def test_buy(self):
ticker = "NEOUSDT"
price = 100
quantity = .5
test_account = Account(balance=100)
test_account.buy(price, quantity, ticker)
result = test_account.position_exists("NEOUSDT")
self.assertEqual(True, result)
position = test_account.get_position("NEOUSDT")
self.assertEqual(float(-50), position["cash"])
def test_buy_sell_2(self):
ticker = "NEOUSDT"
price = 100
quantity = .5
test_account = Account(balance=100)
test_account.buy(price, quantity, ticker)
self.assertEqual(test_account.get_balance(), 50)
self.assertEqual(test_account.position_exists(ticker), True)
test_account.buy(price, quantity, ticker)
self.assertEqual(test_account.get_balance(), 0)
test_account.sell(100, 1, ticker)
self.assertEqual(test_account.get_balance(), 100)
self.assertEqual(test_account.position_exists(ticker), False)
str(test_account)
def test_buy_sell(self):
ticker = "NEOUSDT"
price = 1000
quantity = 1
test_account = Account(balance=100)
test_account.buy(price, quantity, ticker)
str(test_account)
price = 1005
quantity = 1
test_account.sell(price, quantity, ticker)
str(test_account)
result = test_account.position_exists("NEOUSDT")
self.assertEqual(False, result)
def run():
logging.basicConfig(filename='log.txt',
filemode='a',
format='%(asctime)s,%(msecs)d %(name)s %(levelname)s %(message)s',
datefmt='%d-%b-%y %H:%M:%S',
level=logging.DEBUG)
logging.info('Initiating Run')
auth_client = Account()
history = History('BTC-USD')
sma50 = history.sma(50)
sma100 = history.sma(100)
if sma50 > sma100:
bull_flag = True
else:
bull_flag = False
while True:
if datetime.now().minute == 0:
history = History('BTC-USD')
if bull_flag is False and history.sma(50) > history.sma(100):
buy = auth_client.buy('BTC-USD')
logging.info(f'Golden Cross: {buy}')
bull_flag = True
if bull_flag is True and history.sma(50) < history.sma(100):
sell = auth_client.sell('BTC-USD')
logging.info(f'Death Cross: {sell}')
bull_flag = False
else:
logging.info('No Crossover event')
time.sleep((60 * 60) - datetime.now().minute * 60 - (datetime.now().microsecond / 1000000))
else:
time.sleep((60 * 60) - datetime.now().minute * 60 - (datetime.now().microsecond / 1000000))
class Backtest(object):
def __init__(self, strategy, symbol, n):
print("Starting backtest for " + symbol + " using " + strategy)
self.start_time = time.time()
self._account = Account()
prices = Technical.get_historical_prices(symbol)[-n:]
method_to_use = getattr(self, strategy)
result = method_to_use(prices)
self.backtest(symbol, result, prices, method_to_use.__name__)
def strat(self, prices):
result = []
return result
def bb_strat(self, prices):
upper_results = Analyzer.cross_upper_bb(prices)
lower_results = Analyzer.cross_lower_bb(prices)
result = []
for i in range(0, len(upper_results)):
#upper bands
if upper_results[i] and not upper_results[i - 1]:
result.append('b')
elif not upper_results[i] and upper_results[i - 1]:
result.append('h')
#lower bands
elif lower_results[i] and not lower_results[i - 1]:
result.append('s')
elif not lower_results[i] and lower_results[i - 1]:
result.append('h')
#else
else:
result.append('h')
return result
def backtest(self, symbol, indicators, prices, strategy):
closes = [p['close'] for p in prices]
#symbol = 'aapl'
for i in range(0, len(indicators)):
if indicators[i] == 'b':
self._account.buy(symbol, 15, closes[i])
elif indicators[i] == 's':
self._account.sell(symbol, 15, closes[i])
self._account.liquidate(symbol, closes[i])
result = {
'balance': self._account._balance,
'shares': self._account._quantity
}
exec_time = time.time() - self.start_time
print(symbol + " backtest (" + str(strategy) + ") took " + exec_time +
" to execute")
##################
## write to csv ##
##################
d = datetime.date.today()
# get abs path of directory by splitting abspath (directory | filename.ext)
directory, _ = os.path.split(os.path.abspath(__file__))
f = open(directory + '/backtests/logs/backtest_log.csv', 'a+')
f.write(symbol + ',')
f.write(str(strategy) + ',')
f.write(str(len(closes)) + ',')
f.write(str(d) + ',')
f.write(str(self._account._balance) + ',')
f.write(str(self._account._quantity) + ',')
f.write(str(len(indicators)) + '\n')
f.close()
e = open(directory + '/backtests/logs/' + symbol + '_backtest_log.csv',
'a+')
'''
e.write(symbol+',')
e.write(str(strategy)+',')
e.write(str(d)+',')
e.write(str(self._account._balance)+',')
e.write(str(self._account._quantity)+'\n')
'''
for b in self._account._balances:
e.write(str(b) + '\n')
e.close()
g = open(
directory + '/backtests/results/' + symbol +
'_backtest_result.csv', 'a+')
g.write(symbol + ',')
g.write(str(strategy) + ',')
g.write(str(len(closes)) + ',')
g.write(str(d) + ',')
g.write(str(self._account._balance) + ',')
g.write(str(self._account._quantity) + ',')
g.write(str(len(indicators)) + '\n')
g.close()
return result
