tqtensor / krypfolio

Krypfolio

A tunable crytocurrency index for you to experiment

Guide:

1. Run python data/vendor.py to download the market capitalization data.
2. There several settings that you can tune in the HODL algorithm to generate the weight of each coin in the porfolio.

• Alpha: the half-life factor in the calculation of exponential weighted moving average of the market capitalization.
• Number of coins in the porfolio.
• Cap (limit) of the weights in the porfolio, for example, if based on the market capitalization Bitcoin would have the weight of 26% but the cap was set at 8% then Bitcoin would hold only 8% of the whole portfolio.

Set the parameters in config.py and run it.

3. Run python execution\hyperopt.py to find the best stop-loss and rebalance cycle setting. It will also generate a Tear sheet for you based on the best settings.
4. Run python execution\backtest.py to view the details of each rebalance event.