1. Routes - Algo trading from scratch with Python — Transcript

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1. 0:02in this video i will explain what
2. 0:04justice routes are and then i'll show
3. 0:05you different examples of how to use
4. 0:07them
5. 0:12a route is used to tell jesse where to
6. 0:14trade what to trade in which time frame
7. 0:17and using which strategy i'll show you a
8. 0:19basic example in a second and then i'll
9. 0:22show you how to go further by using
10. 0:23multiple symbols and time frames inside
11. 0:25the same strategy let's get started i
12. 0:28will dive into strategy development in
13. 0:30one of the upcoming videos but in this
14. 0:32one i still need a simple strategy to
15. 0:34show you how to use routes so i'm gonna
16. 0:36start by writing a golden cross strategy
17. 0:38which is like the hello world of algo
18. 0:40trading i don't want to do short selling
19. 0:43here so i'll just remove the shoot short
20. 0:45and go short methods i'll begin by
21. 0:47defining two moving averages whenever
22. 0:49the one with the shorter period crosses
23. 0:51the longer one we open a long position
24. 0:54the period for the short ema is going to
25. 0:56be 21 and for the longer one
26. 1:00i'll use
27. 1:0150
28. 1:02and to define the cross i'll say return
29. 1:05true whenever the short ema is bigger
30. 1:08than
31. 1:09the long ema
32. 1:10since i'll be using a market order for
33. 1:13entering my trades the value of should
34. 1:16cancel entry doesn't really matter but
35. 1:17i'll return true just because it's good
36. 1:19practice
37. 1:20as for my entry order i want to use all
38. 1:23the existing balance in my account and
39. 1:26for the entry price i want to use the
40. 1:28current price in other words i want to
41. 1:30use a market order so i'll say quantity
42. 1:33equals
43. 1:35utils dot size to quantity
44. 1:39first parameter is going to be my
45. 1:41current balance
46. 1:43the second one will be the entry price
47. 1:45actually let's define the entry price as
48. 1:47a separate variable and use it here
49. 1:51now i can define the buy order by saying
50. 1:54self dot by equals
51. 1:57quantity
52. 1:58comma
53. 2:00enter price
54. 2:01as for exiting my positions i want to do
55. 2:03it whenever the opposite of my intrude
56. 2:05rule happens
57. 2:07first i'll define the object position
58. 2:09method
59. 2:11then i will copy the code for my moving
60. 2:14averages paste it here
61. 2:16and
62. 2:17i'll say if the short ema is smaller
63. 2:20than the long ema liquidate my position
64. 2:23all right now i have a basic strategy
65. 2:26let's say i want to backtest this
66. 2:28strategy on binance spot
67. 2:31and the symbol of btc usdt
68. 2:34using the 15 minutes time frame
69. 2:37and the strategy is is going to be the
70. 2:39example of strategy which is what we
71. 2:40just defined now let's head to the back
72. 2:42testing page and see how we can define
73. 2:45the route for it inside the route
74. 2:47section you will always find at least
75. 2:49one existing route that's because it is
76. 2:51the minimum requirement so i can just
77. 2:53modify the existing one for the exchange
78. 2:55i will choose binance spot
79. 2:58the symbol is already btc uct but even
80. 3:01if it wasn't i could enter it here
81. 3:04and the time frame will be 15 minutes
82. 3:07and the strategy is already selected
83. 3:10because there's only one strategy in my
84. 3:12current directory and that's a basic
85. 3:14route now i could just sort the back
86. 3:16test by selecting the duration first
87. 3:19and pressing the start button
88. 3:26you can also trade multiple symbols at
89. 3:29the same time whether with the same
90. 3:31strategy or different ones for example
91. 3:34let's say i want to trade the same
92. 3:35strategy for both btc usdt and eth usct
93. 3:40i already have the first route for btc
94. 3:43now i have to create another trading
95. 3:45route
96. 3:46for eth usdt
97. 3:49the time frame could be anything but i
98. 3:50still want the 15 minutes and the
99. 3:52strategy could also be anything but in
100. 3:55this case i only have one strategy and
101. 3:57it should work fine for both of them
102. 4:00instead of adding a new trading route i
103. 4:02could just duplicate the existing one
104. 4:04and change the symbol so let's delete
105. 4:06this one
106. 4:08and this time
107. 4:10i'll duplicate the existing one and
108. 4:12enter the symbol to be eth usct and now
109. 4:16the time frame exchange and strategy are
110. 4:18all the same as the first route
111. 4:25one of the cool features of jesse is
112. 4:26that you're not limited to using one
113. 4:28time frame only you can use multiple of
114. 4:30them and you don't even have to worry
115. 4:32about look-ahead bias either this is the
116. 4:35chart of btc usdt on the 15-minutes time
117. 4:38frame which is what we were trading on i
118. 4:40also added the indicators that we had
119. 4:42inside our strategy which are the emas
120. 4:45with the periods of 21 and 50. our entry
121. 4:48rule was to open a long position
122. 4:50whenever the short ema crosses the long
123. 4:52ema in other words whenever the blue
124. 4:54line goes above the green line in some
125. 4:57cases like in this one we're going to
126. 4:58face false breakouts the blue line is
127. 5:01above the green line but is so fresh
128. 5:03that it probably wasn't a good idea to
129. 5:05open a position just yet a simple way
130. 5:07for filtering out these subs of false
131. 5:10breakouts is by simply using a bigger
