Backtest, forward tests and deploy trading algorithms and strategies on binance spot, futures and nft markets and other cryptocurrency exchanges, including arbitrage.
- Daily Close Prices
- Daily Logarithmic Returns, Mean Returns
- Tangency Portfolio with optimal weights
- Market Capitalisation
- Annualised Risk σ, Variance and Return
- Correlation Matrix and Covariance
- Systematic & Unsystematic Variance
- Sharpe, beta, CAPM, alpha
pip install atapi Run:
python -m atapiWelcome to the Algorithmic Trading API. Type help/? for commands.
𝔞𝔱𝔞𝔭𝔦
help
Documented commands (type help <topic>):
========================================
algorithmic_factory correlation marketcap_summary returns stats_mcap
assets_close covariance mean_returns servertime weights_cwi
bye help normalized stats weights_ewi
circulating_supply marketcap optimal_weights stats_index weights_pwi
𝔞𝔱𝔞𝔭𝔦
help stats
Return, risk, sharpe, variance, systematic variance,
unsystematic variance, beta, CAPM, alpha.
𝔞𝔱𝔞𝔭𝔦
returns
┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓
┃ Log Returns ┃
┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩
│ BTCUSDT ETHUSDT BNBUSDT XRPUSDT TRXUSDT LTCUSDT TP │
│ Date │
│ 2021-02-06 0.0231 -0.0252 0.0731 -0.0204 -0.0328 0.0033 0.0731 │
│ 2021-02-07 -0.0100 -0.0394 -0.0635 -0.0571 0.0253 -0.0314 -0.0635 │
│ 2021-02-08 0.1784 0.0825 0.1553 0.0748 0.1166 0.1040 0.1553 │
│ 2021-02-09 0.0010 0.0108 0.2961 0.0547 0.1311 0.0815 0.2961 │
│ 2021-02-10 -0.0354 -0.0162 0.1835 0.0570 0.0045 0.0004 0.1835 │
... ... ... ... ... ... ... ...
│ 2022-06-15 0.0200 0.0234 0.0464 0.0668 0.1254 0.0930 0.0464 │
│ 2022-06-16 -0.1016 -0.1469 -0.1056 -0.0926 -0.0620 -0.1232 -0.1056 │
│ 2022-06-17 0.0033 0.0171 0.0263 0.0246 0.0111 0.0611 0.0263 │
│ 2022-06-18 -0.0760 -0.0882 -0.0911 -0.0430 0.0166 -0.0089 -0.0911 │
│ 2022-06-19 -0.0455 -0.0516 -0.0325 -0.0240 -0.0116 -0.0411 -0.0325 │
└──────────────────────────────────────────────────────────────────────────┘
𝔞𝔱𝔞𝔭𝔦correlation
┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓
┃ Correlation Coefficient ┃
┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩
│ BTCUSDT ETHUSDT BNBUSDT XRPUSDT TRXUSDT LTCUSDT TP │
│ BTCUSDT 1.0000 0.8287 0.6883 0.6735 0.6770 0.7961 0.6883 │
│ ETHUSDT 0.8287 1.0000 0.7156 0.7074 0.6884 0.8253 0.7156 │
│ BNBUSDT 0.6883 0.7156 1.0000 0.6458 0.6091 0.7018 1.0000 │
│ XRPUSDT 0.6735 0.7074 0.6458 1.0000 0.7022 0.7758 0.6458 │
│ TRXUSDT 0.6770 0.6884 0.6091 0.7022 1.0000 0.7182 0.6091 │
│ LTCUSDT 0.7961 0.8253 0.7018 0.7758 0.7182 1.0000 0.7018 │
│ TP 0.6883 0.7156 1.0000 0.6458 0.6091 0.7018 1.0000 │
└──────────────────────────────────────────────────────────────────────┘
𝔞𝔱𝔞𝔭𝔦stats
┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓
┃ Modern Portfolio Theory ┃
┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩
│ Return Risk Sharpe Var SysVar UnsysVar beta CAPM alpha │
│ BTCUSDT -0.5474 0.7652 -0.7559 0.5855 0.6688 -0.0833 0.4148 0.3326 -0.8799 │
│ ETHUSDT -0.4380 0.9741 -0.4815 0.9488 0.8851 0.0637 0.5489 0.4301 -0.8680 │
│ BNBUSDT 0.7580 1.2698 0.5726 1.6124 1.6124 0.0000 1.0000 0.7580 0.0000 │
│ XRPUSDT -0.2999 1.2533 -0.2640 1.5707 1.0277 0.5429 0.6374 0.4944 -0.7943 │
│ TRXUSDT 0.3714 1.1682 0.2913 1.3647 0.9036 0.4611 0.5604 0.4384 -0.0671 │
│ LTCUSDT -0.9010 1.1213 -0.8311 1.2574 0.9993 0.2581 0.6198 0.4816 -1.3826 │
│ TP 0.7580 1.2698 0.5726 1.6124 1.6124 0.0000 1.0000 0.7580 0.0000 │
└───────────────────────────────────────────────────────────────────────────────┘
𝔞𝔱𝔞𝔭𝔦Run:
cd atapi
pip install .[dev]