Add simple crossover_vwap strategy with vwap indicator.

[tiagosiebler]

I've been playing with a strategy that could possibly anticipate gradual price changes and flow with those changes, reducing losses vs hold and increasing gains vs hold. Here's an example that worked well for me in a sim:
zenbot sim kraken.XXRP-ZEUR --period="120m" --strategy=crossover_vwap --currency_capital=700 --asset_capital=0 --max_slippage_pct=100 --days=60 --avg_slippage_pct=1
That's even with a relatively high average slippage. Defaults may still need tweaking though, especially on different exchanges & currency combinations:

{
  "asset_capital": 0,
  "avg_slippage_pct": 1,
  "buy_pct": 99,
  "buy_stop_pct": 0,
  "currency_capital": 700,
  "days": 60,
  "emalen1": 30,
  "markdown_buy_pct": 0,
  "markup_sell_pct": 0,
  "max_sell_loss_pct": 25,
  "max_slippage_pct": "100",
  "min_periods": 1,
  "mode": "sim",
  "order_adjust_time": 5000,
  "order_type": "maker",
  "period": "120m",
  "profit_stop_enable_pct": 0,
  "profit_stop_pct": 1,
  "rsi_periods": 14,
  "selector": "kraken.XXRP-ZEUR",
  "sell_pct": 99,
  "sell_stop_pct": 0,
  "show_options": true,
  "smalen1": 108,
  "smalen2": 60,
  "start": 1507939200000,
  "stats": false,
  "strategy": "crossover_vwap",
  "verbose": false,
  "vwap_length": 10,
  "vwap_max": 8000
}
end balance: 1538.51299549 (119.78%)
buy hold: 1218.53870819 (74.07%)
vs. buy hold: 26.25%
18 trades over 62 days (avg 0.29 trades/day)
win/loss: 4/4
error rate: 50.00%

Assuming lower slippage, e.g taker/instant orders, the results are stronger:

2017-12-13 11:59:59  0.383310 XXRP-ZEUR   +3.49%    4.77m   92 +++++0.38272 0.25607   +91.56%  4604.42017895 XXRP    8.81 ZEUR+153.39%  +44.30%
{
  "asset_capital": 0,
  "avg_slippage_pct": 0.045,
  "buy_pct": 99,
  "buy_stop_pct": 0,
  "currency_capital": 700,
  "days": 60,
  "emalen1": 30,
  "markdown_buy_pct": 0,
  "markup_sell_pct": 0,
  "max_sell_loss_pct": 25,
  "max_slippage_pct": "100",
  "min_periods": 1,
  "mode": "sim",
  "order_adjust_time": 5000,
  "order_type": "maker",
  "period": "120m",
  "profit_stop_enable_pct": 0,
  "profit_stop_pct": 1,
  "rsi_periods": 14,
  "selector": "kraken.XXRP-ZEUR",
  "sell_pct": 99,
  "sell_stop_pct": 0,
  "show_options": true,
  "smalen1": 108,
  "smalen2": 60,
  "start": 1507939200000,
  "stats": false,
  "strategy": "crossover_vwap",
  "verbose": false,
  "vwap_length": 10,
  "vwap_max": 8000
}
end balance: 1763.05037236 (151.86%)
buy hold: 1221.68117269 (74.52%)
vs. buy hold: 44.31%
18 trades over 62 days (avg 0.29 trades/day)
win/loss: 4/4
error rate: 50.00%

[DeviaVir]

👍 thanks for contributing!

[kazdimenator]

Please add in genetic_backtester :)

[tiagosiebler]

@kazdimenator see PR #858 :)