def-mycroft / pairs

A CLI for evaluating pairs trades
MIT License
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Create Market Scanner Tool #12

Open def-mycroft opened 3 years ago

def-mycroft commented 3 years ago

create functionality that scans a very large number of potential pairs, backtests a subset of them and returns pairs that have good backtesting scores.

there are a whole host of different potential problems with this and this is likely to be a really good way of showing that there is a huge difference between backtesting and actual trading, but regardless I think it could be useful.

finding a way to reduce the number of backtests might be key to making this possible. one way would be to create a correlation matrix of all candidate assets and only run backtesting on ones that meet a certain correlation level.

would need to evaluate whether or not all of this could be done in-memory or not, as well.

def-mycroft commented 3 years ago

related to #6

def-mycroft commented 3 years ago

6 might actually be a pre-req to this one, figuring out how to handle a very large number of backtests