Multiple Pairs Strategies

enraged3rdgrader

Is it possible to use Jesse to backtest strategies that trade multiple cryptocurrencies at once? Based on the API docs, it seems like its designed to be used for technical signals on one instrument at at time.

Saleh

Hey. I added a new page to doc's FAQ since this question has been coming up a few times.

Short answer: Yes!

Long answer:
https://docs.jesse-ai.com/docs/faq/can-i-trade-multiple-pairs-at-once.html

peebeejay

On a similar note, is it possible to open positions in different instruments in the same strategy class?

markus

No currently not. One route/strategy = one exchange + symbol. You can use the data of multiple exchanges and symbols for your indicators, but the trades happen on the exchange and symbol you defined in your routes. You could create multiple routes and use shared_vars for communication between them.

enraged3rdgrader

So, if i wanted to do a pair trading algorithm, the code would basically be:

add additional candles to my routes
use extra_candles variable
Here is where i am a little confused -- where can I access the name of the pair / exchange that I am trading? (i.e if i have two sets of extra candles routed in how do i know which one of the two i am using in a given strategy?)

enraged3rdgrader

Also, is there a way to use the init method? Or what would the alternatives be?

lightyear15

Hi @enraged3rdgrader ,
I had the same problem when implementing pair trading strategy.
It is true jesse strategies can read candles from how many pairs coming from how many exchanges you want (just define the extra routes), yet it can put orders only on one single pair traded in one specific exchange at once.
There is a workaround though, https://docs.jesse-ai.com/docs/strategies/api.html#shared-vars,
You just need to implement a Main strategy components that drives all the others sides strategies and send them signals for buy/sell/update through shared_vars

And to answer your last questions
https://docs.jesse-ai.com/docs/strategies/api.html#get-candles will give you access to any candles set defined in your extra_routes variable.
self.symbol and self.exchange will tell you what your current strategy can operate on

enraged3rdgrader

where would the code for the main driver go?

lightyear15

enraged3rdgrader
What driver are you talking about?
If you mean the driver to import candles from an exchange, if you are using any of these exchanges you don't need to implement any driver.

enraged3rdgrader

Oh i meant in your reference to writing one Main class for multiple routes

lightyear15

Ok,
so we are talking about a Main strategy, not a driver.
Well, you can create a strategy using jesse subcommand make-strategy.
I suggest using the prepare function in your main strategy to process the new candles and set all the signals.
Then you may use go_long / go_short / update_position in the main itself and in the sides strategies to read shared_vars and act accordingly.