michaelhly / cryptobacktester Goto Github PK

#INITIALIZE SRATEGY OBJECTS TO KEEP TRACK OF
timeframe = 50
upper, middle, lower = talib.BBANDS(np.array(close_prices),timeframe,nbdevup=2,nbdevdn=2,matype=0)

if(timeframe > len(dates)):
    raise ValueError("Timeframe cannot be greater than the total amount of candles")

# MAIN LOOP

def main():
    # INDEX: Index of current candle from the historical data, start from 0 to len(dates)
    # DATE:  Date of the current candle
    for index,date in enumerate(dates[timeframe:]):

        #--------------------------------IMPLEMENT STRATEGY HERE--------------------------------------------#

        #Bollinger Band strategy from http://pythontrader.blogspot.com/2015/05/ta-lib-usage-bollinger-bands.html

        #Localize Data
        close = close_prices[index]
        up = upper[index]
        mid = middle[index]
        low = lower[index]

        # If price is below the recent lower band and we have
        # no long positions then invest the entire
        #portfolio value into ASSET
        if close < low:
            if portfolio['currency'] > 0:
                test_buy(time = date, price=close)
                storage['trades']+=1

         # If price is above the recent upper band and we have
         # no short positions then invest the entire
         # portfolio value to short ASSET
        elif close > up:
            if portfolio['assets'] > 0:
                test_sell(time = date, price=close)
                storage['trades']+=1

def chart():
    # PLOT OBJECTS
    ax1.plot(dates[timeframe:],close_prices[timeframe:],linestyle="",marker='.',
        color='white',label='PRICE')
    ax1.plot(dates[timeframe:],upper[timeframe:],color='b',label='UPPERBAND')
    ax1.plot(dates[timeframe:],middle[timeframe:],color='g',label='MIDDLEBAND')
    ax1.plot(dates[timeframe:],lower[timeframe:],color='r',label='LOWERBAND')

    # PLOT VOLUME
    #*************Width of volume bar should be widened accordingly
    #*************Will find a way to fix small bars
    ax2.bar(dates[timeframe:],volume[timeframe:], width=200)


    #FORMATTING
    plt.suptitle("BACKTEST RESULT: %s, %s - %s" % (PAIR, datetime.datetime.utcfromtimestamp(info['begin']), datetime.datetime.utcfromtimestamp(info['end'])))
    plt.setp(ax1.get_xticklabels(), visible = False)
    ax1.autoscale(enable=True, axis='y')
    ax1.autoscale(enable=True, axis='x')
    ax1.get_xaxis().get_major_formatter().set_useOffset(False)
    ax1.get_xaxis().get_major_formatter().set_scientific(False)
    ax1.grid(True)

    for label in ax2.xaxis.get_ticklabels():
        label.set_rotation(90)