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Backtesting Crypto

This course teaches how to build a backtesting framework using Python and C++ for high-performance backtesting and optimization of trading strategies. Students will learn to collect cryptocurrency market data through APIs, store it efficiently using HDF5 format, calculate technical indicators with Pandas, backtest strategies, link Python and C++ programs for heavy calculations, and optimize backtesting results with a genetic algorithm. The course is for traders who want to backtest strategies, crypto exchange users collecting data, and developers combining Python and C++.

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Awesome Treehouse
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© © All Rights Reserved
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
117 views

Backtesting Crypto

This course teaches how to build a backtesting framework using Python and C++ for high-performance backtesting and optimization of trading strategies. Students will learn to collect cryptocurrency market data through APIs, store it efficiently using HDF5 format, calculate technical indicators with Pandas, backtest strategies, link Python and C++ programs for heavy calculations, and optimize backtesting results with a genetic algorithm. The course is for traders who want to backtest strategies, crypto exchange users collecting data, and developers combining Python and C++.

Uploaded by

Awesome Treehouse
Copyright
© © All Rights Reserved
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
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MP4 | Video: h264, 1280x720 | Audio: AAC, 44.

1 KHz, 2 Ch
Genre: eLearning | Language: English + srt | Duration: 54 lectures (8h 15m) | Size:
2.26 GB

Use Python and the Power of C++ for High-Performance Backtesting and Optimization
of your Trading Strategies
What you'll learn:
Collect Data from Cryptocurrency Exchanges through their REST API
Store Data using the HDF5 format
Use the Pandas library to calculate Technical Indicators
Backtest various types of strategies and prepare to backtest your own
Link a Python and C++ Program
Use C++ to perform heavy calculations
Use Visual Studio Code and CMake to Create a C++ Library
Avoid common mistakes when backtesting
Optimize your backtesting results with a Genetic Algorithm
Implement the NSGA-2 Algorithm

Requirements
Basic Python knowledge (know what a class/object is, dictionaries, lists,
functions, loops, etc.)
Basic knowledge about trading (what candlesticks are, Long/Short...)

Description
Backtest your trading ideas before implementing them in real conditions!
Backtesting is an essential step when elaborating a trading strategy. This course
will explain how you can use programming to estimate the potential performance of
your strategy and avoid unpleasant surprises in live trading.
By the end of the course, you will be able to build your own backtesting framework
and comfortably use all its features.

Collect and store large amounts of market data


Before starting to backtest, you need to have a reliable system that collects,
stores and organizes the data. You will learn how to fetch data from any
cryptocurrency exchange (Binance, FTX...) and store candlestick data efficiently in
a powerful file format: HDF5. Many developers do not yet know about this file
format, so you will have the upper hand by learning it!

Get your coding skills to the next level with Python AND C++
Python serves as the ideal programming language for building the main features of
your backtesting system. You will also use the Pandas library to calculate
technical indicators from scratch and control the output of this calculation with
precision.
But that's not all: Do you want to perform backtesting on a large amount of data
with many complex operations? This requires a lot of computing power, and this is
where C++ coding can be incredibly useful. You will be surprised to discover that
C++ is not as scary as it may seem.

Have a scientific approach to your backtesting: use an optimization algorithm!


This course is ambitious, and it addresses real-world problems: you'll want to find
parameters for your strategy that will maximize its performance. To help you with
this task, you will learn how to write an optimization algorithm from the Genetic
Algorithm family: NSGA-2. When it comes to backtesting, this approach is unique,
and you won't find it anywhere else.

Most of the content of this course can be applied to traditional markets like the
stock market.

Disclaimer: This course is not investment advice. The trading strategies are
presented as examples.

Who this course is for


Traders who wish to backtest their strategies efficiently
Crypto exchange users who want to collect market data and store it
Developers who want to combine Python & C++
Anyone interested in multi-objective optimization with Genetic Algorithms

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