TradingViewStrategyParser

A simple python script to parse the trades from a TradingView strategy and determine the approprite leverage to use according to the Kelly Risk Management System

The Kelly System

To be used in conjunction with the Kelly Criterion/Ratio

Warning

I am not a financial advisor, this is not investment advice, I'm not responsible for any money this will probably lose you.

TradingView Strategy Settings and Trade Export

The program assumes that in your strategy.entry() and strategy.close() functions the id parameter has no spaces

strategy.entry("Long", 1, when=longCondition)

strategy.entry("Short", 0, when=shortCondition)

strategy.close("Long", when=longClose)

strategy.close("Short", when=shortClose)

In the TradingView Strategy Tester panel click the Export Button as shown to copy the trade history of your strategy to the clipboard

Settings

1. Rename the sample_settings.ini file to settings.ini and adjust your settings accordingly.

2. Create a trades.txt (or whatever you changed the settings to) file and copy the exported TradingView trade information into it

Running

Navigate to the folder and run

$ python tv_parser.py

Sample Output

TradeInfo trade-file-path is trades.txt

TradeInfo initial-capital is 500

TradeInfo maker-fee is 0.16

TradeInfo taker-fee is 0.26

TradeInfo slippage is 0.02

Use Limit Orders? [y/N]: n

Mean Returns: 1.91%

Standard Deviation of Returns: 6.83%

Kelly Leverage: 4.10

Half Kelly: 2.05

Kelly Ratio: 21.61%

Initial Capital: $500.00

4:1 Leveraged Profit/Loss: $220.49

4:1 Leveraged P/L Percent: 44.10%

Initial Capital: $500.00

3:1 Leveraged Profit/Loss: $183.17

3:1 Leveraged P/L Percent: 36.63%

Initial Capital: $500.00

2:1 Leveraged Profit/Loss: $133.33

2:1 Leveraged P/L Percent: 26.67%

Initial Capital: $500.00

1:1 Leveraged Profit/Loss: $71.82

1:1 Leveraged P/L Percent: 14.36%

Disclaimer

I would advise using the lowest possible leverage and slowly increase the leverage every month. Don't just increase after a few wins because chances are good that you are due for some losses.

Kelly Leverage: 8.73

Half Kelly: 4.37

Initial Capital: $500.00

Kelly Leverage: 8

Kelly Leveraged Profit/Loss: $-290.58

Kelly Leveraged P/L Percent: -58.12%

Half Kelly: 4

Half Kelly Leveraged Profit/Loss: $1065.53

Half Kelly Leveraged P/L Percent: 213.11%

In the above example from an older version of the script you see that using the Full Kelly of 8 would have brought on large drawdown bringing the account close to ruin where as using the half Kelly we would have tripled our money using this specific strategy.

Again I am not responsible for my program saying "Kelly Leverage: 95" and then you go and lose your house payment.

Roadmap/Planned Features

1. Output monthly profits and losses
2. Leveraged backtesting for specific months
3. Back testing of multiple strategies with leverage
4. WebUI