HarryMakes' Backtesting -- A Beginner's Backtesting Program

This project aims to perform backtesting on Kraken. It implements multiple trend-following trading strategies:

• moving_avg: Moving Averages
• weinstein: Weinstein's Four Stage Analysis

moving_avg: Moving Averages

This is a trend-following trading strategy using 20-day and 50-day Simple Moving Averages (SMA) on Closing Price data.

Parameters

• short_period: The shorter period for calculating Simple Moving Average. Typically 20 days.
• long_period: The longer period for calculating Simple Moving Average. Typically 50 days.

Strategy

• Long Strategy

  • Golden Cross: When the 20-day SMA crosses above the 50-day SMA at time Tb1, signaling a potential uptrend.
  • Death Cross: When the 20-day SMA crosses below the 50-day SMA at Tb2, ending the trend.
  • Condition: The trend (Tb2 - Tb1) must last over 3 months to confirm strength.
  • Next Golden Cross: Must occur at Tb3, before Tb2 + (Tb2 - Tb1)/2, indicating an early trend reversal.
  • Price Confirmation: Post-Tb3, the price must reach or exceed the highest price between Tb1 and Tb2.
  • Action: Enter a Long position (buy) upon price confirmation.

• Short Strategy

  • Death Cross: When the 20-day SMA crosses below the 50-day SMA at Ts1, signaling a potential downtrend.
  • Golden Cross: When the 20-day SMA crosses above the 50-day SMA at Ts2, ending the trend.
  • Condition: The trend (Ts2 - Ts1) must last over 3 months.
  • Next Death Cross: Must occur at Ts3, before Ts2 + (Ts2 - Ts1)/2.
  • Price Confirmation: Post-Ts3, the price must fall to or below the lowest price between Ts1 and Ts2.
  • Action: Enter a Short position (sell) upon price confirmation.

Why It Works

The strategy filters noise by requiring a 3-month trend, confirms reversals with a mid-term cross, and validates trades with price breakouts, improving signal quality and capturing momentum in trending markets.

weinstein: Weinstein's Four Stage Analysis

[TBD]

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Licence

This project is to be licensed under GNU General Public License v3.0. See LICENSE.

This project incorporates part of following program(s):

• https://github.com/perlawk/zzindic \

  /*
    TTR: Technical Trading Rules
  
    Copyright (C) 2007-2013  Joshua M. Ulrich
  
    This program is free software: you can redistribute it and/or modify
    it under the terms of the GNU General Public License as published by
    the Free Software Foundation, either version 2 of the License, or
    (at your option) any later version.
  
    This program is distributed in the hope that it will be useful,
    but WITHOUT ANY WARRANTY; without even the implied warranty of
    MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
    GNU General Public License for more details.
  
    You should have received a copy of the GNU General Public License
    along with this program.  If not, see <http://www.gnu.org/licenses/>.
  */
  

• (Reference only) https://github.com/BatuhanUsluel/Algorithmic-Support-and-Resistance \

  MIT License
  
  Copyright (c) 2019 BatuhanU
  
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