class StrategyAnalyzer():
"""
Executes the trading strategies and analyzes the results.
"""
def __init__(self, config):
self.exchange_aggregator = ExchangeInterface(config)
self.logger = structlog.get_logger()
def analyze_breakout(self, coin_pair, period_count=5, time_unit='5m'):
breakout_analyzer = Breakout()
historical_data = self.exchange_aggregator.get_historical_data(
coin_pair=coin_pair,
period_count=period_count,
time_unit=time_unit)
breakout_value, is_breaking_out = breakout_analyzer.find_breakout(historical_data)
return breakout_value, is_breaking_out
def analyze_rsi(self, coin_pair, period_count=18, time_unit='1h'):
rsi_analyzer = RelativeStrengthIndex()
historical_data = self.exchange_aggregator.get_historical_data(
coin_pair=coin_pair,
period_count=period_count,
time_unit=time_unit
)
rsi_value = rsi_analyzer.find_rsi(historical_data)
return rsi_value
def analyze_moving_averages(self, coin_pair, period_count=20, time_unit='5m'):
ma_analyzer = MovingAverages()
historical_data = self.exchange_aggregator.get_historical_data(
coin_pair=coin_pair,
period_count=period_count,
time_unit=time_unit
)
sma_value = ma_analyzer.calculate_sma(period_count, historical_data)
ema_value = ma_analyzer.calculate_ema(period_count, historical_data)
return sma_value, ema_value
def analyze_ichimoku_cloud(self, coin_pair):
ic_analyzer = IchimokuCloud()
base_line_data = self.exchange_aggregator.get_historical_data(
coin_pair=coin_pair,
period_count=26,
time_unit='1d'
)
conversion_line_data = self.exchange_aggregator.get_historical_data(
coin_pair=coin_pair,
period_count=9,
time_unit='1d'
)
span_b_data = self.exchange_aggregator.get_historical_data(
coin_pair=coin_pair,
period_count=52,
time_unit='1d'
)
leading_span_a = ic_analyzer.calculate_leading_span_a(base_line_data, conversion_line_data)
leading_span_b = ic_analyzer.calculate_leading_span_b(span_b_data)
return leading_span_a, leading_span_b
def main():
with open("app/config.yml", 'r') as stream:
data_loaded = yaml.load(stream)
exchangeInterface = ExchangeInterface(data_loaded['exchanges'])
exchange = list(data_loaded['exchanges'].keys())[0]
market_pair = data_loaded['settings']['market_pairs'][0]
interval = data_loaded['settings']['update_interval']
max_periods = data_loaded['settings']['backtest_periods']
ohlcv = exchangeInterface.get_historical_data(exchange, market_pair,
interval, max_periods)
first = CDL_Test(ohlcv)
cdl_list = list(map(lambda x: eval('talib.' + x), cdl))
params_list = {'trailing_window': [10, 15], 'indicator': cdl_list}
#result = first.run_algorithm(params_list)
best_sharpe, params = first.optim_algo(params_list)
first.optim_grid.sort_values(by='sharpe', ascending=False)
result = first.run_algorithm(params)
pf.create_full_tear_sheet(result.returns)