From 43f5ae3c530279bfd870ec35b2b63a67df9d3c02 Mon Sep 17 00:00:00 2001 From: Eric Meehan Date: Thu, 12 Dec 2024 13:57:42 -0500 Subject: [PATCH] Experimenting with Cerebro --- app.py | 56 ++- btc.csv | 720 +++++++++++++++++++++++++++ kraken_bot/KrakenBot.py | 25 - kraken_bot/MovingAverageCrossOver.py | 64 +++ kraken_bot/SMAcross.py | 17 + kraken_bot/cerebro_bot.py | 10 + kraken_bot/test.py | 4 + kraken_bot/trade.py | 0 requirements.txt | 3 +- test.py | 119 +++++ 10 files changed, 971 insertions(+), 47 deletions(-) create mode 100644 btc.csv create mode 100644 kraken_bot/MovingAverageCrossOver.py create mode 100644 kraken_bot/SMAcross.py create mode 100644 kraken_bot/cerebro_bot.py create mode 100644 kraken_bot/test.py create mode 100644 kraken_bot/trade.py create mode 100644 test.py diff --git a/app.py b/app.py index 7366996..c2baac6 100644 --- a/app.py +++ b/app.py @@ -1,32 +1,46 @@ +import backtrader +import krakenex import logging import os -from kraken_bot.KrakenBot import KrakenBot -from kraken_bot.LinearRegression import LinearRegression -from kraken_bot.HighLowCutoff import HighLowCutoff from dotenv import load_dotenv +from pykrakenapi import KrakenAPI +from time import sleep + +from kraken_bot.MovingAverageCrossOver import MA_CrossOver load_dotenv() +token = os.getenv('KRAKEN_API_TOKEN') +secret = os.getenv('KRAKEN_API_SEC') +tier = os.getenv('KRAKEN_API_TIER', 'Pro') +asset_pair = os.getenv('KRAKEN_TRADABLE_ASSET_PAIR', 'XBTUSD') +interval = int(os.getenv('KRAKEN_DATA_INTERVAL', 60)) +percents = float(os.getenv('CEREBRO_SIZER_PERCENTS', 50)) logger = logging.getLogger(__name__) +kraken = KrakenAPI(krakenex.API(token, secret), tier) +cerebro = backtrader.Cerebro() -model = LinearRegression( - r_value_target = float(os.getenv('R_VALUE_TARGET')) - ) -strategy = HighLowCutoff( - investment_count = int(os.getenv('INVESTMENT_COUNT')), - investment_volume = float(os.getenv('INVESTMENT_VOLUME')), - target_gain = float(os.getenv('TARGET_GAIN')), - max_loss = float(os.getenv('MAX_LOSS')) - ) -bot = KrakenBot( - token = os.getenv('KRAKEN_API_TOKEN'), - secret = os.getenv('KRAKEN_API_SEC'), - tier = 'Pro', - model = model, - trading_strategy = strategy - ) +market = kraken.get_tradable_asset_pairs(pair=asset_pair).iloc[0] +sleep(kraken.factor) +cerebro.broker.setcommission(commission=market.fees[0][1]/100) + +ohlc, last = kraken.get_ohlc_data(asset_pair, interval=interval, since=None, ascending=True) +sleep(kraken.factor) +cerebro.adddata(backtrader.feeds.PandasData(dataname=ohlc)) + +account_balance = kraken.get_trade_balance(asset='ZUSD').loc['eb'].ZUSD +sleep(kraken.factor) +cerebro.broker.setcash(account_balance) +cerebro.addsizer(backtrader.sizers.PercentSizer, percents=percents) + +cerebro.addstrategy(MA_CrossOver) if __name__ == '__main__': - bot.update(full=True) - bot.execute() + start_balance = cerebro.broker.getvalue() + print('Starting Portfolio Value: %.6f' % start_balance) + x = cerebro.run() + end_balance = cerebro.broker.getvalue() + print('Final Portfolio Value: %.6f' % end_balance) + print('Percent change: %.6f' % (((end_balance - start_balance)/start_balance) * 100)) + cerebro.plot(style='candlestick') diff --git a/btc.csv b/btc.csv new file mode 100644 index 0000000..34bdc11 --- /dev/null +++ b/btc.csv @@ -0,0 +1,720 @@ +Date,Open,High,Low,Close,Volume +2024-10-03 01:48:00,60941.7,60941.7,60941.6,60941.7,0.00192792 +2024-10-03 01:47:00,60941.6,60941.6,60941.6,60941.6,0.00036559 +2024-10-03 01:46:00,60964.8,60964.8,60956.1,60959.5,2.39082637 +2024-10-03 01:45:00,61054.9,61054.9,60947.5,60959.6,27.38128538 +2024-10-03 01:44:00,61111.4,61111.4,61054.9,61054.9,0.22586219 +2024-10-03 01:43:00,61111.4,61111.4,61111.4,61111.4,0.03045812 +2024-10-03 