Update strategies.py

strategies.py

@@ -1,108 +1,179 @@
-from backtesting import Backtest, Strategy
-from backtesting.lib import SignalStrategy, TrailingStrategy
-from indicators import SMC, EMA
-from data_fetcher import fetch
-import pandas as pd
-
-class SMC_test(Strategy):
-    swing_hl = 10
-    def init(self):
-        super().init()
-
-        self.smc_b = self.I(self.smc_buy, data=self.data.df, swing_hl=self.swing_hl)
-        self.smc_s = self.I(self.smc_sell, data=self.data.df, swing_hl=self.swing_hl)
-
-
-    def next(self):
-        price = self.data.Close[-1]
-        current_time = self.data.index[-1]
-
-        if self.smc_b[-1] == 1:
-            self.buy(sl=.95 * price, tp=1.05 * price)
-        if self.smc_s[-1] == -1:
-            self.sell(tp=.95 * price, sl=1.05 * price)
-
-        # Additionally, set aggressive stop-loss on trades that have been open
-        # for more than two days
-        for trade in self.trades:
-            if current_time - trade.entry_time > pd.Timedelta('2 days'):
-                if trade.is_long:
-                    trade.sl = max(trade.sl, self.data.Low[-1])
-                else:
-                    trade.sl = min(trade.sl, self.data.High[-1])
-
-
-    def smc_buy(self, data, swing_hl):
-        return SMC(data, swing_hl).backtest_buy_signal()
-
-    def smc_sell(self, data, swing_hl):
-        return SMC(data, swing_hl).backtest_sell_signal()
-
-class SMC_ema(SignalStrategy, TrailingStrategy):
-    ema1 = 9
-    ema2 = 21
-    close_on_crossover = False
-
-    def init(self):
-        super().init()
-
-        self.smc_b = self.I(self.smc_buy, self.data.df)
-        self.smc_s = self.I(self.smc_sell, self.data.df)
-
-
-        close = self.data.Close
-
-        self.ma1 = self.I(EMA, close, self.ema1)
-        self.ma2 = self.I(EMA, close, self.ema2)
-
-
-    def next(self):
-        price = self.data.Close[-1]
-        current_time = self.data.index[-1]
-
-        if self.smc_b[-1] == 1 and self.ma1 > self.ma2:
-            self.buy(sl=.95 * price, tp=1.05 * price)
-        if self.smc_s[-1] == -1 and self.ma1 < self.ma2:
-            self.sell(tp=.95 * price, sl=1.05 * price)
-
-        # Additionally, set aggressive stop-loss on trades that have been open
-        # for more than two days
-        for trade in self.trades:
-            if current_time - trade.entry_time > pd.Timedelta('2 days'):
-                if trade.is_long:
-                    trade.sl = max(trade.sl, self.data.Low[-1])
-                else:
-                    trade.sl = min(trade.sl, self.data.High[-1])
-
-        # Close the trade if there is a moving average crossover in opposite direction
-        if self.close_on_crossover:
-            for trade in self.trades:
-                if trade.is_long and self.ma1 < self.ma2:
-                    trade.close()
-                if trade.is_short and self.ma1 > self.ma2:
-                    trade.close()
-
-    def smc_buy(self, data):
-        return SMC(data).backtest_buy_signal()
-
-    def smc_sell(self, data):
-        return SMC(data).backtest_sell_signal()
-
-def smc_plot_backtest(data, filename, swing_hl, **kwargs):
-    bt = Backtest(data, SMC_test, **kwargs)
-    bt.run(swing_hl=swing_hl)
-    print('runned')
-    return bt.plot(filename=filename, open_browser=False)
-
-def smc_ema_plot_backtest(data, filename, ema1, ema2, closecross, **kwargs):
-    bt = Backtest(data, SMC_ema, **kwargs)
-    bt.run(ema1=ema1, ema2=ema2, close_on_crossover=closecross)
-    return bt.plot(filename=filename, open_browser=False)
-
-
-if __name__ == "__main__":
-    data = fetch('ICICIBANK.NS', period='1mo', interval='15m')
-    bt = Backtest(data, SMC_ema, commission=.002)
-
-    bt.run(ema1 = 9, ema2 = 21, close_on_crossover=True)
+from backtesting import Backtest, Strategy
+from backtesting.lib import SignalStrategy, TrailingStrategy
+from indicators import SMC, EMA
+from data_fetcher import fetch
+import pandas as pd
+import numpy as np
+
+class SMC_test(Strategy):
+    swing_hl = 10
+    def init(self):
+        super().init()
+
+        # Setting smc buy and sell indicators.
