diff --git a/projects/forex_algo_trading.md b/projects/forex_algo_trading.md index b73d891..b6d45db 100644 --- a/projects/forex_algo_trading.md +++ b/projects/forex_algo_trading.md @@ -1,3 +1,108 @@ +# Algorithmic Trading Guide: From Data to Live Trading with EUR/USD + +## Introduction +This guide focuses on developing an algorithmic trading strategy for the EUR/USD currency pair using historical data from Oanda, backtesting with Backtrader, and model building with Scikit-learn. Aimed at traders looking to leverage machine learning in forex markets, it serves as a comprehensive template for strategy development and deployment. + +## 1. Data Acquisition from Oanda + +### 1.1 Setting Up Oanda API Access +- **Objective**: Secure API access for historical data retrieval. +- **Steps**: + - Register for an Oanda account and generate an API key. + - Install `oandapyV20`: `pip install oandapyV20`. + +### 1.2 Fetching Historical EUR/USD Data +- **Objective**: Download historical EUR/USD data suitable for ML analysis. +- **Steps**: + - Use `oandapyV20` to fetch historical price data. + - Decide on data granularity (e.g., H1 for hourly data) based on trading strategy needs. + +## 2. Data Preparation and Analysis + +### 2.1 Data Cleaning and Preprocessing +- **Objective**: Prepare the data for analysis and model training. +- **Steps**: + - Handle missing values, outliers, and duplicate entries. + - Normalize or standardize the data if necessary. + +### 2.2 Exploratory Data Analysis (EDA) +- **Objective**: Gain insights into the EUR/USD price movements and volatility. +- **Tools**: Use `pandas` for data manipulation and `matplotlib`/`seaborn` for visualization. +- **Steps**: + - Plot price movements over time. + - Calculate and visualize key statistics (mean, median, standard deviation). + +## 3. Feature Engineering + +### 3.1 Indicator Calculation +- **Objective**: Generate technical indicators to use as model features. +- **Indicators**: Calculate Bollinger Bands, RSI, and ATR. +- **Steps**: + - Utilize `pandas` for custom indicator calculation. + +### 3.2 Feature Selection +- **Objective**: Identify the most predictive features. +- **Tools**: Utilize Scikit-learn for feature selection techniques. +- **Steps**: + - Apply techniques like Recursive Feature Elimination (RFE) or feature importance from ensemble methods. + +## 4. Model Building and Training with Scikit-learn + +### 4.1 Model Selection +- **Objective**: Choose appropriate ML models for the trading strategy. +- **Models**: Consider Linear Regression for price prediction, Logistic Regression or SVM for trend classification. +- **Criteria**: + - Model complexity, interpretability, and performance. + +### 4.2 Training and Validation +- **Objective**: Train models and validate their performance. +- **Steps**: + - Split data into training and testing sets. + - Use cross-validation to assess model performance. + - Evaluate models using metrics like accuracy, precision, recall (for classification), and MSE or MAE (for regression). + +### 4.3 Hyperparameter Tuning +- **Objective**: Optimize model parameters for better performance. +- **Tools**: Use Scikit-learn's `GridSearchCV` or `RandomizedSearchCV`. +- **Steps**: + - Define parameter grids and run searches to find optimal settings. + +## 5. Strategy Backtesting with Backtrader + +### 5.1 Integrating Model Predictions +- **Objective**: Incorporate ML model predictions into trading strategy. +- **Steps**: + - Export the trained model and integrate it with Backtrader strategy logic. + +### 5.2 Backtesting Setup +- **Objective**: Simulate trading strategy performance on historical data. +- **Steps**: + - Configure Backtrader environment with data feeds, strategy, and initial capital. + - Execute backtests and analyze results using built-in analyzers. + +## 6. Going Live + +### 6.1 Preparing for Live Trading +- **Objective**: Transition strategy from backtesting to live trading. +- **Considerations**: + - Review regulatory compliance and risk management protocols. + - Ensure robustness of strategy through paper trading. + +### 6.2 Live Trading with Oanda +- **Objective**: Deploy the strategy for live trading on Oanda. +- **Steps**: + - Switch API access to a live trading account. + - Monitor strategy performance and make adjustments as needed. + +## Conclusion +Transitioning from data analysis to live trading encompasses data acquisition, EDA, feature engineering, model training, backtesting, and finally, deployment. This guide outlines a structured approach to developing and implementing an algorithmic trading strategy for the EUR/USD currency pair. + +## Appendix +- **A. Common Issues and Solutions**: Troubleshooting guide for common challenges in algorithmic trading. +- **B. Additional Resources**: Recommended reading and tools for further learning. + +--- + # Guide to Algorithmic Trading with a Focus on Live Trading ## Overview @@ -130,7 +235,7 @@ Live trading with an algorithmic strategy is an iterative process requiring cont * **R-squared:** Proportion of variance explained, but can be misleading for non-linear models. * **Consider additional metrics:** Sharpe ratio (risk-adjusted return), MAPE (percentage error). -**Example 2: Trend Classification (Upward/Downward)** +## **Example 2: Trend Classification (Upward/Downward)** * **Target variable:** Binary classification of price movement (e.g., next day). * **Candidate models:**