Trading Strategy Analysis using Vectorbt

This script performs a comprehensive analysis of different trading strategies using various technical indicators and optimizes the best entry and exit signals for trading the USD/TRY currency pair.

Requirements

Make sure to install the required libraries before running the script

pip install yfinance vectorbt ta pandas numpy

Overview

The script downloads historical data for the USD/TRY currency pair, calculates various technical indicators, and evaluates the performance of different trading strategies. It optimizes the strategies by testing different combinations of stop-loss and take-profit values.

Script Breakdown

1. Data Download

The script starts by downloading historical data for the USD/TRY currency pair using the yfinance library.

import yfinance as yf
import pandas as pd

symbol = 'USDTRY=X'
data = yf.download(symbol)
close = data['Close']

2.Moving Averages

The script calculates several moving averages (MA) with different window sizes.

3. Technical Indicators

Various technical indicators are calculated using the ta library:

• Relative Strength Index (RSI)
• Moving Average Convergence Divergence (MACD)
• Bollinger Bands
• Ichimoku Cloud
• Stochastic Oscillator
• Parabolic SAR

4. Entry and Exit Conditions

The script defines several entry and exit conditions based on the calculated technical indicators.

5. Strategy Optimization

The script tests different combinations of stop-loss and take-profit values to find the best performing strategy.

Conclusion

This script helps in identifying the best trading strategy for the USD/TRY currency pair by testing various technical indicators and optimizing stop-loss and take-profit values. The final output provides detailed statistics of the best performing strategy.