def runOpti(bars,min,max,steps,symbol= None, randomCount= -1):
v= min[:]
while True:
msg= ""
if randomCount > 0:
for i in range(len(v)):
v[i] = min[i] + random.randint(0, (max[i] - min[i]) / steps[i]) * steps[i]
randomCount = randomCount-1
for i in v:
msg += str(i) + " "
logger.info(msg)
bot = MultiStrategyBot(logger=logger, directionFilter=0)
bot.add_strategy(KuegiStrategy(
min_channel_size_factor=v[2], max_channel_size_factor=v[3],
entry_tightening=v[1]/10, bars_till_cancel_triggered=5,
stop_entry=True, delayed_entry=v[0] == 1, delayed_cancel=True, cancel_on_filter= False)
.withChannel(max_look_back=v[4], threshold_factor=v[5]/10, buffer_factor=v[6]*0.01,
max_dist_factor=2,max_swing_length=4)
.withRM(risk_factor=1, max_risk_mul=2, risk_type=1, atr_factor=2)
#.withExitModule(SimpleBE(factor=0.5, buffer=-0.1))
#.withExitModule(SimpleBE(factor=1, buffer=0.5))
.withExitModule(ParaTrail(accInit=0.015, accInc=0.015, accMax=0.03))
#.withEntryFilter(DayOfWeekFilter(55))
)
BackTest(bot, bars,symbol).run()
if randomCount == 0 or (randomCount < 0 and not increment(min,max,steps,v)):
break
def runOpti(bars, funding, min, max, steps, symbol=None, randomCount=-1):
v = min[:]
total = 1
while len(steps) < len(min):
steps.append(1)
for i in range(len(min)):
total *= 1 + (max[i] - min[i]) / steps[i]
logger.info("running %d combinations" % total)
while True:
msg = ""
if randomCount > 0:
for i in range(len(v)):
v[i] = min[i] + random.randint(
0, int((max[i] - min[i]) / steps[i])) * steps[i]
randomCount = randomCount - 1
for i in v:
msg += str(i) + " "
logger.info(msg)
bot = MultiStrategyBot(logger=logger, directionFilter=0)
bot.add_strategy(KuegiStrategy())
BackTest(bot, bars=bars, funding=funding, symbol=symbol).run()
if randomCount == 0 or (randomCount < 0
and not increment(min, max, steps, v)):
break
def checkDayFilterByDay(bars,symbol= None):
for i in range(7):
msg = str(i)
logger.info(msg)
bot = MultiStrategyBot(logger=logger, directionFilter=0)
bot.add_strategy(KuegiStrategy(
min_channel_size_factor=0, max_channel_size_factor=16,
entry_tightening=1, bars_till_cancel_triggered=5,
stop_entry=True, delayed_entry=True, delayed_cancel=True, cancel_on_filter= False)
.withChannel(max_look_back=13, threshold_factor=2.6, buffer_factor=0.05,max_dist_factor=2,max_swing_length=4)
.withRM(risk_factor=2000, max_risk_mul=2, risk_type=1, atr_factor=2)
.withExitModule(SimpleBE(factor=0.5, buffer=-0.1))
.withExitModule(SimpleBE(factor=1, buffer=0.5))
.withExitModule(ParaTrail(accInit=0.015, accInc=0.015, accMax=0.03))
.withEntryFilter(DayOfWeekFilter(55))
)
b= BackTest(bot, bars,symbol).run()
def start_bot(botSettings, telegram: TelegramBot = None):
bot = MultiStrategyBot()
originalSettings = dotdict(dict(botSettings))
if "strategies" in botSettings.keys():
risk_reference = 1
if "RISK_REFERENCE" in botSettings.keys():
risk_reference = botSettings.RISK_REFERENCE
if risk_reference <= 0:
logger.error(
"if you don't want to risk money, you shouldn't even run this bot!"
)
bot.risk_reference = risk_reference
strategies = dict(botSettings.strategies)
del botSettings.strategies # settings is now just the meta settings
for stratId in strategies.keys():
stratSettings = dict(botSettings)
stratSettings = dotdict(stratSettings)
stratSettings.update(strategies[stratId])
if stratSettings.KB_RISK_FACTOR <= 0:
logger.error(
"if you don't want to risk money, you shouldn't even run this bot!"
