btrader/first_strategy_no_if.py at master · j45p41/btrader · GitHub

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import datetime
import os.path
import sys

import backtrader as bt
import backtrader.feeds as btfeed


# CSV INPUT FILE FORMAT CONFIGURATION
class dataFeed(btfeed.GenericCSVData):
    params = (
        ('dtformat', '%Y-%m-%d %H:%M:%S'),
        ('datetime', 0),
        ('open', 1),
        ('high', 2),
        ('low', 3),
        ('close', 4),
        ('volume', 5),
        ('openinterest', -1)
    )


# MAIN STRATEGY DEFINITION
class firstStrategy(bt.Strategy):
    params = (
        ("period", 21),
        ("rsi_low", 41),
        ("rsi_high", 66),
    )

    def __init__(self):
        self.startcash = self.broker.getvalue()
        self.rsi = bt.indicators.RSI_SMA(self.data.close, period=self.params.period)

    def next(self):
        if not self.position:
            if self.rsi < self.params.rsi_low:
                self.buy(size=10)
        else:
            if self.rsi > self.params.rsi_high:
                self.sell(size=10)


# INPUT CONDITIONS TO FEED INTO CEREBRO IS ADDED HERE

# Variable for our starting cash
startcash = 10000
# Create an instance of cerebro
cerebro = bt.Cerebro(optreturn=False)

# ADD STRATEGY
cerebro.optstrategy(firstStrategy, period=range(11, 15), rsi_low=range(21, 32), rsi_high=range(61, 72))

# DATA FEED FROM EXCHANGE
symbol = str('ETH/USDT')
timeframe = str('15m')
exchange = str('poloniex')
exchange_out = str(exchange)
start_date = str('2018-3-10 00:00:00')
end_date = str('2018-3-16 19:00:00')


# CSV File Name
symbol_out = symbol.replace("/", "")
filename = '{}-{}-{}.csv'.format(exchange_out, symbol_out, timeframe)


# READ DATA FROM CSV FILE
modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
datapath = os.path.join(modpath, str(filename))
data = dataFeed(dataname=datapath, timeframe=bt.TimeFrame.Minutes, compression=15, )

# Add the data to Cerebro
cerebro.adddata(data)

# Set our desired cash start
cerebro.broker.setcash(startcash)

# RUN STRATEGY THROUGH CEREBRO USING INPUT DATA
opt_runs = cerebro.run()

# CREATE A LIST VARIABLE THAT CONTAINS RESULTS
final_results_list = []
for run in opt_runs:
    for strategy in run:
        value = round(strategy.broker.get_value(), 2)
        PnL = round(value - startcash, 2)
        period = strategy.params.period
        rsi_low = strategy.params.rsi_low
        rsi_high = strategy.params.rsi_high
        final_results_list.append([period, rsi_low, rsi_high, PnL])

# Sort Results List
by_period = sorted(final_results_list, key=lambda x: x[0])
by_PnL = sorted(final_results_list, key=lambda x: x[3], reverse=True)

# Print results

print('Results: Ordered by Profit:')
for result in by_PnL:
    print('Period: {}, rsi_low: {}, rsi_high: {}, PnL: {}'.format(result[0], result[1], result[2], result[3]))

# cerebro.plot(style='candlestick')