Lucien EMA strategy

.github/workflows/strategy-test.yml

@@ -0,0 +1,50 @@
+name: Strategy Test
+
+on:
+  pull_request:
+    paths:
+      - 'src/strategies/**'
+      - '.github/workflows/strategy-test.yml'
+
+jobs:
+  test-strategy:
+    runs-on: ubuntu-latest
+
+    steps:
+    - uses: actions/checkout@v3
+
+    - name: Set up Python
+      uses: actions/setup-python@v4
+      with:
+        python-version: '3.12'
+
+    - name: Install uv
+      run: |
+        curl -LsSf https://astral.sh/uv/install.sh | sh
+        echo "$HOME/.cargo/bin" >> $GITHUB_PATH
+
+    - name: Install dependencies
+      run: |
+        uv sync
+
+    - name: Find changed strategy files
+      id: find-strategies
+      run: |
+        STRATEGIES=$(git diff --name-only ${{ github.event.pull_request.base.sha }} ${{ github.event.pull_request.head.sha }} | grep 'src/strategies/.*\.py$' || true)
+        echo "strategies<<EOF" >> $GITHUB_OUTPUT
+        echo "$STRATEGIES" >> $GITHUB_OUTPUT
+        echo "EOF" >> $GITHUB_OUTPUT
+
+    - name: Test strategies
+      if: steps.find-strategies.outputs.strategies != ''
+      run: |
+        for strategy in ${{ steps.find-strategies.outputs.strategies }}; do
+          echo "Testing $strategy..."
+          python scripts/test_strategy.py "$strategy"
+        done
+
+    - name: Update leaderboard
+      if: steps.find-strategies.outputs.strategies != ''
+      run: |
+        # TODO: Implement leaderboard update
+        echo "Leaderboard update not yet implemented" 

.gitignore

@@ -1,2 +1,11 @@
+.DS_store
 .venv
-.ipynb_checkpoints
+.ipynb_checkpoints
+__pycache__/
+**/__pycache__/
+*/*.pyc
+*/*.pyo
+*/*.pyd
+*/*.pyw
+*/*.pyz
+*/*.pywz

README.md

@@ -1,36 +1,122 @@
 # nstrade
+
 NS Learnathon - Trading for Bitcoin
 
-# install brew
-Go to `brew.sh`
+## Setup
+
+### Prerequisites
+
+1. **Install Homebrew**
+   - Visit [brew.sh](https://brew.sh)
+
+2. **Install uv**
+   ```bash
+   # On macOS
+   brew install uv
+   ```
+   > Note: `uv` is like `poetry` but better in every way. [Learn more](https://docs.astral.sh/uv/getting-started/installation/)
+
+3. **Fork and Clone**
+   ```bash
+   # Fork the repo at https://github.com/athon-millane/nstrade.git
+   git clone https://github.com/your-username/nstrade.git
+   ```
+
+4. **Python Setup**
+   ```bash
+   # Optional: Install Python 3.12 if needed
+   uv python install 3.12
+
+   # Initialize venv and install dependencies
+   uv sync
+   ```
+
+### Syncing with Upstream
+
+```bash
+# Add upstream remote
+git remote add upstream https://github.com/athon-millane/nstrade.git
+
+# Pull from upstream (either method)
+git pull upstream main
+
+# OR
+git fetch upstream
+git merge upstream main
+```
+
+## Creating a New Strategy
+
+1. **Copy the Template**
+   ```bash
+   cp strategies/template.py strategies/my_strategy.py
+   ```
+
+2. **Edit Your Strategy**
+   - Set your name, strategy name, and description
+   - Implement your strategy logic in `process_bar()` and `get_signal()`
+   - Optionally implement a vectorized version in `get_signals()`
+
+3. **Quick Test**
+   ```bash
+   python scripts/test_strategy.py strategies/my_strategy.py
+   ```
+   This will:
+   - Validate your strategy implementation
+   - Test on development period (2011-2024)
+   - Test on holdout period (2025)
+
+4. **Detailed Evaluation**
+   - Open `notebooks/evaluate.ipynb` in Jupyter
+   - Change the `strategy_path` to point to your strategy file
+   - Run all cells to see:
+     - Detailed performance metrics
+     - Interactive plots of price, volume, equity curve, drawdowns, and Sharpe ratio
+     - Buy/sell points overlaid on the price chart
+     - Trade-by-trade analysis
 
-# install uv
-If on mac
-`brew install uv`
+5. **Submit Your Strategy**
+   - Create a pull request
+   - Our CI will validate and backtest your strategy
+   - If successful, it will be added to the leaderboard
 
-Apparently `uv` is `poetry` but better in every way. To be seen.
+## Project Status
 
-[website here](https://docs.astral.sh/uv/getting-started/installation/)
+### Completed
+- [x] Speed up backtest (maybe vectorise, maybe parallelise)
+- [x] Set up a standardised flow for creating, contributing and backtesting new `Strategy`
+- [x] Capture user metadata in Strategy for leaderboard display
 
