suborts / crypto-market-analysis

Analysing market trends and signals through statistical and technical indicators

crypto-market-analysis

Analysing market trends and signals through statistical and technical indicators.

Algorithm for finding optimal PNL from historic market close data using local maxima and minima points.

Experimenting with varying maxima/ minima order.

main_optimal_trades_for_ohlc_data(df, subset_size=100, maxima_order=10, minima_order=5)

# >> Number of trades: 2, Total return: 23.5552265177704%
# >> Return / Trade ratio: 11.7776132588852 (Avg. return per trade)

main_optimal_trades_for_ohlc_data(df, subset_size=100, maxima_order=2, minima_order=2)

# >> Number of trades: 13, Total return: 35.012934865446056%
# >> Return / Trade ratio: 2.693302681957389 (Avg. return per trade)

Note: Minimal graph sizes for demonstration. Works equally well on large datasets.