)
continue
if stratId == "macross":
strat = MACross(fastMA=stratSettings.MAC_FAST_MA,
slowMA=stratSettings.MAC_SLOW_MA,
swingBefore=stratSettings.MAC_SWING_BEFORE,
swingAfter=stratSettings.MAC_SWING_AFTER)
elif stratId == "kuegi":
strat = KuegiStrategy(min_channel_size_factor=stratSettings.KB_MIN_CHANNEL_SIZE_FACTOR,
max_channel_size_factor=stratSettings.KB_MAX_CHANNEL_SIZE_FACTOR,
entry_tightening=stratSettings.KB_ENTRY_TIGHTENING,
bars_till_cancel_triggered=stratSettings.KB_BARS_TILL_CANCEL_TRIGGERED,
limit_entry_offset_perc=stratSettings.KB_LIMIT_OFFSET,
delayed_entry=stratSettings.KB_DELAYED_ENTRY,
delayed_cancel=stratSettings.KB_DELAYED_CANCEL,
cancel_on_filter=stratSettings.KB_CANCEL_ON_FILTER,
tp_fac=stratSettings.KB_TP_FAC) \
.withChannel(max_look_back=stratSettings.KB_MAX_LOOK_BACK,
threshold_factor=stratSettings.KB_THRESHOLD_FACTOR,
buffer_factor=stratSettings.KB_BUFFER_FACTOR,
max_dist_factor=stratSettings.KB_MAX_DIST_FACTOR,
max_swing_length=stratSettings.KB_MAX_SWING_LENGTH)
if "KB_TRAIL_TO_SWING" in stratSettings.keys():
strat.withTrail(
trail_to_swing=stratSettings.KB_TRAIL_TO_SWING,
delayed_swing=stratSettings.KB_DELAYED_ENTRY,
trail_back=stratSettings.KB_ALLOW_TRAIL_BACK)
elif stratId == "sfp":
strat = SfpStrategy(min_stop_diff_perc=stratSettings.SFP_MIN_STOP_DIFF,
init_stop_type=stratSettings.SFP_STOP_TYPE,
stop_buffer_fac=stratSettings.SFP_STOP_BUFFER_FAC,
tp_fac=stratSettings.SFP_TP_FAC,
min_wick_fac=stratSettings.SFP_MIN_WICK_FAC,
min_air_wick_fac=stratSettings.SFP_MIN_AIR_WICK_FAC,
min_wick_to_body=stratSettings.SFP_MIN_WICK_TO_BODY,
min_swing_length=stratSettings.SFP_MIN_SWING_LENGTH,
range_length=stratSettings.SFP_RANGE_LENGTH,
min_rej_length=stratSettings.SFP_MIN_REJ_LENGTH,
range_filter_fac=stratSettings.SFP_RANGE_FILTER_FAC,
close_on_opposite=stratSettings.SFP_CLOSE_ON_OPPOSITE,
tp_use_atr = stratSettings.SFP_USE_ATR,
ignore_on_tight_stop = stratSettings.SFP_IGNORE_TIGHT_STOP,
entries = stratSettings.SFP_ENTRIES) \
.withChannel(max_look_back=stratSettings.KB_MAX_LOOK_BACK,
threshold_factor=stratSettings.KB_THRESHOLD_FACTOR,
buffer_factor=stratSettings.KB_BUFFER_FACTOR,
max_dist_factor=stratSettings.KB_MAX_DIST_FACTOR,
max_swing_length=stratSettings.KB_MAX_SWING_LENGTH)
if "KB_TRAIL_TO_SWING" in stratSettings.keys():
strat.withTrail(
trail_to_swing=stratSettings.KB_TRAIL_TO_SWING,
delayed_swing=stratSettings.KB_DELAYED_ENTRY,
trail_back=stratSettings.KB_ALLOW_TRAIL_BACK)
else:
strat = None
logger.warning("unkown strategy: " + stratId)
if strat is not None:
strat.with_telegram(telegram)
strat.withRM(risk_factor=stratSettings.KB_RISK_FACTOR *
risk_reference,
risk_type=stratSettings.KB_RISK_TYPE,
max_risk_mul=stratSettings.KB_MAX_RISK_MUL,
atr_factor=stratSettings.KB_RISK_ATR_FAC)
if "KB_BE_FACTOR" in stratSettings.keys():
strat.withExitModule(
SimpleBE(factor=stratSettings.KB_BE_FACTOR,
buffer=stratSettings.KB_BE_BUFFER))
for i in range(1, 8):
factorKey = "KB_BE" + str(i) + "_FACTOR"
bufferKey = "KB_BE" + str(i) + "_BUFFER"
