dorkden / lettrade

A simple lightweight trading framework compatible with Stock, Forex, Crypto... markets

LetTrade

A lightweight trading framework compatible with Stock, Forex, Crypto... markets

Find more at Documentation

Installation

Warning

LetTrade is under heavy construction, features and functions may be changed.

Using Developing version to get latest update.

Stable version

pip install lettrade[all]

Developing version

pip install 'lettrade[all] @ git+https://[email protected]/AwesomeTrading/LetTrade.git@main'

Example

from lettrade.all import DataFeed, ForexBackTestAccount, Strategy, let_backtest


class SmaCross(Strategy):
    ema1_window = 9
    ema2_window = 21

    def indicators(self, df: DataFeed):
        df.i.ema(name="ema1", window=self.ema1_window, inplace=True, plot=True)
        df.i.ema(name="ema2", window=self.ema2_window, inplace=True, plot=True)

        df.i.crossover("ema1", "ema2", inplace=True, plot=True)
        df.i.crossunder("ema1", "ema2", inplace=True, plot=True)

    def next(self, df: DataFeed):
        if df.l.crossover[-1] >= 100:
            self.positions_exit()
            self.buy(size=0.1)
        elif df.l.crossunder[-1] <= -100:
            self.positions_exit()
            self.sell(size=0.1)


if __name__ == "__main__":
    lt = let_backtest(
        strategy=SmaCross,
        datas="example/data/data/EURUSD_5m-0_1000.csv",
        account=ForexBackTestAccount,
    )

    lt.run()
    lt.plot()

# Strategy                <class '__main__.SmaCross'>
Start                       2024-05-13 21:15:00+00:00
End                         2024-05-17 08:30:00+00:00
Duration                              3 days 11:15:00
Start Balance                                 10000.0
Equity [$]                                   10003.16
Equity Peak [$]                              10013.54
PL [$]                                           3.16
PL [%]                                           0.03
Buy & Hold PL [%]                                0.63
Max. Drawdown [%]                                -0.5
Avg. Drawdown [%]                               -0.15
Max. Drawdown Duration                1 days 16:15:00
Avg. Drawdown Duration                0 days 12:30:00
                                                     
# Positions                                        34
Win Rate [%]                                     0.38
Fee [$]                                         -1.34
Best Trade [%]                                  29.36
Worst Trade [%]                                -18.14
SQN                                              0.07
Kelly Criterion                               0.01392
Profit Factor                                1.037781

Start a strategy

More examples can be found in example/

Download data

python -m example.data.yfinance

Backtest strategy

python -m example.strategy.backtest_sma_cross

Live Trading

Official

• MetaTrader: Support MetaTrader 5 Terminal trading
• CCXT: [WIP] Support most of cryptocurrency exchange from CCXT library

Development

Set up conda environment

conda create -y -n LetTrade python=3.12
conda activate LetTrade
pip install -r requirements-dev.txt