Experimenting with Cerebro

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)

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()

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()

kraken_bot/cerebro_bot.py

@@ -0,0 +1,10 @@
+
+
+
+
+
+
+
+
+
+class KrakenBot(KrakenAPI)

kraken_bot/test.py

@@ -0,0 +1,4 @@
+from backtesting import Backtest
+
+def main():
+    backtest = Backtest(data, strategy, cash, commission, exclusive_orders