if factorKey in stratSettings.keys():
strat.withExitModule(
SimpleBE(factor=stratSettings[factorKey],
buffer=stratSettings[bufferKey]))
if "EM_PARA_INIT" in stratSettings.keys():
resetToCurrent = False
if "EM_PARA_RESET" in stratSettings.keys():
resetToCurrent = stratSettings.EM_PARA_RESET
strat.withExitModule(
ParaTrail(accInit=stratSettings.EM_PARA_INIT,
accInc=stratSettings.EM_PARA_INC,
accMax=stratSettings.EM_PARA_MAX,
resetToCurrent=resetToCurrent))
if "FILTER_DAYWEEK" in stratSettings.keys():
strat.withEntryFilter(
DayOfWeekFilter(stratSettings.FILTER_DAYWEEK))
bot.add_strategy(strat)
else:
logger.error("only multistrat bot supported")
live = LiveTrading(settings=botSettings,
trading_bot=bot,
telegram=telegram)
t = threading.Thread(target=live.run_loop)
t.bot: LiveTrading = live
t.originalSettings = originalSettings
t.start()
return t
def start_bot(botSettings):
bot = MultiStrategyBot()
if "strategies" in botSettings.keys():
strategies = dict(botSettings.strategies)
del botSettings.strategies # settings is now just the meta settings
for stratId in strategies.keys():
stratSettings = dict(botSettings)
stratSettings = dotdict(stratSettings)
stratSettings.update(strategies[stratId])
if stratSettings.KB_RISK_FACTOR <= 0:
logger.error(
"if you don't want to risk money, you shouldn't even run this bot!"
)
continue
if stratId == "kuegi":
strat = KuegiStrategy(min_channel_size_factor=stratSettings.KB_MIN_CHANNEL_SIZE_FACTOR,
max_channel_size_factor=stratSettings.KB_MAX_CHANNEL_SIZE_FACTOR,
entry_tightening=stratSettings.KB_ENTRY_TIGHTENING,
bars_till_cancel_triggered=stratSettings.KB_BARS_TILL_CANCEL_TRIGGERED,
stop_entry=stratSettings.KB_STOP_ENTRY,
delayed_entry=stratSettings.KB_DELAYED_ENTRY,
delayed_cancel=stratSettings.KB_DELAYED_CANCEL,
cancel_on_filter=stratSettings.KB_CANCEL_ON_FILTER) \
.withChannel(max_look_back=stratSettings.KB_MAX_LOOK_BACK,
threshold_factor=stratSettings.KB_THRESHOLD_FACTOR,
buffer_factor=stratSettings.KB_BUFFER_FACTOR,
max_dist_factor=stratSettings.KB_MAX_DIST_FACTOR,
max_swing_length=stratSettings.KB_MAX_SWING_LENGTH)
if "KB_TRAIL_TO_SWING" in stratSettings.keys():
strat.withTrail(
trail_to_swing=stratSettings.KB_TRAIL_TO_SWING,
delayed_swing=stratSettings.KB_DELAYED_ENTRY,
trail_back=stratSettings.KB_ALLOW_TRAIL_BACK)
elif stratId == "sfp":
strat = SfpStrategy(init_stop_type=stratSettings.SFP_STOP_TYPE,
tp_fac=stratSettings.SFP_TP_FAC,
min_wick_fac=stratSettings.SFP_MIN_WICK_FAC,
min_swing_length=stratSettings.SFP_MIN_SWING_LENGTH,
range_length=stratSettings.SFP_RANGE_LENGTH,
min_rej_length=stratSettings.SFP_MIN_REJ_LENGTH,
range_filter_fac=stratSettings.SFP_RANGE_FILTER_FAC,
close_on_opposite=stratSettings.SFP_CLOSE_ON_OPPOSITE) \
.withChannel(max_look_back=stratSettings.KB_MAX_LOOK_BACK,
threshold_factor=stratSettings.KB_THRESHOLD_FACTOR,
buffer_factor=stratSettings.KB_BUFFER_FACTOR,
max_dist_factor=stratSettings.KB_MAX_DIST_FACTOR,
max_swing_length=stratSettings.KB_MAX_SWING_LENGTH)
