me/intelligent_trading_signals

Everybody can subscribe to the channel to get the impression about the signals this bot generates.

Currently, the bot is configured using the following parameters:

• Exchange: Binance
• Cryptocurrency: ₿ Bitcoin
• Analysis frequency: 1 minute (currently the only option)
• Score between -1 and +1. <0 means likely to decrease, and >0 means likely to increase
• Filter: notifications are sent only if score is greater than ±0.20 (may change)
• One increase/decrease sign is added for each step of 0.05 (exceeding the filter threshold)

There are silent periods when the score in lower than the threshold and no notifications are sent to the channel. If the score is greater than the threshold, then every minute a notification is sent which looks like

₿ 24.518 📉📉📉 Score: -0.26

The first number is the latest close price. The score -0.26 means that it is very likely to see the price lower than the current close price.

If the score exceeds some threshold specified in the model then buy or sell signal is generated which means that it is a good time to do a trade. Such notifications look as follows:

🟢 BUY: ₿ 24,033 Score: +0.34

Training machine learning models (offline)

For the signaler service to work, a number of ML models must be trained and the model files available for the service. All scripts run in batch mode by loading some input data and storing some output files. The batch scripts are located in the scripts module.

If everything is configured then the following scripts have to be executed:

• python -m scripts.download_binance -c config.json
• python -m scripts.merge -c config.json
• python -m scripts.features -c config.json
• python -m scripts.labels -c config.json
• python -m scripts.train -c config.json
• python -m scripts.signals -c config.json
• python -m scripts.train_signals -c config.json

Without a configuration file the scripts will use the default parameters which is useful for testing purposes and not intended for showing good performance. Use sample configuration files which are provided for each release like config-sample-v0.5.0.json.

Downloading and merging source data

The main configuration parameter for the both scripts is a list of sources in data_sources.

• Download the latest historic data: python -m scripts.download_binance -c config.json

  • It uses Binance API but you can use any other data source or download data manually using other scripts

• Merge several historic datasets into one dataset: python -m scripts.merge -c config.json

  • This script solves two problems: 1) there could be other sources like depth data or futures 2) a data source may have gaps so we need to produce a regular time raster in the output file

Generate features

This script computes all derived features and labels defined programmatically:

• Script: python -m scripts.features -c config.json
• Currently it runs in non-incremental model by computing features for all available data (and not only for the latest update), and hence it may take hours for complex configurations
• The script loads merged input data, applies feature generation procedures and stores a feature matrix with all derived features in an output file.
• Not all generated features will be used for analysis.
• Feature functions get additional parameters like windows from the configuration file
• The same features must be used for on-line feature generation (in the service when they are generated for a micro-batch) and off-line feature generation.

The list of features to be generated is configured via feature_sets list in the configuration. Other feature parameters in config:

Example old parameters
"base_window": 1440,
"averaging_windows": [1, 5, 15, 60, 180, 720],
"area_windows": [60, 120, 180, 300, 720],

Example new parameters
"base_window": 40320,
"averaging_windows": [1, 60, 360, 1440, 4320, 10080],
"area_windows": [60, 360, 1440, 4320, 10080],

Generate labels

This script is similar to feature generation because it adds new columns to the input file. However, these columns describe something that we want to predict and what is not known in online model. For example, it could be price increase in future:

• Script: python -m scripts.labels -c config.json
• The script loads feature matrix, computes label columns and stores the result in output file. Features are normally not needed for label computations and they are stored unchanged in the output file
• Not all generated labels have to be used. It is necessary to choose those relevant for the analysis and trading parameters

The list of labels to be generated is configured via label_sets list in the configuration. An element of a label set points to the function which generates additional columns storing the label values like highlow.

Train prediction models

This script uses the specified input features and labels to train several ML models:

• Script: python -m scripts.train -c config.json
• Hyper-parameter tuning is not part of this procedure - they are supposed to be known
• The algorithm descriptions and hyper-parameters are specified in the model store
• The results are stored as multiple model files in the model folder. File names are equal to the predicted column names and have this pattern: (label_name, algorithm_name)
• This script trains models for all specified labels and all specified algorithms
• The script also generates prediction-metrics.txt file with the prediction scores for all models

Configuration:

• Models and hyper-parameters are described in model_store.py
• Features to be used for training are specified in train_features
• List of labels is specified in labels
• List of algorithms is specified in algorithms

Aggregation and post-processing

The goal of this step is to aggregate the prediction scores generated by different algorithms for different labels. The result is one score which is supposed to be consumed by the signal rules on the next step. The aggregation parameters are specified in the score_aggregation section. The buy_labels and sell_labels specify input prediction scores processed by the aggregation procedure. window is the number of previous steps used for rolling aggregation and combine is a way how two score types (buy and labels) are combined into one output score.

Signal generation

The score generated by the aggregation procedure is some number and the goal of signal rules is to make the trading decisions: buy, sell or do nothing. The parameters of the signal rules are described in the signal_model.

