truongthanh96 / binance_correlation_script

calculate correlation matrices for crypto coins in binance exchange

About these scripts

These scripts were created in order to support the selection of coin trading lists for use with automated trading strategies. Specifically, this one https://github.com/edeng23/binance-trade-bot

How to use

Install requirements with

python install -r requirements.txt

The scripts are python notebooks, whilst they use python 3, you will need jupyter notebook (or something that reads notebook docs) to access it. https://jupyter.org/

Automatic Correlated Coin List - auto_coin_list.ipynb

WARNING - This can take some time to run as it downloads a lot of data from binance servers

An automatic coin list generator that will scout binance for the most correlated trading pairs to a single starting coin. It will

1. Provide an automatic list for running a reverse greedy trading algorithm
2. Plot a volatility histogram
3. Plot correlation heat maps over different periods
4. calculate trade volume in USD and warn against coins at high risk of slippage

binance_correlation_script

A jupyter notebook that calculates correlation matrices for crypto coins in binance exchange

This script will require a binance API key to run and will do the following

1. Download binance coin data from coinlist

2. Produce correlation matrix for

      Raw Coin value (1 minute intervals)

      Detrended coin value (first difference)

      Detrended coin value (rolling mean)

      rolling mean itself

coded in Python 3.7