Strategy types#

tradeexecutor supports different strategy types.

  • Pandas numeric analysis based strategies

  • QSTrader inspired (deprecated)

“Pandas trader” - Internal strategy type#

The internal strategy type is called “Pandas strategy type” and based on tradeexecutor.strategy.pandas_trader module.

The core features of this strategy type are

  • The name comes from the fact that the strategy operates on Python Pandas library data format for candles and liquidity

  • Receiving Trading universe as tradingstrategy client data: exchange, pairs, candles and liquidity

  • Strategies are self-contained Python modules

  • The same strategy definition can be used for backtesting and live trading

  • Strategy module contains two core functions: decide_trades and create_trading_universe


See tradeexecutor.strategy.strategy_module.DecideTradesProtocol

Example decide_trades function:

def decide_trades(
        timestamp: pd.Timestamp,
        universe: Universe,
        state: State,
        pricing_model: PricingModel,
        cycle_debug_data: Dict) -> List[TradeExecution]:

    assert timestamp.minute == 0
    assert timestamp.second == 0
    assert timestamp.hour == 0

    # Create a position manager helper class that allows us easily to create
    # opening/closing trades for different positions
    position_manager = PositionManager(timestamp, universe, state, pricing_model)

    pair = universe.pairs.get_single()

    cash = state.portfolio.get_current_cash()

    # 30 days EMA
    candles: pd.DataFrame = universe.candles.get_single_pair_data(sample_count=30)
    close = candles["close"]

    slow_ema = close.ewm(span=30).mean().iloc[-1]
    fast_ema = close.ewm(span=10).mean().iloc[-1]

    day_number = timestamp.to_pydatetime().timetuple().tm_yday

    trades = []

    if day_number % 2 == 0:
        # buy on even days
        if not position_manager.is_any_open():
            buy_amount = cash * position_size
            trades += position_manager.open_1x_long(pair, buy_amount)
        # sell on odd days
        if position_manager.is_any_open():
            trades += position_manager.close_all()

    visualisation = state.visualisation
    visualisation.plot_indicator(timestamp, "Slow EMA", PlotKind.technical_indicator_on_price, slow_ema, colour="forestgreen")
    visualisation.plot_indicator(timestamp, "Fast EMA", PlotKind.technical_indicator_on_price, fast_ema, colour="limegreen")

    return trades


See tradeexecutor.strategy.strategy_module.CreateTradingUniverseProtocol

Example create_trading_universe function:

# Time bucket for our candles
candle_time_bucket = TimeBucket.h4

# Which chain we are trading
chain_id = ChainId.bsc

# Which exchange we are trading on.
exchange_slug = "pancakeswap-v2"

# Which trading pair we are trading
trading_pair = ("WBNB", "BUSD")

def create_trading_universe(
        ts: datetime.datetime,
        client: Client,
        execution_context: ExecutionContext,
) -> TradingStrategyUniverse:
    """Creates the trading universe where the strategy trades.

    If `execution_context.live_trading` is true then this function is called for
    every execution cycle. If we are backtesting, then this function is
    called only once at the start of backtesting and the `decide_trades`
    need to deal with new and deprecated trading pairs.

    As we are only trading a single pair, load data for the single pair only.

    :param ts:
        The timestamp of the trading cycle. For live trading,
        `create_trading_universe` is called on every cycle.
        For backtesting, it is only called at the start

    :param client:
        Trading Strategy Python client instance.

    :param execution_context:
        Information how the strategy is executed. E.g.
        if we are live trading or not.

    :param candle_timeframe_override:
        Allow the backtest framework override what candle size is used to backtest the strategy
        without editing the strategy Python source code file.

        This function must return :py:class:`TradingStrategyUniverse` instance
        filled with the data for exchanges, pairs and candles needed to decide trades.
        The trading universe also contains information about the reserve asset,
        usually stablecoin, we use for the strategy.

    # Load all datas we can get for our candle time bucket
    dataset = load_all_data(client, candle_time_bucket, execution_context)

    # Filter down to the single pair we are interested in
    universe = TradingStrategyUniverse.create_single_pair_universe(

    return universe

Other strategy module members#

Strategy module contains other parameters like
  • Strategy version

  • cycle duration

  • Used routing model

  • Used reserve currency

  • See tradeexecutor.strategy.strategy_module.StrategyModuleInformation for more info

QSTrader strategy type#

tradeexecutor supports QSTrader style strategies and are based on portfolio construction model theory.

However this strategy type was an early attempt and is now superset by internal Pandas and PositionManager based strategy runner tradeexecutor.strategy.pandas_trader.