Krypfolio

A tunable crytocurrency index for you to experiment

Guide:

Run python data/vendor.py to download the market capitalization data.
There several settings that you can tune in the HODL algorithm to generate the weight of each coin in the porfolio.

Alpha: the half-life factor in the calculation of exponential weighted moving average of the market capitalization.
Number of coins in the porfolio.
Cap (limit) of the weights in the porfolio, for example, if based on the market capitalization Bitcoin would have the weight of 26% but the cap was set at 8% then Bitcoin would hold only 8% of the whole portfolio.

Set the parameters in config.py and run it.

Run python execution\hyperopt.py to find the best stop-loss and rebalance cycle setting. It will also generate a Tear sheet for you based on the best settings.
Run python execution\backtest.py to view the details of each rebalance event.