+        self.smc_b = self.I(self.smc_buy, data=self.data.df, swing_hl=self.swing_hl)
+        self.smc_s = self.I(self.smc_sell, data=self.data.df, swing_hl=self.swing_hl)
+
+    def next(self):
+        price = self.data.Close[-1]
+        current_time = self.data.index[-1]
+
+        # If buy signal, set target 5% above price and stoploss 5% below price.
+        if self.smc_b[-1] == 1:
+            self.buy(sl=.95 * price, tp=1.05 * price)
+        # If sell signal, set targe 5% below price and stoploss 5% above price.
+        if self.smc_s[-1] == -1:
+            self.sell(tp=.95 * price, sl=1.05 * price)
+
+        # Additionally, set aggressive stop-loss on trades that have been open
+        # for more than two days
+        for trade in self.trades:
+            if current_time - trade.entry_time > pd.Timedelta('2 days'):
+                if trade.is_long:
+                    trade.sl = max(trade.sl, self.data.Low[-1])
+                else:
+                    trade.sl = min(trade.sl, self.data.High[-1])
+
+    def smc_buy(self, data, swing_hl):
+        return SMC(data, swing_hl).backtest_buy_signal_ob()
+
+    def smc_sell(self, data, swing_hl):
+        return SMC(data, swing_hl).backtest_sell_signal_ob()
+
+
+class SMC_ema(SignalStrategy, TrailingStrategy):
+    ema1 = 9
+    ema2 = 21
+    close_on_crossover = False
+
+    def init(self):
+        super().init()
+
+        # Setting smc buy and sell indicators.
+        self.smc_b = self.I(self.smc_buy, self.data.df)
+        self.smc_s = self.I(self.smc_sell, self.data.df)
+
+        close = self.data.Close
+
+        # Setting up EMAs.
+        self.ma1 = self.I(EMA, close, self.ema1)
+        self.ma2 = self.I(EMA, close, self.ema2)
+
+
+    def next(self):
+        price = self.data.Close[-1]
+        current_time = self.data.index[-1]
+
+        # If buy signal and short moving average is above long moving average.
+        if self.smc_b[-1] == 1 and self.ma1 > self.ma2:
+            self.buy(sl=.95 * price, tp=1.05 * price)
+        # If sell signal and short moving average is below long moving average.
