def main(argv):
try:
opts, args = getopt.getopt(argv, 'p:x:s:c:') #feed in input from cmd
except:
sys.exit(2)
for opt, arg in opts:
if opt in ('-p'):
if arg.lower() in ['5m', '15m', '30m', '1h', '1d']:
period = arg
else:
print('invalid period')
sys.exit(2)
if opt in ('-x'):
if arg.lower() in ['poloniex', 'snp500']:
exchange = arg
else:
print('invalid exchange')
sys.exit(2)
if opt in ('-s'):
if arg.lower() in ['live', 'backtest']:
state = arg
else:
print('invalid state')
sys.exit(2)
if opt in ('-c'):
if exchange == 'poloniex' and arg in ['BTC/USDT', 'OMG/BTC']:
currencey = arg
elif exchange == 'snp500' and arg in ['GOOG']:
currencey = arg
else:
print('invalid currency for this exchange')
sys.exit(2)
#Data Directory:
directory = 'C:/Users/Billy/Documents/Code/MeanRevertingStrategy/Data/'
#BACKTESTING
if state == 'backtest':
test_model = Backtest(exchange, currencey, period, directory)
test_model.test_stationarity()
#LIVE
if state == 'live':
model = Backtest(
exchange, currencey, period, livePreScreen=True
) #live pre screen makes sure the given curency is indeed stationary & returns the parameters of the model
def main(argv):
#Fetches input arguments from cmd
#-p <Period>, -x <Exchange>, -s <State> (backtesting, live or lvie simulation)
#-c <Currency>, -m <multiple currencies> (insert as a list)
try:
opts, args = getopt.getopt(argv, 'p:x:s:c:m:') #feed in input from cmd
except:
sys.exit(2)
for opt, arg in opts:
if opt in ('-p'):
if arg.lower() in ['5m', '15m', '30m', '1h', '1d']:
period = arg
else:
print('invalid period')
sys.exit(2)
if opt in ('-x'):
if arg.lower() in ['poloniex', 'snp500', 'ernie']:
exchange = arg
else:
print('invalid exchange')
sys.exit(2)
if opt in ('-s'):
if arg.lower() in ['live', 'backtest', 'livesimul']:
state = arg
else:
print('invalid state')
sys.exit(2)
if opt in ('-c'):
if exchange == 'poloniex' and arg in ['BTC/USDT', 'OMG/BTC']:
currencey = arg
elif exchange == 'snp500' and arg in ['GOOG']:
currencey = arg
elif exchange == 'ernie' and arg in ['ewa', 'ewc', 'ige']:
currencey = arg
else:
print('invalid currency for this exchange')
sys.exit(2)
currencyAr = [currencey]
if opt in ('-m'): #multiple series
currencies = arg.split(',')
for currencey in currencies:
if exchange == 'poloniex' and currencey in [
'BTC/USDT', 'OMG/BTC', 'ETH/USDT', 'XMR/USDT'
]:
pass
elif exchange == 'snp500' and currencey in ['GOOG']:
pass
elif exchange == 'ernie' and currencey in [
'ewa', 'ewc', 'ige'
]:
pass
else:
print('invalid currency for this exchange')
sys.exit(2)
break
currenceyAr = currencies
for count, curr in enumerate(currenceyAr):
if '/' in curr:
currenceyAr[count] = curr.replace('/', '_')
#Data Directory:
directory = 'C:/Users/Billy/Documents/Code/MeanRevertingStrategy/Data/'
#Backtesting
if state.lower() == 'backtest':
test_model = Backtest(exchange, currenceyAr, period, directory)
test_model.test_stationarity()
#Live - Simulated
if state.lower() == 'pseudolive':
#######
lookback = 26
eigenVector = [0.76975358, -0.87789041, 0.08870492]
######
liveObj = Live(lookback, eigenVector, pseudoLive=True)
data = fetch_data(currenceyAr, exchange, directory, period)
for count, priceList in enumerate(data):
liveObj.tick(priceList, count)
print(liveObj.balance)
returns = []
returns.append(0)
for x in liveObj.returnsCumSum:
returns.append(returns[-1] + x)
plt.plot(returns)
plt.show()
#Live
if state.lower() == 'live' or state.lower() == 'livesimul':
#This will fetch the parametes from a previous backtest, sorry for gross code
save_dir, name = directory + 'backtestedParameters/', ''
for curr in currenceyAr:
print(name)
name = name + curr
[evec, lookback,
date] = dePickler(save_dir + name + '_simple_linear_strategy.pickle')
print('\n\nUse the Eigenvector: ', evec, '\nWith the lookback of: ',
lookback, ' periods\nBacktested on the date: ', date,
' ?? yes <y>, no <n>: ')
continueVar = input()
#run the live module if the user confirms so
if continueVar == 'y':
print('starting\n\n')
liveObj = Live(exchange, currenceyAr, period, directory, name,
evec, lookback,
state.lower() == 'livesimul')
if state.lower() == 'livesimul':
for count, priceList in enumerate(liveObj.data[:1440]):
print(count)
liveObj.tick(priceList, count)
plt.plot(liveObj.pnl)
plt.show()
else:
while True:
liveObj.fetchPrice()
liveObj.tick(priceList)
if period == '5m':
time.sleep(300)
elif period == '10m':
time.sleep(600)
elif period == '15m':
time.sleep(900)
elif period == '1h':
time.sleep(3600)
elif period == '1d':
time.sleep(86400)
else:
sys.exit(2)