01:42:00,61111.5,61111.5,61111.4,61111.4,0.03083604 +2024-10-03 01:41:00,61128.9,61128.9,61111.4,61111.4,0.18863174 +2024-10-03 01:40:00,61121.9,61129.0,61121.9,61129.0,0.03936085 +2024-10-03 01:39:00,61122.0,61122.0,61121.9,61122.0,0.02317636 +2024-10-03 01:38:00,61111.5,61122.0,61111.5,61121.9,0.03609881 +2024-10-03 01:37:00,61111.4,61111.4,61111.4,61111.4,0.02991819 +2024-10-03 01:36:00,61111.4,61122.0,61111.4,61111.4,0.03419148 +2024-10-03 01:35:00,61137.5,61137.5,61111.4,61111.4,0.02703811 +2024-10-03 01:34:00,61121.9,61140.0,61121.9,61137.5,0.27738967 +2024-10-03 01:33:00,61111.5,61134.0,61111.5,61117.7,0.00972443 +2024-10-03 01:32:00,61111.5,61111.5,61111.5,61111.5,0.00792761 +2024-10-03 01:31:00,61150.6,61155.2,61111.4,61111.5,0.00398603 +2024-10-03 01:30:00,61150.4,61150.4,61150.3,61150.4,0.02354478 +2024-10-03 01:29:00,61088.0,61150.3,61088.0,61150.3,1.22109146 +2024-10-03 01:28:00,61084.7,61088.0,61080.7,61088.0,0.10412798 +2024-10-03 01:27:00,61084.7,61084.7,61084.7,61084.7,0.02980308 +2024-10-03 01:26:00,61084.7,61084.7,61084.7,61084.7,0.00420059 +2024-10-03 01:25:00,61070.2,61084.7,61070.1,61084.7,0.58768123 +2024-10-03 01:24:00,61070.2,61070.2,61070.1,61070.2,0.40155356 +2024-10-03 01:23:00,61084.7,61084.7,61068.2,61070.2,0.22824862 +2024-10-03 01:22:00,61084.7,61084.7,61084.7,61084.7,0.00747625 +2024-10-03 01:21:00,61053.9,61084.7,61053.8,61084.7,0.02826577 +2024-10-03 01:20:00,61027.7,61054.9,61027.6,61053.8,0.120136 +2024-10-03 01:19:00,61073.0,61073.0,60996.1,61012.6,17.70776187 +2024-10-03 01:18:00,61073.1,61078.5,61073.1,61078.5,0.03716132 +2024-10-03 01:17:00,61084.7,61084.7,61073.1,61073.1,0.00864107 +2024-10-03 01:16:00,61084.7,61084.7,61078.0,61084.7,0.08309725 +2024-10-03 01:15:00,61084.6,61084.7,61084.6,61084.6,0.01881328 +2024-10-03 01:14:00,61075.0,61084.7,61070.4,61084.7,0.10218718 +2024-10-03 01:13:00,61068.6,61071.0,61062.9,61062.9,0.00945853 +2024-10-03 01:12:00,61066.9,61066.9,61042.1,61056.2,0.02087038 +2024-10-03 01:11:00,60992.1,61034.6,60992.1,61034.6,0.07701177 +2024-10-03 01:10:00,61032.6,61032.6,60985.7,60997.3,0.02886873 +2024-10-03 01:09:00,61070.9,61070.9,61030.9,61030.9,0.01532724 +2024-10-03 01:08:00,61084.7,61084.7,61066.9,61066.9,0.10617208 +2024-10-03 01:07:00,61084.6,61084.6,61065.0,61065.0,0.12820765 +2024-10-03 01:06:00,61070.0,61084.7,61066.4,61084.7,0.14541381 +2024-10-03 01:05:00,61084.6,61084.7,61058.4,61058.4,0.02640964 +2024-10-03 01:04:00,61077.1,61084.7,61072.0,61084.7,0.30840065 +2024-10-03 01:03:00,61075.0,61077.1,61075.0,61077.0,0.03976611 +2024-10-03 01:02:00,61062.4,61075.0,61062.4,61075.0,0.05759083 +2024-10-03 01:01:00,61030.0,61062.3,61030.0,61062.3,0.26136118 +2024-10-03 01:00:00,60962.8,61030.1,60962.8,61030.0,0.87339951 +2024-10-03 00:59:00,60962.7,60962.8,60962.7,60962.8,0.05565003 +2024-10-03 00:58:00,60930.3,60962.8,60930.3,60962.8,0.02319628 +2024-10-03 00:57:00,60902.5,60914.8,60882.0,60900.8,0.03227045 +2024-10-03 00:56:00,60873.6,60884.4,60873.6,60884.4,0.01277223 +2024-10-03 00:55:00,60896.3,60896.3,60833.9,60866.9,5.81349821 +2024-10-03 00:54:00,60960.1,60960.1,60888.1,60888.1,0.80960395 +2024-10-03 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13:53:00,61165.6,61200.0,61165.6,61200.0,0.7798256 +2024-10-02 13:52:00,61102.6,61180.1,61102.6,61180.1,0.03057016 +2024-10-02 13:51:00,61212.0,61223.8,61138.0,61138.0,4.19606046 +2024-10-02 13:50:00,61203.4,61221.1,61203.4,61212.0,3.2948605 diff --git a/kraken_bot/KrakenBot.py b/kraken_bot/KrakenBot.py index de6ad0b..54ebe32 100644 --- a/kraken_bot/KrakenBot.py +++ b/kraken_bot/KrakenBot.py @@ -77,28 +77,3 @@ class KrakenBot(KrakenAPI): order.close_price, order.close_price2, order.deadline, order.validate, order.otp) self.log.info(order) self.update() - - def