Trading Strategy Schema

A trading strategy DSL and transpiler.

The weak-form of the Efficient Market Hypothesis is true. This is a toy project with no external utility.

DSL

A Zod schema is used to define the DSL.

Design	Philosophy
Everything is an expression	-
Expressions evaluate to an atomic type	Chaining functions together is trivial. Superior control flow 1.
number is the only atomic type	The C programming language
Uniform interface: {"function": ... }	Easy to parse. Easy to remember. Easy to read and to write. Eliminates the need to build an AST 1.
Abundant choice of trading indicators	Give users all the choices they care about! This doesn't interfere with the simplicity our DSL!

# install
npm install

# validate example strategy
npm run test

This simple strategy serves as an example template. Strategies can be as simple or complex as you like, mixing any number of instruments, candles/ticks, operations, indicators and custom functions!

{
  "name": "RSI + ATR WRB Buy",
  "author": "vader",
  "strategy": {
    "function": "ifthen",
    "if": {
      "function": "AND",
      "args": [
        {
          "function": ">",
          "args": [
            30,
            {
              "function": "RSI",
              "instrument": {
                "name": "R",
                "type": "equity",
                "ticker": "R"
              },
              "candletime": "1day",
              "period": 14
            }
          ]
        },
        {
          "function": ">",
          "args": [
            {
              "function": "-",
              "args": [
                {
                  "function": "Get Candle",
                  "instrument": {
                    "name": "R",
                    "type": "equity",
                    "ticker": "R"
                  },
                  "candletime": "1day",
                  "index": 0,
                  "key": "high"
                },
                {
                  "function": "Get Candle",
                  "instrument": {
                    "name": "R",
                    "type": "equity",
                    "ticker": "R"
                  },
                  "candletime": "1day",
                  "index": 0,
                  "key": "low"
                }
              ]
            },
            {
              "function": "ATR",
              "instrument": {
                "name": "R",
                "type": "equity",
                "ticker": "R"
              },
              "candletime": "1day",
              "period": 14
            }
          ]
        }
      ]
    },
    "then": [
      {
        "function": "Place Market Order",
        "exchange": "NSE",
        "instrument": {
          "name": "R",
          "type": "equity",
          "ticker": "R"
        },
        "quantity": 12
      },
      {
        "function": "Place Market Order",
        "exchange": "NSE",
        "instrument": {
          "name": "R2",
          "type": "equity",
          "ticker": "R2"
        },
        "quantity": 3
      }
    ]
  }
}

Transpiler (JSON to Python)

A transpiler to convert a trading strategy to a Strategy Python class, compatible with backtrader.

# install
python3 -m venv my-venv
pip install -r requirements.txt

# run
python3 transpiler/transpiler.py