Train signal models

This script simulates trades using many buy-sell signal parameters and then chooses the best performing signal parameters:

• Script: python -m scripts.train_signals -c config.json

Prediction online based on trained models (service)

This script starts a service which periodically executes one and the same task: load latest data, generate features, make predictions, generate signals, notify subscribers:

• Start script: python -m service.server -c config.json
• The service assumes that the models were trained using the features specified in the configuration
• The service uses credentials to access the exchange which are specified in the configuration

Hyper-parameter tuning

There are two problems:

• How to choose best hyper-parameters for ML models. This problem is solved in the classical way, e.g., by grid search. For example, for Gradient Boosting, we train the model on the same data using different hyper-parameters and then select those showing the best score. This approach has one drawback - we optimize it for the best score which is not trading performance. This means that the trading performance is not guaranteed to be good (and in fact it will not be good). Therefore, we use this score as an intermediate feature with the goal to optimize trading performance on later stages.
• If we compute the final aggregated score (like +0.21), then the question is should we buy, sell or do nothing? In fact, it is the most difficult question. To help answer it, additional scripts were developed for backtesting and optimizing buy-sell signal generation:
  • Generate rolling predictions which simulates what we do by regularly re-training the models and using them for prediction: python -m scripts.predict_rolling -c config.json
  • Train signal models for choosing the best thresholds for sell-buy signals producing the best performance on historic data: python -m scripts.train_signals -c config.json

Configuration parameters

The configuration parameters are specified in two files:

• service.App.py in the config field of the App class
• -c config.jsom argument to the services and scripts. The values from this config file will overwrite those in the App.config when this file is loaded into a script or service

Here are some most important fields (in both App.py and config.json):

• data_folder - location of data files which are needed only for batch offline scripts
• symbol it is a trading pair like BTCUSDT
• Analyzer parameters. These mainly columns names.
  • labels List of column names which are treated as labels. If you define a new label used for training and then for prediction then you need to specify its name here
  • algorithms List of algorithm names used for training
  • train_features List of all column names used as input features for training and prediction.
• Signers:
  • buy_labels and sell_labels Lists of predicted columns used for signals
  • signal_model Parameters of the signaler (mainly some thresholds)
• trader is a section for trader parameters. Currently, not thoroughly tested.
• collector These parameter section is intended for data collection services. There are two types of data collection services: synchronous with regular requests to the data provider and asynchronous streaming service which subscribes to the data provider and gets notifications as soon as new data is available. They are working but not thoroughly tested and integrated into the main service. The current main usage pattern relies on manual batch data updates, feature generation and model training. One reason for having these data collection services is 1) to have faster updates 2) to have data not available in normal API like order book (there exist some features which use this data but they are not integrated into the main workflow).

See sample configuration files and comments in App.config for more details.

Signaler service

Every minute, the signaler performs the following steps to make a prediction about whether the price is likely to increase or decrease:

• Retrieve the latest data from the server and update the current data window which includes some history (the history length is defined by a configuration parameter)
• Compute derived features based on the nearest history collected (which now includes the latest data). The features to be computed are described in the configuration file and are exactly the same as used in batch mode during model training
• Apply several (previously trained) ML models by forecasting some future values (not necessarily prices) which are also treated as (more complex) derived features. We apply several forecasting models (currently, Gradient Boosting, Neural network, and Linear regression) to several target variables (labels)
• Aggregate the results of forecasting produced by different ML models and compute the final signal score which reflects the strength of the upward or downward trend. Here we use many previously computed scores as inputs and derive one output score. Currently, it is implemented as an aggregation procedure but it could be based on a dedicated ML model trained on previously collected scores and the target variable. Positive score means growth and negative score means fall
• Use the final score for notifications

Notes:

• The final result of the signaler is the score (between -1 and +1). The score should be used for further decisions about buying or selling by taking into account other parameters and data sources
• For the signaler service to work, trained models have to be available and stored in the "MODELS" folder. The models are trained in batch mode and the process is described in the corresponding section.

Starting the service: python3 -m service.server -c config.json

Trader

The trader is working but not thoroughly debugged, particularly, not tested for stability and reliability. Therefore, it should be considered a prototype with basic functionality. It is currently integrated with the Signaler but in a better design should be a separate service.

Related projects

• https://github.com/CryptoSignal/Crypto-Signal Github.com/CryptoSignal - #1 Quant Trading & Technical Analysis Bot
• https://github.com/smileinnovation/cryptocurrency-trading How to make profits in cryptocurrency trading with machine learning
• https://github.com/tensortrade-org/tensortrade
• https://github.com/jmrichardson/tuneta
• https://github.com/Superalgos/Superalgos
• https://github.com/areed1192/python-trading-robot

Backtesting

• https://github.com/mementum/backtrader
• https://github.com/kernc/backtesting.py

External integrations

• https://github.com/ccxt/ccxt A JavaScript / Python / PHP cryptocurrency trading API with support for more than 100 bitcoin/altcoin exchanges
• https://github.com/aiogram/aiogram Is a pretty simple and fully asynchronous framework for Telegram Bot API
• https://github.com/sammchardy/python-binance