Trading Bot

Install

Dependencies

Install these programs:

• Node 8+: https://nodejs.org/
• PostgreSQL 10+: https://www.postgresql.org/
• Python 3.6 amd64: https://www.python.org/

and Tensorflow dependencies (check exact versions: https://www.tensorflow.org/install/install_windows):

• Nvidia Cuda 9.0: https://developer.nvidia.com/cuda-toolkit-archive
• Nvidia CuDNN v7 for Cuda 9.0: https://developer.nvidia.com/rdp/cudnn-download & https://docs.nvidia.com/deeplearning/sdk/cudnn-install/index.html

Install python dependencies:

pip install pandas numpy matplotlib keras sklearn tensorflow-gpu h5py

Install node dependencies:

yarn install

Database

Create user and database:

CREATE DATABASE smartbot;
CREATE USER smartbot WITH PASSWORD 'smartbot';
GRANT ALL PRIVILEGES ON DATABASE smartbot TO smartbot;

The schema of database is created/updated automatically by TypeORM.

Configuration

Check src/settings.ts for configuration.

Create .env file with API keys of exchanges configured in src/settings.ts.

Usage

Train Genetic Bot:

yarn genetic-train

Backtest Genetic Bot:

yarn genetic-backtest

Run (live) Genetic Bot:

yarn genetic-live

Bot

Goal

Learn to detect risk free increases in price.

Behaviour

Buy $tradeAmount when confidence > $minConfidenceToBuy. Sell when we meet the goal, and confidence < $maxConfidenceToSell

Inputs

1 neuron / indicator / pair / period:

• Pairs
  • ETHEUR
  • BTCEUR
• Indicators
  • high
  • low
  • number of trades
  • volume
• Period:
  • 5 min
  • 15 min
  • 30 min
  • 1h
  • 2h
  • 3h
  • 6h
  • 12h
  • 1 day
  • 2 days
  • 3 days

Outputs

• confidence [0, 1] of a $goalMove % increase during the next $goalPeriod

Paramètres

• $amount = balance _ 0.1 _ confidence
• $minConfidenceToBuy = 0.7
• $maxConfidenceToSell = 0.7
• $goalMove = 10%
• $goalPeriod = 60 * 24 minutes

SQL Queries

Find duplicates

select date, count(date) as nb from candlestick where currency2 = 'EOS' group by date having (count(date) > 1);

Find missing candlesticks

select c.currency2, c.date from candlestick c left join candlestick c2 on c2.date = c.date and c2.currency1 = c.currency1 and c2.currency2 != c.currency2 where c2 is null;

Successful testing params

Test 1

Training

• Pair: USD-BTC
• Period: 2017-01-01 - 2017-11-01
• Candlesticks: 30min
• Goal Period: 3
• Goal Move: 4.4

Testing

• Initial Balance: 1000 USD, 0 BTC
• Buy threshold: 0.89
• Stoploss after goal period

Test 2

Crash resistant: tested on 2017-12-18 on 2018-02-06 Consistant return of 12% / month

Training

• Pair: USD-BTC
• Period: 2017-06-01 - 2018-01-01
• Candlesticks: 30min
• Goal Period: 3
• Goal Move: 3

Testing

• Initial Balance: 1000 USD, 0 BTC
• Buy threshold: 0.89
• Amount traded depends on guess
• Goal rate depends on guess
• No Stoploss

Todo

• Remove useless Learning Rate
• Remove Candlesticks column
• Remove learning rate