if "KB_TRAIL_TO_SWING" in stratSettings.keys():
strat.withTrail(
trail_to_swing=stratSettings.KB_TRAIL_TO_SWING,
delayed_swing=stratSettings.KB_DELAYED_ENTRY,
trail_back=stratSettings.KB_ALLOW_TRAIL_BACK)
else:
strat = None
logger.warn("unkown strategy: " + stratId)
if strat is not None:
strat.withRM(risk_factor=stratSettings.KB_RISK_FACTOR,
risk_type=stratSettings.KB_RISK_TYPE,
max_risk_mul=stratSettings.KB_MAX_RISK_MUL,
atr_factor=stratSettings.KB_RISK_ATR_FAC)
if "KB_BE_FACTOR" in stratSettings.keys():
strat.withExitModule(
SimpleBE(factor=stratSettings.KB_BE_FACTOR,
buffer=stratSettings.KB_BE_BUFFER))
if "KB_BE2_FACTOR" in stratSettings.keys():
strat.withExitModule(
SimpleBE(factor=stratSettings.KB_BE2_FACTOR,
buffer=stratSettings.KB_BE2_BUFFER))
if "EM_PARA_INIT" in stratSettings.keys():
strat.withExitModule(
ParaTrail(accInit=stratSettings.EM_PARA_INIT,
accInc=stratSettings.EM_PARA_INC,
accMax=stratSettings.EM_PARA_MAX))
if "FILTER_DAYWEEK" in stratSettings.keys():
strat.withEntryFilter(
DayOfWeekFilter(stratSettings.FILTER_DAYWEEK))
bot.add_strategy(strat)
else:
if botSettings.KB_RISK_FACTOR <= 0:
logger.error(
"if you don't want to risk money, you shouldn't even run this bot!"
)
else:
bot.add_strategy(
KuegiStrategy(
min_channel_size_factor=botSettings.
KB_MIN_CHANNEL_SIZE_FACTOR,
max_channel_size_factor=botSettings.
KB_MAX_CHANNEL_SIZE_FACTOR,
entry_tightening=botSettings.KB_ENTRY_TIGHTENING,
bars_till_cancel_triggered=botSettings.
KB_BARS_TILL_CANCEL_TRIGGERED,
stop_entry=botSettings.KB_STOP_ENTRY,
delayed_entry=botSettings.KB_DELAYED_ENTRY,
delayed_cancel=botSettings.KB_DELAYED_CANCEL,
cancel_on_filter=botSettings.KB_CANCEL_ON_FILTER).
withChannel(
max_look_back=botSettings.KB_MAX_LOOK_BACK,
threshold_factor=botSettings.KB_THRESHOLD_FACTOR,
buffer_factor=botSettings.KB_BUFFER_FACTOR,
max_dist_factor=botSettings.KB_MAX_DIST_FACTOR,
max_swing_length=botSettings.KB_MAX_SWING_LENGTH).withRM(
risk_factor=botSettings.KB_RISK_FACTOR,
risk_type=botSettings.KB_RISK_TYPE,
max_risk_mul=botSettings.KB_MAX_RISK_MUL,
atr_factor=botSettings.KB_RISK_ATR_FAC).withExitModule(
SimpleBE(factor=botSettings.KB_BE_FACTOR,
buffer=botSettings.KB_BE_BUFFER)).
withTrail(trail_to_swing=botSettings.KB_TRAIL_TO_SWING,
delayed_swing=botSettings.KB_DELAYED_ENTRY,
trail_back=botSettings.KB_ALLOW_TRAIL_BACK))
live = LiveTrading(settings=botSettings, trading_bot=bot)
t = threading.Thread(target=live.run_loop)
t.bot: LiveTrading = live
t.start()
return t
p.print_callers('<functionName>')
'''
'''
runOpti(bars_oos, funding=funding,
min= [-5,20],
max= [5,27],
steps= [1,1],
randomCount=-1,
symbol=symbol)
#'''
#'''
bot = MultiStrategyBot(logger=logger, directionFilter=0)
bot.add_strategy(KuegiStrategy())
bot.add_strategy(SfpStrategy())
b = BackTest(bot,
bars_full,
funding=funding,
symbol=symbol,
market_slipage_percent=0.15).run()
#performance chart with lots of numbers
bot.create_performance_plot(bars).show()
# chart with signals:
b.prepare_plot().show()