Module strategies

Strategy Implementations for Hyperliquid Backtesting

This module provides enhanced trading strategies specifically designed for Hyperliquid perpetual futures trading, including funding rate awareness and advanced signal processing.

Key Features

• Funding-Aware Strategies: Strategies that incorporate funding rate data into decision making
• Enhanced Technical Indicators: Traditional indicators enhanced with perpetual futures mechanics
• Signal Strength Classification: Multi-level signal strength for better risk management
• Configurable Parameters: Flexible configuration for different market conditions
• Strategy Composition: Combine multiple strategies for sophisticated trading logic

Available Strategies

1. Funding Arbitrage Strategy

Exploits funding rate inefficiencies by taking positions when funding rates exceed thresholds.

use hyperliquid_backtest::prelude::*;

#[tokio::main]
async fn main() -> Result<(), HyperliquidBacktestError> {
    let data = HyperliquidData::fetch("BTC", "1h", start_time, end_time).await?;
     
    // Create funding arbitrage strategy with 0.01% threshold
    let strategy = funding_arbitrage_strategy(0.0001)?;
     
    let mut backtest = HyperliquidBacktest::new(
        data,
        strategy,
        10000.0,
        HyperliquidCommission::default(),
    )?;
     
    backtest.calculate_with_funding()?;
    let report = backtest.funding_report()?;
     
    println!("Funding arbitrage return: {:.2}%", report.net_funding_pnl / 10000.0 * 100.0);
     
    Ok(())
}

2. Enhanced SMA Cross Strategy

Traditional SMA crossover enhanced with funding rate considerations.

use hyperliquid_backtest::prelude::*;

let funding_config = FundingAwareConfig {
    funding_threshold: 0.0001,  // 0.01% threshold
    funding_weight: 0.3,        // 30% weight to funding signal
    use_funding_direction: true,
    use_funding_prediction: false,
};

let strategy = enhanced_sma_cross(10, 20, funding_config)?;

Strategy Configuration

Funding Awareness Configuration

use hyperliquid_backtest::prelude::*;

let config = FundingAwareConfig {
    funding_threshold: 0.0001,      // Minimum funding rate to consider (0.01%)
    funding_weight: 0.5,            // Weight of funding signal (0.0 to 1.0)
    use_funding_direction: true,    // Consider funding rate direction
    use_funding_prediction: true,   // Use funding rate predictions
};

Signal Strength Levels

• Strong: High confidence signals (>80% historical accuracy)
• Medium: Moderate confidence signals (60-80% historical accuracy)
• Weak: Low confidence signals (<60% historical accuracy)

Custom Strategy Development

Implementing HyperliquidStrategy Trait

use hyperliquid_backtest::prelude::*;

struct MyCustomStrategy {
    funding_config: FundingAwareConfig,
    // ... other fields
}

impl HyperliquidStrategy for MyCustomStrategy {
    fn funding_config(&self) -> &FundingAwareConfig {
        &self.funding_config
    }
     
    fn set_funding_config(&mut self, config: FundingAwareConfig) {
        self.funding_config = config;
    }
     
    fn process_funding(&self, funding_rate: f64) -> TradingSignal {
        // Custom funding processing logic
        if funding_rate.abs() > self.funding_config.funding_threshold {
            TradingSignal::new(
                if funding_rate > 0.0 { 1.0 } else { -1.0 },
                SignalStrength::Strong
            )
        } else {
            TradingSignal::new(0.0, SignalStrength::Weak)
        }
    }
     
    fn combine_signals(&self, base_signal: f64, funding_signal: &TradingSignal) -> f64 {
        // Custom signal combination logic
        let funding_weight = match funding_signal.strength {
            SignalStrength::Strong => self.funding_config.funding_weight,
            SignalStrength::Medium => self.funding_config.funding_weight * 0.7,
            SignalStrength::Weak => self.funding_config.funding_weight * 0.3,
        };
         
        base_signal * (1.0 - funding_weight) + funding_signal.position * funding_weight
    }
}

Structs

EnhancedSmaStrategy

Enhanced SMA cross strategy with funding awareness

FundingArbitrageStrategy

Funding arbitrage strategy implementation

FundingAwareConfig

Configuration for funding-aware strategies

TradingSignal

Trading signal with position size and strength

Enums

SignalStrength

Signal strength for trading decisions

Traits

HyperliquidStrategy

Trait for Hyperliquid-specific strategies

Functions

enhanced_sma_cross

Create an enhanced SMA cross strategy with funding awareness

funding_arbitrage_strategy

Create a funding arbitrage strategy