-# fork the repo
-Go to [https://github.com/athon-millane/nstrade.git](https://github.com/athon-millane/nstrade.git) and fork the repo
+### To Do
+- [ ] Set up CI/CD YAML file:
+  - Validate strategy backtestability
+  - Run backtests on our dataset
+  - Store results in leaderboard file
+  - Handle unique submissions (User + Strategy name)
+  - Define development/holdout sets:
+    - `development.csv`: Data up to end of 2024
+    - `holdout.csv`: All of 2025
+    - Strategies should only use `development.csv`
 
-# clone the repo
-`git clone https://github.com/your-username/nstrade.git`
+## Metrics
 
-# Optional: install python if you don't have version 3.12
-`uv python install 3.12`
+### Current Focus
+- Sharpe ratio as primary metric
+- Drawdown
+- Win rate
+- Number of trades
 
-# initialize venv and sync packages
-`uv sync`
+### Future Metrics
+- Sortino ratio
+- R² of equity curve (suggested by Barnabas)
 
-# Sync with changes to the upstream repo (the one at `athon-millane` repo)
-Add upstream
-`git remote add upstream https://github.com/athon-millane/nstrade.git`
+## Notes
 
-Pull from upstream
-`git pull upstream main`
+### Security
+- Current focus: Ensure test data isn't used in strategy development
+- More comprehensive security measures to be addressed later
 
-Pull via fetch / merge (if you know what that means)
-`git fetch upstream`
-`git merge upstream main`
+### Observations
+- SMA Crossover performance appears suspiciously good
+- Most bootstrapped strategies perform poorly without fees and slippage
+- Recommended: Include 0.3% fee+slippage per trade

notebooks/btc_hourly_cryptocompare.csv → data/btc_hour.csv

@@ -118057,4 +118057,4 @@ time,high,low,open,volumefrom,volumeto,close,conversionType,conversionSymbol
 2025-05-16 23:00:00+00:00,103718.44,103465.47,103551.32,312.4,32355068.37,103499.6,direct,
 2025-05-17 00:00:00+00:00,103569.6,103141.31,103499.6,488.11,50440671.96,103388.02,direct,
 2025-05-17 01:00:00+00:00,103388.09,102642.39,103388.02,669.72,68915256.62,102859.21,direct,
-2025-05-17 02:00:00+00:00,102872.81,102850.93,102859.21,1.836,188867.39,102850.93,direct,
+2025-05-17 02:00:00+00:00,103316.88,102779.28,102859.21,263.48,27152537.22,103307.02,direct,

data/leaderboard.json

@@ -0,0 +1,64 @@
+{
+    "strategies": [
+        {
+            "author_name": "Lucien",
+            "strategy_name": "SMA Crossover 1",
+            "description": "Goes long when the 32-period SMA crosses above the 140-period SMA, and exits when it crosses below.",
+            "last_updated": "2025-05-17T09:58:22.770193Z",
+            "development_metrics": {
+                "sharpe": 1.3255701716105417,
+                "total_return": 37176.1940346568,
+                "max_drawdown": 0.8976062164340162,
+                "n_trades": 505,
+                "win_rate": 0.39603960396039606
+            },
+            "holdout_metrics": {
+                "sharpe": -0.692657754272795,
+                "total_return": -0.11414418233992363,
+                "max_drawdown": 0.2941198645359705,
+                "n_trades": 19,
+                "win_rate": 0.21052631578947367
+            }
+        },
+        {
+            "author_name": "Example Author",
+            "strategy_name": "Example Strategy",
+            "description": "An example strategy",
+            "development_metrics": {
+                "sharpe": 0.0,
+                "total_return": 0.0,
+                "max_drawdown": 0.0,
+                "n_trades": 0,
+                "win_rate": 0.0
+            },
+            "holdout_metrics": {
+                "sharpe": 0.0,
+                "total_return": 0.0,
+                "max_drawdown": 0.0,
+                "n_trades": 0,
+                "win_rate": 0.0
+            },
+            "last_updated": "2024-01-01T00:00:00Z"
+        },
+        {
+            "author_name": "YOUR_NAME",
+            "strategy_name": "YOUR_STRATEGY_NAME",
+            "description": "DESCRIBE YOUR STRATEGY HERE",
+            "last_updated": "2025-05-17T08:23:59.481326Z",
+            "development_metrics": {
+                "sharpe": 0.0,
+                "total_return": 0.0,
+                "max_drawdown": 0.0,
+                "n_trades": 0,
+                "win_rate": 0.0
+            },
+            "holdout_metrics": {
+                "sharpe": 0.0,
+                "total_return": 0.0,
+                "max_drawdown": 0.0,
+                "n_trades": 0,
+                "win_rate": 0.0
+            }
+        }
+    ]
+}