Pi Trader

(C) 2021 Mark M. Bailey, PhD

About

Pi Trader is a cryptocurrency trading bot for Raspberry Pi. This script instantiates a Raspberry Pi trading bot that interfaces with the Coinbase Pro API. First, it optimizes a trading strategy by backtesting against historic data from the Coinbase exchange. The strategy is based on buy/risk parameters defined as multiples of the Exponential Average True Range (eATR). OHLC data are refreshed each iteration, and a buy/sell signal is calculated and executed if appropriate. For buy signals, the maximum possible number of coins are purchased (with a user-specified fiat buffer preserved). For sell signals, all coins are exchanged for fiat. Strategy is re-optimized at user-defined intervals.

This is what I would consider to be a "dumb" trading strategy based solely on price deviations from an indicator. I am curious about exploring machine learning solutions for trading strategy optimization. Future iterations of this project may include that as an option.

Note that this is an experimental bot, and like all trading strategies, I can not guarantee that it will be profitable if implemented.

If anyone is interested in making this project better, I'd be happy to collaborate.

References

• Carr, Michael. "Measure Volatility With Average True Range," Investopedia, Nov 2019, Link: https://www.investopedia.com/articles/trading/08/average-true-range.asp#:~:text=The%20average%20true%20range%20%28ATR%29%20is%20an%20exponential,signals%2C%20while%20shorter%20timeframes%20will%20increase%20trading%20activity.
• Hall, Mary. "Enter Profitable Territory With Average True Range," Investopedia," Sep 2020, Link: https://www.investopedia.com/articles/trading/08/atr.asp.

Updates

• 2021-01-09: Initial commit.

Requirements

• Raspberry Pi running Debian.
• Configured WiFi adaptor or ethernet connection.
• Active Coinbase Pro account API with all access permissions enabled.
• Recommend installing on a fresh, fully-updated image of Debian.

Installation

• In terminal, navigate to folder and run git clone https://github.com/metalcorebear/Pi-Trader.git.
• Navigate to folder and execute sudo ./setup.sh to set up the virtual environment.
• Edit "parameters.py" file, as appropriate, with Coinbase API keys and other parameters (see below).

Parameters

API Key parameters for Coinbase Pro.

• key = Public Key (str)
• secret = Secret Key (str)
• passphrase = Passphrase (str)
  

Other bot parameters:

• API_KEY = parameters.API_KEY (dict)
• pair = trading pair id (str)
• granularity = interval time for each iteration in seconds (int)
• duration = time to run script in seconds (int)
• cash_buffer = fraction of total cash to keep in account at any given time (float)
• reframe_threshold = frequency of strategy reoptimization in hours (float)
• continuous - set to True if script should run indefinitely (bool)
• chandelier = use/don't use chandelier method for eATR calculation (bool)

Execution

• To execute, simply run ./run.sh