update(self, full=False): - self.log.debug(f"update: full={full}") - self._update_tradable_asset_pairs() - self._filter_tradable_asset_pairs() - self._update_account_balance() - self._filter_account_balance() - self._update_trade_balance() - if full: - self._update_ohlc_data() - self.model.update( - self.tradable_asset_pairs, - self.ohlc_data - ) - self.trading_strategy.update( - self.tradable_asset_pairs, - self.ohlc_data, - self.model.analysis, - self.account_balance - ) - - def execute(self): - self.log.debug(f"execute") - for order in self.trading_strategy.orders: - self._add_standard_order(order) diff --git a/kraken_bot/MovingAverageCrossOver.py b/kraken_bot/MovingAverageCrossOver.py new file mode 100644 index 0000000..797d846 --- /dev/null +++ b/kraken_bot/MovingAverageCrossOver.py @@ -0,0 +1,64 @@ +import backtrader + +class MA_CrossOver(backtrader.Strategy): + '''This is a long-only strategy which operates on a moving average cross + + Note: + - Although the default + + Buy Logic: + - No position is open on the data + + - The ``fast`` moving averagecrosses over the ``slow`` strategy to the + upside. + + Sell Logic: + - A position exists on the data + + - The ``fast`` moving average crosses over the ``slow`` strategy to the + downside + + Order Execution Type: + - Market + + ''' + alias = ('SMA_CrossOver',) + + params = ( + # period for the fast Moving Average + ('fast', 24), + # period for the slow moving average + ('slow', 72), + # moving average to use + ('_movav', backtrader.ind.MovAv.SMA) + ) + + def __init__(self): + sma_fast = self.p._movav(period=self.p.fast) + sma_slow = self.p._movav(period=self.p.slow) + self.buysig = backtrader.ind.CrossOver(sma_fast, sma_slow) + + def log(self, txt, dt=None): + ''' Logging function fot this strategy''' + dt = dt or self.datas[0].datetime.date(0) + print('%s, %s' % (dt.isoformat(), txt)) + + def notify_order(self, order): + if order.status in [order.Submitted, order.Accepted]: + return + if order.status in [order.Completed]: + if order.isbuy(): + self.log('BUY EXECUTED, %.6f' % order.executed.price) + elif order.issell(): + self.log('SELL EXECUTED, %.6f' % order.executed.price) + self.bar_executed = len(self) + elif order.status in [order.Canceled, order.Margin, order.Rejected]: + self.log('Order Canceled/Margin/Rejected') + self.order = None + + def next(self): + if self.position.size: + if self.buysig < 0: + self.sell() + elif self.buysig > 0: + self.buy() diff --git a/kraken_bot/SMAcross.py b/kraken_bot/SMAcross.py new file mode 100644 index 0000000..0aae95f --- /dev/null +++ b/kraken_bot/SMAcross.py @@ -0,0 +1,17 @@ +from backtesting import Strategy +from backtesting.lib import crossover + +class SMAcross(Strategy): + n1 = 50 + n2 = 100 + + def __init__(self): + close = self.data.Close + self.sma1 = self.I(ta.trend.sma_indicator, pd.Series(close), self.n1) + self.sma2 = self.I(ta.trend.sma_indicator, pd.Series(close), self.n2) + + def next(self): + if crossover(self.sma1, self.sma2): + self.buy() + elif crossover(self.sma2, self.sma1): + self.sell() diff --git a/kraken_bot/cerebro_bot.py b/kraken_bot/cerebro_bot.py new file mode 100644 index 0000000..0aa61d2 --- /dev/null +++ b/kraken_bot/cerebro_bot.py @@ -0,0 +1,10 @@ + + + + + + + + + +class KrakenBot(KrakenAPI) diff --git a/kraken_bot/test.py b/kraken_bot/test.py new file mode 100644 index 0000000..c1b1451 --- /dev/null +++ b/kraken_bot/test.py @@ -0,0 +1,4 @@ +from backtesting import Backtest + +def main(): + backtest = Backtest(data, strategy, cash, commission, exclusive_orders diff --git a/kraken_bot/trade.py b/kraken_bot/trade.py new file mode 100644 index 0000000..e69de29 diff --git a/requirements.txt b/requirements.txt