def Main():
# Initialize exchanges and test
symbol = "LTCUSDT"
binance = Binance()
sd = binance.SYMBOL_DATAS[symbol]
df = binance.getOHLCV(symbol, "15m", limit=10000)
def fitness_function(individual):
pt = round(Decimal(int(individual[4])) / Decimal(1000), 3)
entry_strategy.args = tuple(individual[0:4])
exit_settings.pt = pt
results = backtest(df, symbol, binance, entry_strategy, entry_settings,
exit_settings)
return float(results['total_profit_loss'])
optimiser = StrategyOptimiser(fitness_function=fitness_function,
n_generations=30,
generation_size=50,
n_genes=5,
gene_ranges=[(3, 40), (15, 80), (60, 100),
(0, 40), (1004, 1150)],
mutation_probability=0.3,
gene_mutation_probability=0.5,
n_select_best=15)
best_children = optimiser.run_genetic_algo()
pprint(best_children)
def Main(): exchange = Binance() symbol = "LTCUSDT" df = exchange.getOHLCV(symbol, "1h", 8000) start_time = df['time'][0] end_time = df['time'][len(df)-1] price_min = df['close'].min() price_max = df['close'].max() diff = price_max - price_min level1 = price_max - 0.236 * diff level2 = price_max - 0.382 * diff level3 = price_max - 0.618 * diff lines = [] lines.append(horizontal_line( start_time, end_time, price_max, color="rgba(255, 0, 0, 255)")) lines.append(horizontal_line( start_time, end_time, level1, color="rgba(255, 255, 0, 255)")) lines.append(horizontal_line( start_time, end_time, level2, color="rgba(0, 255, 0, 255)")) lines.append(horizontal_line( start_time, end_time, level3, color="rgba(0, 255, 255, 255)")) lines.append(horizontal_line( start_time, end_time, price_min, color="rgba(0, 0, 255, 255)")) PlotData(df, add_candles=False, plot_shapes=lines, plot_title="fib_levels", show_plot=True)
class BinanceTests(unittest.TestCase):
############################
#### setup and teardown ####
############################
# executed prior to each test
def setUp(self):
self.exchange = Binance()
self.exchange.addCredentials("invalid_api_key", "invalid_secret_key")
# executed after each test
def tearDown(self):
pass
###############
#### tests ####
###############
def test_AddCredentials(self):
self.assertEqual(self.exchange.has_credentials, True,
"Exchange should have credentials now.")
def test_GetAccountData(self):
acct_data = self.exchange.getAccountData()
assert isinstance(acct_data,
dict), "getAccountData should return a dict"
assert acct_data.__contains__('code'), \
"Response should contain an error since the api-secret key pair \
is invalid."
def test_GetTradingSymbols(self):
trading_symbols = self.exchange.getTradingSymbols()
assert isinstance(trading_symbols,
list), "getTradingSymbols should return a list"
def test_GetSymbolKlines(self):
limit = 1000
timeframe = "1m"
symbol = "BTCUSDT"
df = self.exchange.getOHLCV(symbol, timeframe, limit)
assert isinstance(
df, DataFrame), "getSymbolKlines should return a dataframe"
length = len(df) - 1
assert length + 1 == limit, "there should be " + str(limit) \
+ " entries in the dataframe, not "+str(length + 1)
for x in ['open', 'high', 'low', 'close', 'volume', 'time', 'date']:
assert x in df.columns, \
x+" should be a column in the Candlestick dataframe"
for i in range(1, length):
assert (df['close'][i] <= df['high'][i] and \
df['close'][i] >= df['low'][i] and \
df['open'][i] <= df['high'][i] and \
df['open'][i] >= df['low'][i]), \
"high should not be less than close nor open, and " \
+ "low should not be greater than either of them "
def Main(): exchange = Binance() symbol = 'BNBUSDT' df = exchange.getOHLCV(symbol, '1h', 500) strategy = OTTStrategy(1, 0.1) strategy.setUp(df) signals=[ dict(points=strategy.getBuySignalsList(), name="buy_times"), dict(points=strategy.getSellSignalsList(), name="sell_times")] df['ott'] = df['ott'].shift(2) PlotData(df, plot_indicators=strategy.getIndicators(), signals=signals, show_plot=True, plot_title="OTTStrategy")
def Main():
# Initialize exchanges and test
binance = Binance()
