larptrader

Algorithmic backtesting and live trading system; simple setup, config and out-of-the-box exchange support

This is a rudimentary example of one way to write a price action based algorithmic trading platform. So, let's say "educational purposes", perhaps will inspire someone to write their own or maybe submit a PR, fork, etc whatever.

Absolutely zero error checking or support (feel free to post a gh issue though!)

Have fun. Get rich, kid.

Features and Capabilities

• Backtesting, forward testing and live trading on BitMEX out-of-the-box
• Zero latency from the exchange
• No database required
• Almost zero configuration ( config.js requires a testnet API key to trade on BitMEX )
• Backtester calculates fees (optional), inverse contract PnL math, and sizes position by stop/risk.
• Simple architecture, easy to fork add your own ideas or pull in other types of data
• Can backtest a strategy using offline or historical data. And then continue running immediately so you can forward test it too.

Installation

git clone https://github.com/azidyn/larptrader.git
cd larptrader
npm install

Run the examples

Start with this one:

node example_live_minimal

Description of behaviour inside all the source file.

Scraping data

Some of the examples require offline data to be scraped first, to do this there is a script inside the /data folder, read the README.md file there, it's pretty easy and quick to use. Note: You may want to scrape and store data if you're running lots of backtests, instead of pulling live from the exchange each time. Otherwise Arthur will get you.

Indicators

Larptrader uses this great TA library: https://github.com/anandanand84/technicalindicators Examples on how to use the indicators are provided in example_live_indicators.js

Placing a backtest trade

    const Backtester    = require('./src/Backtester');
    const larp = new Backtester();

    // With a stop, sizing by percent risk
    larp.open( 'long', open_price, stop_price, account_risk_in_percent, timestamp );

    // Without a stop, using 100% account balance
    larp.open( 'long', open_price, null, 100, timestamp );

Show backtest results, very basic statistics

    console.log( larp.result );

Limitations / Suggested Improvements

• Only supports limited bar resolution as that is what BitMEX provides. So suggest an aggregation layer between the Live/Offline feeds and your script. Should be quite simple to implement 4H bars by aggregating the 1H feed.

• Add other exchange data feeds

• Expand the backtest statistics, calc drawdown etc.