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Financial Technical Analysis Library

oscillatorsetups is a financial technical analysis library, focused on determining the most profitable configurations for various technical oscillators, including but not limited to the Stochastic Oscillator, MACD, RSI, and others in development.

Modules:

  • oscillators: Dedicated to various financial technical analysis oscillators.
  • pnl_simulator: Simulates and analyzes profit and loss across a range of oscillator strategies.
  • utils: Utility functions for operations across the library.
  • exchange: Provides optional functionalities to interact with cryptocurrency exchange platforms.

Cryptocurrency OHLCV candlestick data was chosen due to its accessibility and cost-free API options, facilitating efficient testing and development. However, any other stock index or crypto pair candlestick data can also be used for analysis. While the library has the capability to fetch trading data from exchanges, this feature serves primarily as a supplementary tool to obtain necessary data for oscillator analysis, rather than a primary functionality.

For detailed descriptions, usage examples, and more, refer to the specific module documentation.

Example Usage:

Analyzing the most profitable Stochastic Oscillator configurations:

use oscillatorsetups::exchange::chart_data::klines::{Intervals, KlineParams};
use oscillatorsetups::pnl_simulator::stochastic::{PnlParams,PnlRange, Stochastic};

let stochastic = match Stochastic::new(
    "coinbase",  // or "coinbase"
    KlineParams {
        base_asset  : "ETH",
        quote_asset : "USD",
        interval    : Intervals::M15, // Refer to exchange api for correct intervals set values
        limit       : 1000,
        base_url    : None, // Defaults: binance is https://api.binance.us or coinbase is "https://api.exchange.coinbase.com"
        source      : Some("api"),
    }) {
    Ok(s) => s
        //.exchange_fee(0.00075)  // Default None
        .min_qty(0.0001)        // Default None
        .min_price(0.01),       // Default None
    Err(e) => {
        eprintln!("Failed to create Stochastic: {}", e);
        return;
    }
};

let top_profits = stochastic.top_net_profit(PnlRange {
    k_length: 5..=42,
    k_smoothing: 3..=42,
    d_length: 3..=42,
});
for (profit, params) in &*top_profits.lock().unwrap() {
    println!("Net profit: {}, Parameters: {:?}", profit.0, params);
}

/* Result
Net profit: 416.82, PnlParams { k_length:  7, k_smoothing: 41, d_length: 24 }
Net profit: 418.47, PnlParams { k_length: 11, k_smoothing: 40, d_length: 17 }
Net profit: 424.65, PnlParams { k_length:  8, k_smoothing: 41, d_length: 21 }
Net profit: 426.67, PnlParams { k_length:  8, k_smoothing: 41, d_length: 24 }
Net profit: 427.69, PnlParams { k_length: 23, k_smoothing:  8, d_length: 41 }
Net profit: 435.26, PnlParams { k_length:  8, k_smoothing: 40, d_length: 16 }
Net profit: 437.07, PnlParams { k_length:  6, k_smoothing: 42, d_length: 15 }
Net profit: 440.80, PnlParams { k_length:  8, k_smoothing: 41, d_length: 23 }
Net profit: 444.60, PnlParams { k_length:  8, k_smoothing: 40, d_length: 24 }
Net profit: 456.35, PnlParams { k_length: 42, k_smoothing:  3, d_length: 4 }
*/

let pnl = stochastic.pnl(PnlParams { k_length: 42, k_smoothing: 3, d_length: 4, });
println!("{:#?}",pnl);
/* Prints
PnL {
    net_profit: 456.35,
    gross_profit: 1143.09,
    gross_loss: -686.74,
    buy_and_hold_return: 102.81,
    profit_factor: 1.665,
    commission_paid: Some(191.792,),
    total_closed_trades: 94,
    num_winning_trades: 36,
    num_losing_trades: 58,
    percent_profitable: 38.3,
    avg_winning_trade: 31.75,
    avg_losing_trade: -11.84,
    ratio_avg_win_loss: 2.682,
    largest_winning_trade: 130.9,
    largest_losing_trade: -39.92,
    avg_ticks_in_winning_trades: 7.36,
    avg_ticks_in_losing_trades: 3.65,
}
*/

Common Issues and Solutions

Issue: Failed to create Stochastic: error decoding response body: invalid type: map, expected a sequence at line 1 column 0 Fix Suggestion: Check if the exchange supports the specified interval in: Fix Suggestion: Ensure that the exchange you are querying supports the specified interval. Check and modify the interval in the following configuration:

ⓘ
KlineParams {
    base_asset  : "ETH",
    quote_asset : "USDT",
    interval    : Intervals::M15, // Refer to the exchange API for the correct set of interval values.
    limit       : 1000,
    base_url    : None, // Defaults: Binance is "https://api.binance.us" and Coinbase is "https://api.exchange.coinbase.com"
    source      : Some("api"),
}

Disclaimer:

This library is intended to be a tool for technical analysis based on historical data. It does not offer any guarantee of future performance. Like all tools based on historical analysis, its results should be used responsibly and with caution:

  • Historical Analysis: The results and recommendations generated by this library are based on past market data. Past performance does not guarantee future results.

  • No Crystal-Gazer Predictions: While the algorithms used are based on tested financial theories and methods, there is no foolproof tool for predicting market movements. Financial markets can be influenced by a myriad of unpredictable factors.

  • Diversified Strategies: Relying on one strategy or tool alone is often not the ideal approach. It’s important to integrate the outputs of this library with other strategies, tools, and market insights.

  • Learning by Doing: Especially for those new to cryptocurrency trading or technical analysis, it’s advisable to start with small investments to understand the risks and dynamics of the markets.

Trading and investment decisions should be made based on thorough research and, if possible, with the advice of financial professionals.

Modules

  • exchange
    Exchange Module
  • oscillators
    Oscillators Module
  • pnl_simulator
    The pnl_simulator module provides functionality to simulate and analyze profit and loss based on various parameters and algorithms, specifically focusing on stochastic operations. The models module contains the necessary data structures to support the PnL simulations and stochastic operations.
  • utils