Cryptocurrency_portfolio is a program that automatically parse quote data, builds portfolios and calculates related value indicator based on the virtual currency market.
Spyder_cta is developed with Python 3. You can use pip to install or upgrade packages below.
pip install pandas
pip install numpy
pip install statsmodels
pip install scipy
pip install matplotlib
pip install json
pip install requests
pip install bs4
pip install csv
- Get main.py, get_quo.py and cacu.py in the same path.
- Keep your network connected.
- Parameter initialization.
- Run main.py.
You can initialize spyder_cta in main.py.
# Set startdate
startdate = 20170101
# Set enddate
enddate = 20171231
# Set coin pool that you want to backtest
# Examples:
# coins = ['bitcoin','ethereum','ripple'] cryptocurrency you want to backtest or
# coins = CoinName()[:n] top n cryptocurrency of virtual currency market
coins=CoinNames()[:10]
Start 2016-12-31
End 2017-12-31
Risk-free rate 0.00%
Total Return 36367.17%
Daily Sharpe 3.85
Daily Sortino 6.21
CAGR 36514.81%
Max Drawdown -48.59%
Calmar Ratio 751.54
MTD 467.94%
3m 1522.14%
6m 1739.85%
YTD 36367.17%
1Y 36367.17%
3Y (ann.) 36514.81%
5Y (ann.) -
10Y (ann.) -
Since Incep. (ann.) 36514.81%
Daily Sharpe 3.85
Daily Sortino 6.21
Daily Mean (ann.) 483.41%
Daily Vol (ann.) 125.69%
Daily Skew 1.67
Daily Kurt 9.47
Best Day 51.45%
Worst Day -23.14%
Monthly Sharpe 2.36
Monthly Sortino 26.62
Monthly Mean (ann.) 1159.39%
Monthly Vol (ann.) 492.26%
Monthly Skew 1.90
Monthly Kurt 3.80
Best Month 467.94%
Worst Month -26.28%
Yearly Sharpe -
Yearly Sortino -
Yearly Mean 36367.17%
Yearly Vol -
Yearly Skew -
Yearly Kurt -
Best Year 36367.17%
Worst Year 36367.17%
Avg. Drawdown -11.02%
Avg. Drawdown Days 9.22
Avg. Up Month 132.68%
Avg. Down Month -11.59%
Win Year % 100.00%
Win 12m % 100.00%