+        if self.smc_s[-1] == -1 and self.ma1 < self.ma2:
+            self.sell(tp=.95 * price, sl=1.05 * price)
+
+        # Additionally, set aggressive stop-loss on trades that have been open
+        # for more than two days
+        for trade in self.trades:
+            if current_time - trade.entry_time > pd.Timedelta('2 days'):
+                if trade.is_long:
+                    trade.sl = max(trade.sl, self.data.Low[-1])
+                else:
+                    trade.sl = min(trade.sl, self.data.High[-1])
+
+        # Close the trade if there is a moving average crossover in opposite direction
+        if self.close_on_crossover:
+            for trade in self.trades:
+                if trade.is_long and self.ma1 < self.ma2:
+                    trade.close()
+                if trade.is_short and self.ma1 > self.ma2:
+                    trade.close()
+
+    def smc_buy(self, data):
+        return SMC(data).backtest_buy_signal_ob()
+
+    def smc_sell(self, data):
+        return SMC(data).backtest_sell_signal_ob()
+
+
+class SMCStructure(TrailingStrategy):
+    swing_window = 20
+
+    def init(self):
+        super().init()
+        self.smc_b = self.I(self.smc_buy, data=self.data.df, swing_hl=self.swing_window)
+        self.smc_s = self.I(self.smc_sell, data=self.data.df, swing_hl=self.swing_window)
+        self.set_trailing_sl(2)
+        # self.swing = self.I(self.nearest_swing, data=self.data.df, swing_hl)
+
+    def next(self):
+        price = self.data.Close[-1]
+        current_time = self.data.index[-1]
+
+        if self.smc_b[-1] == 1:
+            nearest = self.nearest_swing(self.data.df, self.swing_window)
+            target = price + ((price - nearest)* .414)
+            stoploss = price - (target-price)
+            # print(f"buy: {current_time}, {price}, {nearest}, {target}, {stoploss}")
+            try:
+                self.buy(sl=stoploss, tp=target)
+            except:
+                print('Buying failed')
+        if self.smc_s[-1] == 1:
+            nearest = self.nearest_swing(self.data.df, self.swing_window)
+            print(self.data.df.iloc[-1])
+            if nearest > price:
+                target = price - ((nearest - price) * .414)
+                stoploss = price + (price - target)
+                # print(f"sell: {current_time}, {price}, {nearest}, {target}, {stoploss}")
+                try:
+                    self.sell(sl=stoploss, tp=target, limit=float(price))
+                except:
+                    print("Selling failed")
+
+        # Additionally, set aggressive stop-loss on trades that have been open
+        # for more than two days
+        for trade in self.trades:
+            if current_time - trade.entry_time > pd.Timedelta('2 days'):
+                if trade.is_long:
+                    trade.sl = max(trade.sl, self.data.Low[-1])
+                else:
+                    trade.sl = min(trade.sl, self.data.High[-1])
+
+    def smc_buy(self, data, swing_hl):
+        return SMC(data, swing_hl).backtest_buy_signal_structure()
+
+    def smc_sell(self, data, swing_hl):
+        return SMC(data, swing_hl).backtest_sell_signal_structure()
+
+    def nearest_swing(self, data, swing_hl):
+        # Get swing high/low nearest to current price.
+        swings = SMC(data, swing_hl).swing_hl
+        swings = swings[~np.isnan(swings['Level'])]
+        return swings['Level'].iloc[-2]
+
+
+def smc_plot_backtest(data, filename, swing_hl, **kwargs):
+    bt = Backtest(data, SMC_test, **kwargs)
+    bt.run(swing_hl=swing_hl)
+    return bt.plot(filename=filename, open_browser=False)
+
+def smc_ema_plot_backtest(data, filename, ema1, ema2, closecross, **kwargs):
+    bt = Backtest(data, SMC_ema, **kwargs)
+    bt.run(ema1=ema1, ema2=ema2, close_on_crossover=closecross)
+    return bt.plot(filename=filename, open_browser=False)
+
+def smc_structure_backtest(data, filename, swing_hl, **kwargs):
+    bt = Backtest(data, SMCStructure, **kwargs)
+    bt.run(swing_window=swing_hl)
+    return bt.plot(filename=filename, open_browser=False)
+
+if __name__ == "__main__":
+    # data = fetch('ICICIBANK.NS', period='1mo', interval='15m')
+    data = fetch('RELIANCE.NS', period='1mo', interval='15m')
+    # data = fetch('AXISBANK.NS', period='1mo', interval='15m')
+    # bt = Backtest(data, SMC_ema, commission=.002)
+    # bt.run(ema1 = 9, ema2 = 21, close_on_crossover=True)
+    bt = Backtest(data, SMCStructure, commission = .002, trade_on_close=True)
+    bt.run()
+
     bt.plot()