index 1e41a8c..9fc2a67 100644 --- a/requirements.txt +++ b/requirements.txt @@ -1,4 +1,5 @@ krakenex pykrakenapi python-dotenv -scipy +backtrader +matplotlib diff --git a/test.py b/test.py new file mode 100644 index 0000000..9c45328 --- /dev/null +++ b/test.py @@ -0,0 +1,119 @@ +from __future__ import (absolute_import, division, print_function, + unicode_literals) + +import datetime # For datetime objects +import os.path # To manage paths +import sys # To find out the script name (in argv[0]) + +# Import the backtrader platform +import backtrader as bt + + +# Create a Stratey +class TestStrategy(bt.Strategy): + + def log(self, txt, dt=None): + ''' Logging function fot this strategy''' + dt = dt or self.datas[0].datetime.date(0) + print('%s, %s' % (dt.isoformat(), txt)) + + def __init__(self): + # Keep a reference to the "close" line in the data[0] dataseries + self.dataclose = self.datas[0].close + + # To keep track of pending orders + self.order = None + + def notify_order(self, order): + if order.status in [order.Submitted, order.Accepted]: + # Buy/Sell order submitted/accepted to/by broker - Nothing to do + return + + # Check if an order has been completed + # Attention: broker could reject order if not enough cash + if order.status in [order.Completed]: + if order.isbuy(): + self.log('BUY EXECUTED, %.2f' % order.executed.price) + elif order.issell(): + self.log('SELL EXECUTED, %.2f' % order.executed.price) + + self.bar_executed = len(self) + + elif order.status in [order.Canceled, order.Margin, order.Rejected]: + self.log('Order Canceled/Margin/Rejected') + + # Write down: no pending order + self.order = None + + def next(self): + # Simply log the closing price of the series from the reference + self.log('Close, %.2f' % self.dataclose[0]) + + # Check if an order is pending ... if yes, we cannot send a 2nd one + if self.order: + return + + # Check if we are in the market + if not self.position: + + # Not yet ... we MIGHT BUY if ... + if self.dataclose[0] < self.dataclose[-1]: + # current close less than previous close + + if self.dataclose[-1] < self.dataclose[-2]: + # previous close less than the previous close + + # BUY, BUY, BUY!!! (with default parameters) + self.log('BUY CREATE, %.2f' % self.dataclose[0]) + + # Keep track of the created order to avoid a 2nd order + self.order = self.buy() + + else: + + # Already in the market ... we might sell + if len(self) >= (self.bar_executed + 5): + # SELL, SELL, SELL!!! (with all possible default parameters) + self.log('SELL CREATE, %.2f' % self.dataclose[0]) + + # Keep track of the created order to avoid a 2nd order + self.order = self.sell() + + +if __name__ == '__main__': + # Create a cerebro entity + cerebro = bt.Cerebro() + + # Add a strategy + cerebro.addstrategy(TestStrategy) + + # Datas are in a subfolder of the samples. Need to find where the script is + # because it could have been called from anywhere + modpath = os.path.dirname(os.path.abspath(sys.argv[0])) + datapath = os.path.join(modpath, '../../Downloads/orcl-1995-2014.txt') + + # Create a Data Feed + data = bt.feeds.YahooFinanceCSVData( + dataname=datapath, + # Do not pass values before this date + fromdate=datetime.datetime(2000, 1, 1), + # Do not pass values before this date + todate=datetime.datetime(2000, 12, 31), + # Do not pass values after this date + reverse=False) + + # Add the Data Feed to Cerebro + cerebro.adddata(data) + + # Set our desired cash start + cerebro.broker.setcash(1) + + # Print out the starting conditions + print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) + + # Run over everything + cerebro.run() + + # Print out the final result + print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue()) + cerebro.plot()