Algorithmic trading backtests

Full examples of algorithmic trading for Bitcoin using order book imbalances computed with a deeper level inspired by some articles on the internet(reference link as follows).
This example covers from the backtest to the trading bot implementation based on different kinds of order book imbalance strategies for BitMEX and Binance(working).

This strategies show a better risk reward ratio even though the Buy-and-Hold has a higher cumulative return.

You can see all previous optimized parameters in the notebook and commit history.

xbtusd-strategy-portfolio

xbtusd-normalization-market-making-backtest-hedge

xbtusd-weighted-depth-orderbook-price-simple-backtest-hedge

References

Gist

https://ieor.columbia.edu/files/seasdepts/industrial-engineering-operations-research/pdf-files/Borden_D_FESeminar_Sp10.pdf (page 5)
https://www.reddit.com/r/algotrading/comments/6q8dp6/market_making_theory_and_application_readings/
https://www.reddit.com/r/algotrading/comments/k4x9ft/we_all_know_moving_average_crossovers_are_crap/gec6xji https://www.reddit.com/r/algotrading/comments/ivi8sc/brief_guide_on_researching_strategies_and/

Etc

https://www.reddit.com/r/algotrading/comments/p8e5wl/any_orderbook_traders/
https://miltonfmr.com/how-to-develop-test-and-optimize-a-trading-strategy-complete-guide/
https://www.reddit.com/r/quant/comments/kmdnty/open_source_hft_market_maker_bot_for_crypto (Lehalle)
https://www.reddit.com/r/algotrading/comments/ljrexf/forward_testing_bitcoin_strategy_based_on/
https://towardsdatascience.com/price-impact-of-order-book-imbalance-in-cryptocurrency-markets-bf39695246f6
https://github.com/hello2all/gamma-ray

BitMEX

https://blog.bitmex.com/how-to-market-make-bitcoin-derivatives-lesson-2/
https://github.com/BitMEX/sample-market-maker

Data

Crypto

https://www.tardis.dev
https://www.kaiko.com

Futures Exchanges

http://db-ec.jpx.co.jp/category/C440/
https://www.hkex.com.hk/eng/ods/historicalData.aspx
https://datamine.cmegroup.com/#/datasets/cme.mbo

Vendors

https://www.algoseek.com
https://www.dxfeed.com
http://www.tickdatamarket.com