# symbol = "ZILBTC"
# symbol = "XRPBTC"
symbol = "BTCUSDT"
interval = "1m"
df = binance.getOHLCV(symbol, interval, limit=1000)
strategy = entry_strategy.strategy_class(*entry_strategy.args)
strategy.setUp(df)
# pprint(strategy.df)
results = backtest(df, symbol, binance, entry_strategy, entry_settings,
exit_settings)
print("P\L: {}".format(results["total_profit_loss"]))
signals = [
dict(points=results['buy_times'], name="buy_times"),
dict(points=results['tp_sell_times'], name="tp_sell_times"),
dict(points=results['sl_sell_times'], name="sl_sell_times"),
dict(points=results['tsl_sell_times'], name="tsl_sell_times"),
dict(points=results['tsl_active_times'], name="tsl_active_times"),
dict(points=results['tsl_increase_times'], name="tsl_increase_times")
]
plot_indicators = []
for indicator in strategy.indicators:
yaxis = 'y'
if indicator['indicator_name'] == 'rsi':
yaxis = 'y3'
plot_indicators.append(
dict(name=indicator['indicator_name'],
title=indicator['indicator_name'],
yaxis=yaxis))
PlotData(
df,
add_candles=True,
signals=signals,
plot_indicators=plot_indicators,
# plot_title=symbol,
save_plot=True,
plot_title="backtest_" + symbol.lower() + "_" + interval,
show_plot=False
# plot_shapes=lines,
)
def Maine():
exchange = Binance()
symbol = 'BTCUSDT'
df = exchange.getOHLCV(symbol, '1d')
AddIndicator(df, 'sma', 'volma', 'volume', 10)
signal = df.loc[df['volume'] > 2.4 * df['volma']]
s_list = [
dict(name='S/R',
points=[(row['time'],
row['high']) if row['close'] > row['open'] else
(row['time'], row['low'])
for i, row in signal.iterrows()])
]
HA(df, ['open', 'high', 'low', 'close'])
ha_df = df
ha_df['open'] = df['HA_open']
ha_df['high'] = df['HA_high']
ha_df['low'] = df['HA_low']
ha_df['close'] = df['HA_close']
lines = []
last_time = df['time'][len(df) - 1]
for s in s_list[0]['points']:
line = go.layout.Shape(
type="line",
x0=s[0],
y0=s[1],
x1=last_time,
y1=s[1],
)
lines.append(line)
PlotData(
ha_df,
show_plot=True,
signals=s_list,
plot_shapes=lines,
plot_indicators=[dict(name='volma', title="Volume MA", yaxis='y2')])
def Main():
# Initialize exchanges and test
binance = Binance()
symbol = "LTCBTC"
df = binance.getOHLCV(symbol, "1m", limit=100000)
strategy = entry_strategy.strategy_class(*entry_strategy.args)
strategy.setUp(df)
# pprint(strategy.df)
results = backtest(df, symbol, binance, entry_strategy, entry_settings,
exit_settings)
print("P\L: {}".format(results["total_profit_loss"]))
signals = [
dict(points=results['buy_times'], name="buy_times"),
dict(points=results['tp_sell_times'], name="tp_sell_times"),
dict(points=results['sl_sell_times'], name="sl_sell_times"),
dict(points=results['tsl_sell_times'], name="tsl_sell_times"),
dict(points=results['tsl_active_times'], name="tsl_active_times"),
dict(points=results['tsl_increase_times'], name="tsl_increase_times")
]
plot_indicators = []
for indicator in strategy.indicators:
yaxis = 'y'
if indicator['indicator_name'] == 'rsi':
yaxis = 'y3'
plot_indicators.append(
dict(name=indicator['indicator_name'],
title=indicator['indicator_name'],
yaxis=yaxis))
PlotData(df,
signals=signals,
plot_indicators=plot_indicators,
save_plot=True,
show_plot=True)
col_name=['rsx', 'rsx_me_ob', 'rsx_me_os'],
mfi_length=self.mfi_length,
ob_level=self.ob_level,
os_level=self.os_level),
]
def checkLongSignal(self, i):
return self.df['rsx_me_os'][i]
def checkShortSignal(self, i):
return self.df['rsx_me_ob'][i]
if __name__ == '__main__':
exchange = Binance()
df = exchange.getOHLCV(symbol="ETHUSDT", interval="5m", limit=4000)
strategy = CustomIndicatorStrategy()
strategy.setUp(df)
length = len(df['close'])
longs = [(strategy.df['time'][i], strategy.df['close'][i])
for i in range(length) if strategy.checkLongSignal(i)]
shorts = [(strategy.df['time'][i], strategy.df['close'][i])
for i in range(length) if strategy.checkShortSignal(i)]
# These are for plotting
plotting_indicators = [
dict(name="rsx",
title="RSX",