132. 5:12time frame for determining the bigger
133. 5:14trend of the market the right chart is
134. 5:16the bitcoin price in the hourly time
135. 5:18frame and the left one is the one with
136. 5:20the 15 minutes which is what we were
137. 5:22trading on as you can see here even
138. 5:24though the crossover happened on the 15
139. 5:26minutes time frame the right chart which
140. 5:28is the hourly time frame is not showing
141. 5:30an uptrend so if we could use the hourly
142. 5:32time frame as some kind of filtering
143. 5:34indicator this would not have happened
144. 5:37so we can say we have a short term and a
145. 5:39long term trend so i'll define a new
146. 5:42property called
147. 5:44short trend
148. 5:45and i'll copy and paste from what we had
149. 5:47earlier except that now instead of
150. 5:50returning true i will return
151. 5:52one for an uptrend
152. 5:55and
153. 5:56minus one for any other situation and
154. 5:58i'll modify what we had before to use
155. 6:01this new property
156. 6:04and also use it for exiting trades all
157. 6:07right now that we have the trend for the
158. 6:08left chart which is the 15 minutes time
159. 6:11frame i need to define the code for the
160. 6:13hourly time frame which is the right
161. 6:15chart
162. 6:16i'm gonna copy the short trend
163. 6:19paste it here
164. 6:21and rename it into
165. 6:23long trend
166. 6:24the difference is of course about the
167. 6:26candles before i was passing them by
168. 6:28using the self.candles property which
169. 6:31gives me the candles for the current
170. 6:33trading time frame which in our case is
171. 6:3515 minutes to get them for the hourly
172. 6:37time frame i need to specifically ask
173. 6:40for them to do that i'll be using the
174. 6:42get candles method the first parameter
175. 6:44is the exchange which i will pass in the
176. 6:46current exchange as for symbol i will
177. 6:49pass in the current trading symbol which
178. 6:51is btc usdt
179. 6:54and as for the time frame instead of
180. 6:56passing it as self.timeframe which gives
181. 6:59me the current trading timeframe i will
182. 7:01specifically ask for the hourly time
183. 7:03frame and then i will repeat this for
184. 7:06the long ema as well
185. 7:08and we should be good so once again the
186. 7:10only difference between long trend and
187. 7:13short trend is the candles for the short
188. 7:15trend i'm using self.candles which gives
189. 7:18me candles for the current trading time
190. 7:20frame and symbol which in this case is
191. 7:2215 minutes and btc uct and for the long
192. 7:25trend i'm using get candles which allows
193. 7:27me to specifically ask for a certain
194. 7:29time frame and symbol in this case i'm
195. 7:31asking for the hourly time frame now
196. 7:33that i have this new indicator ready i
197. 7:35can use it inside my interview rule so
198. 7:37inside my shoot long method i'm gonna
199. 7:39add and
200. 7:41self.long trend
201. 7:43equals one all right let's run another
202. 7:45back test and this time i should get an
203. 7:47error saying that the below route is
204. 7:49missing from my routes that's because
205. 7:51even though we are using the hourly time
206. 7:53frame inside our strategy we didn't tell
207. 7:56jesse about it to do that i'll have to
208. 7:58add an extra route which is identical to
209. 8:01a trading route with only one difference
210. 8:03it doesn't accept any strategy for our
211. 8:05case i have to choose the same exchange
212. 8:08which is binance spot
213. 8:10and the symbol will again be btc usdt
214. 8:13but the time frame has to be the hourly
215. 8:16time frame and again there is no
216. 8:18strategy for an extra route
217. 8:20now if i run the back test again this
218. 8:22time it should go through
219. 8:29let's say we were to backtest our
220. 8:31strategy for each usdt instead of btc in
221. 8:34this case looking at the chart of
222. 8:36ethereum alone is probably not the best
223. 8:38idea it is a known fact that the btc
224. 8:40price moves the whole crypto market so
225. 8:42it's probably a good idea to use this
226. 8:44data as some kind of confirmation before
227. 8:46entering trades
228. 8:48i'm gonna copy the code for short trend
229. 8:51paste set and rename it into
230. 8:55btc short trend
231. 8:58and just like before i have to replace
232. 9:00self.handles with self.getcandles
233. 9:04which allows me to specifically pass in
234. 9:06the exchange the symbol which in this
235. 9:09case
236. 9:10instead of passing self.symbol i will
237. 9:12pass in
238. 9:13btc usdt
239. 9:16and then the time frame which in this
240. 9:18case i want it to be my trading time
241. 9:20frame so i just pass it by self.time
242. 9:22frame and i'll do the same for this
243. 9:25variable
244. 9:27and inside the shoot long method i will
245. 9:29add and self.btc short trend equals one
246. 9:35and if i run the back this again i
247. 9:37should get an error saying that
248. 9:39the route for btc usdt is missing that's
249. 9:43because i've only told you see about the
250. 9:45routes for each usdt so now i have to
251. 9:48define a new one for btc usat that is
252. 9:51going to be an extra route
253. 9:53with the time frame of 15 minutes which
254. 9:56is my trading timeframe and the symbol
255. 9:59will be btc usdt now if i run it again
256. 10:03it should work
257. 10:05alright that's it in the next video
258. 10:06we're gonna talk about how to import
259. 10:08candles and explain the concept of
260. 10:10warm-up candles in jesse
261. 10:17[Music]