Jesse
Jesse is an advanced crypto trading framework which aims to simplify researching and defining trading strategies.
Why Jesse?
In short, Jesse is more accurate than other solutions, and way more simple. In fact, it is so simple that in case you already know Python, you can get started today, in matter of minutes, instead of weeks and months.
Required Stack
Here is the required stack:
- Python >= 3.6
- pip >= 19.3.0
- PostgreSQL >= 10
- ta-lib >= 0.4
Most of them, if not all, are installed on your machine. We provide guides on how to install them for 3 major operating systems. We also provide a docker image which might be the fastest way to get started.
Example Backtest Results
Here's an example output for a backtest simulation just to get you excited:
CANDLES |
----------------------+--------------------------
period | 1792 days (4.91 years)
starting-ending date | 2016-01-01 => 2020-11-27
exchange | symbol | timeframe | strategy | DNA
------------+----------+-------------+------------------+-------
Bitfinex | BTC-USD | 6h | TrendFollowing05 |
Executing simulation... [####################################] 100%
Executed backtest simulation in: 135.85 seconds
METRICS |
---------------------------------+------------------------------------
Total Closed Trades | 221
Total Net Profit | 1,699,245.56 (1699.25%)
Starting => Finishing Balance | 100,000 => 1,799,245.56
Total Open Trades | 0
Open PL | 0
Total Paid Fees | 331,480.93
Max Drawdown | -22.42%
Annual Return | 80.09%
Expectancy | 7,688.89 (7.69%)
Avg Win | Avg Loss | 31,021.9 | 8,951.7
Ratio Avg Win / Avg Loss | 3.47
Percent Profitable | 42%
Longs | Shorts | 60% | 40%
Avg Holding Time | 3.0 days, 22.0 hours, 50.0 minutes
Winning Trades Avg Holding Time | 6.0 days, 14.0 hours, 9.0 minutes
Losing Trades Avg Holding Time | 2.0 days, 1.0 hour, 41.0 minutes
Sharpe Ratio | 1.88
Calmar Ratio | 3.57
Sortino Ratio | 3.51
Omega Ratio | 1.49
Winning Streak | 5
Losing Streak | 10
Largest Winning Trade | 205,575.89
Largest Losing Trade | -50,827.92
Total Winning Trades | 92
Total Losing Trades | 129
And here are generated charts:
