Experimenting with Cerebro
This commit is contained in:
parent
b78637490a
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56
app.py
56
app.py
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import backtrader
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import krakenex
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import logging
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import os
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from kraken_bot.KrakenBot import KrakenBot
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from kraken_bot.LinearRegression import LinearRegression
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from kraken_bot.HighLowCutoff import HighLowCutoff
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from dotenv import load_dotenv
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from pykrakenapi import KrakenAPI
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from time import sleep
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from kraken_bot.MovingAverageCrossOver import MA_CrossOver
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load_dotenv()
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token = os.getenv('KRAKEN_API_TOKEN')
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secret = os.getenv('KRAKEN_API_SEC')
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tier = os.getenv('KRAKEN_API_TIER', 'Pro')
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asset_pair = os.getenv('KRAKEN_TRADABLE_ASSET_PAIR', 'XBTUSD')
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interval = int(os.getenv('KRAKEN_DATA_INTERVAL', 60))
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percents = float(os.getenv('CEREBRO_SIZER_PERCENTS', 50))
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logger = logging.getLogger(__name__)
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kraken = KrakenAPI(krakenex.API(token, secret), tier)
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cerebro = backtrader.Cerebro()
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model = LinearRegression(
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r_value_target = float(os.getenv('R_VALUE_TARGET'))
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)
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strategy = HighLowCutoff(
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investment_count = int(os.getenv('INVESTMENT_COUNT')),
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investment_volume = float(os.getenv('INVESTMENT_VOLUME')),
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target_gain = float(os.getenv('TARGET_GAIN')),
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max_loss = float(os.getenv('MAX_LOSS'))
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)
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bot = KrakenBot(
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token = os.getenv('KRAKEN_API_TOKEN'),
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secret = os.getenv('KRAKEN_API_SEC'),
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tier = 'Pro',
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model = model,
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trading_strategy = strategy
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)
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market = kraken.get_tradable_asset_pairs(pair=asset_pair).iloc[0]
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sleep(kraken.factor)
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cerebro.broker.setcommission(commission=market.fees[0][1]/100)
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ohlc, last = kraken.get_ohlc_data(asset_pair, interval=interval, since=None, ascending=True)
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sleep(kraken.factor)
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cerebro.adddata(backtrader.feeds.PandasData(dataname=ohlc))
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account_balance = kraken.get_trade_balance(asset='ZUSD').loc['eb'].ZUSD
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sleep(kraken.factor)
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cerebro.broker.setcash(account_balance)
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cerebro.addsizer(backtrader.sizers.PercentSizer, percents=percents)
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cerebro.addstrategy(MA_CrossOver)
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if __name__ == '__main__':
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bot.update(full=True)
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bot.execute()
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start_balance = cerebro.broker.getvalue()
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print('Starting Portfolio Value: %.6f' % start_balance)
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x = cerebro.run()
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end_balance = cerebro.broker.getvalue()
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print('Final Portfolio Value: %.6f' % end_balance)
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print('Percent change: %.6f' % (((end_balance - start_balance)/start_balance) * 100))
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cerebro.plot(style='candlestick')
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btc.csv
Normal file
720
btc.csv
Normal file
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Date,Open,High,Low,Close,Volume
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2024-10-03 01:48:00,60941.7,60941.7,60941.6,60941.7,0.00192792
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2024-10-03 01:47:00,60941.6,60941.6,60941.6,60941.6,0.00036559
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2024-10-03 01:46:00,60964.8,60964.8,60956.1,60959.5,2.39082637
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2024-10-03 01:45:00,61054.9,61054.9,60947.5,60959.6,27.38128538
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2024-10-03 01:44:00,61111.4,61111.4,61054.9,61054.9,0.22586219
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2024-10-03 01:43:00,61111.4,61111.4,61111.4,61111.4,0.03045812
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2024-10-03 01:42:00,61111.5,61111.5,61111.4,61111.4,0.03083604
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2024-10-03 01:41:00,61128.9,61128.9,61111.4,61111.4,0.18863174
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2024-10-03 01:40:00,61121.9,61129.0,61121.9,61129.0,0.03936085
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2024-10-03 01:39:00,61122.0,61122.0,61121.9,61122.0,0.02317636
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2024-10-03 01:38:00,61111.5,61122.0,61111.5,61121.9,0.03609881
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2024-10-03 01:37:00,61111.4,61111.4,61111.4,61111.4,0.02991819
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2024-10-03 01:36:00,61111.4,61122.0,61111.4,61111.4,0.03419148
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2024-10-03 01:35:00,61137.5,61137.5,61111.4,61111.4,0.02703811
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2024-10-03 01:34:00,61121.9,61140.0,61121.9,61137.5,0.27738967
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2024-10-03 01:33:00,61111.5,61134.0,61111.5,61117.7,0.00972443
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2024-10-03 01:32:00,61111.5,61111.5,61111.5,61111.5,0.00792761
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2024-10-03 01:31:00,61150.6,61155.2,61111.4,61111.5,0.00398603
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2024-10-03 01:30:00,61150.4,61150.4,61150.3,61150.4,0.02354478
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2024-10-03 01:29:00,61088.0,61150.3,61088.0,61150.3,1.22109146
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2024-10-03 01:28:00,61084.7,61088.0,61080.7,61088.0,0.10412798
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2024-10-03 01:27:00,61084.7,61084.7,61084.7,61084.7,0.02980308
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2024-10-03 01:26:00,61084.7,61084.7,61084.7,61084.7,0.00420059
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2024-10-03 01:25:00,61070.2,61084.7,61070.1,61084.7,0.58768123
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2024-10-03 01:24:00,61070.2,61070.2,61070.1,61070.2,0.40155356
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2024-10-03 01:23:00,61084.7,61084.7,61068.2,61070.2,0.22824862
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2024-10-03 01:22:00,61084.7,61084.7,61084.7,61084.7,0.00747625
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2024-10-03 01:21:00,61053.9,61084.7,61053.8,61084.7,0.02826577
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2024-10-03 01:20:00,61027.7,61054.9,61027.6,61053.8,0.120136
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2024-10-03 01:19:00,61073.0,61073.0,60996.1,61012.6,17.70776187
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2024-10-03 01:18:00,61073.1,61078.5,61073.1,61078.5,0.03716132
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2024-10-03 01:17:00,61084.7,61084.7,61073.1,61073.1,0.00864107
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2024-10-03 01:16:00,61084.7,61084.7,61078.0,61084.7,0.08309725
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2024-10-03 01:15:00,61084.6,61084.7,61084.6,61084.6,0.01881328
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2024-10-03 01:14:00,61075.0,61084.7,61070.4,61084.7,0.10218718
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2024-10-03 01:13:00,61068.6,61071.0,61062.9,61062.9,0.00945853
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2024-10-03 01:12:00,61066.9,61066.9,61042.1,61056.2,0.02087038
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2024-10-03 01:11:00,60992.1,61034.6,60992.1,61034.6,0.07701177
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2024-10-03 01:10:00,61032.6,61032.6,60985.7,60997.3,0.02886873
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2024-10-03 01:09:00,61070.9,61070.9,61030.9,61030.9,0.01532724
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2024-10-03 01:08:00,61084.7,61084.7,61066.9,61066.9,0.10617208
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2024-10-03 01:07:00,61084.6,61084.6,61065.0,61065.0,0.12820765
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2024-10-03 01:06:00,61070.0,61084.7,61066.4,61084.7,0.14541381
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2024-10-03 01:05:00,61084.6,61084.7,61058.4,61058.4,0.02640964
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2024-10-03 01:04:00,61077.1,61084.7,61072.0,61084.7,0.30840065
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2024-10-03 01:03:00,61075.0,61077.1,61075.0,61077.0,0.03976611
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2024-10-03 01:02:00,61062.4,61075.0,61062.4,61075.0,0.05759083
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2024-10-03 01:01:00,61030.0,61062.3,61030.0,61062.3,0.26136118
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2024-10-03 01:00:00,60962.8,61030.1,60962.8,61030.0,0.87339951
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2024-10-03 00:59:00,60962.7,60962.8,60962.7,60962.8,0.05565003
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2024-10-03 00:58:00,60930.3,60962.8,60930.3,60962.8,0.02319628
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2024-10-03 00:57:00,60902.5,60914.8,60882.0,60900.8,0.03227045
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2024-10-03 00:56:00,60873.6,60884.4,60873.6,60884.4,0.01277223
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2024-10-03 00:55:00,60896.3,60896.3,60833.9,60866.9,5.81349821
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2024-10-03 00:54:00,60960.1,60960.1,60888.1,60888.1,0.80960395
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2024-10-03 00:53:00,60962.7,60962.7,60960.0,60960.0,0.06528149
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2024-10-03 00:52:00,60962.8,60962.8,60962.8,60962.8,0.02545886
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2024-10-03 00:51:00,60971.5,60999.4,60960.0,60960.0,0.03199203
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2024-10-03 00:50:00,60971.5,60971.5,60971.5,60971.5,0.02071592
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2024-10-03 00:49:00,61040.3,61040.3,60962.9,60962.9,0.00686643
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2024-10-03 00:48:00,60990.3,61040.3,60990.3,61040.3,0.02139681
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2024-10-03 00:47:00,60956.3,60978.0,60956.3,60978.0,0.01768778
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2024-10-03 00:46:00,60929.5,60990.3,60929.5,60956.2,0.07562597
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2024-10-03 00:45:00,60864.4,60864.4,60864.4,60864.4,0.50266485
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2024-10-03 00:44:00,60917.0,60917.0,60864.4,60864.4,0.22877433
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2024-10-03 00:43:00,60979.0,60979.0,60956.6,60956.6,1.70627764
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2024-10-03 00:42:00,61028.0,61028.0,60978.9,60979.0,0.05666772
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2024-10-03 00:41:00,61040.4,61040.4,61040.3,61040.3,0.05965864
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2024-10-03 00:40:00,61019.1,61040.3,61019.1,61033.1,0.21445694
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2024-10-03 00:39:00,61008.0,61019.1,61008.0,61019.1,0.37697061
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2024-10-03 00:38:00,60967.0,61006.7,60919.2,61006.7,0.39006281
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2024-10-03 00:37:00,60916.0,60988.9,60916.0,60967.0,2.67470324
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2024-10-03 00:36:00,60886.7,60886.8,60886.7,60886.8,0.01545281
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2024-10-03 00:35:00,60916.0,60916.0,60886.7,60886.8,0.05960182
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2024-10-03 00:34:00,60857.6,60916.0,60857.6,60915.9,1.44391437
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2024-10-03 00:33:00,60857.6,60857.6,60857.5,60857.5,0.11265412
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2024-10-03 00:32:00,60774.1,60857.6,60774.1,60857.5,1.77620111
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2024-10-03 00:31:00,60768.8,60774.2,60768.8,60774.2,0.31722191
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2024-10-03 00:30:00,60750.3,60765.0,60750.3,60765.0,0.04422446
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2024-10-03 00:29:00,60755.3,60755.3,60750.3,60750.3,5.02643754
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2024-10-03 00:28:00,60740.6,60755.3,60740.6,60755.3,0.10651164
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2024-10-03 00:27:00,60612.3,60745.6,60612.3,60745.5,0.51455105
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2024-10-03 00:26:00,60595.6,60602.3,60577.2,60602.3,0.15726288
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2024-10-03 00:25:00,60563.2,60595.7,60563.2,60595.7,0.13118561
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2024-10-03 00:24:00,60563.2,60563.2,60563.1,60563.1,0.02548689
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2024-10-03 00:23:00,60636.5,60636.5,60563.1,60563.1,4.33240305
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2024-10-03 00:22:00,60688.8,60688.8,60636.5,60636.5,5.02505381
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2024-10-03 00:21:00,60688.8,60688.8,60663.9,60688.8,0.0243193
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2024-10-03 00:20:00,60697.0,60697.0,60679.2,60688.9,0.02468987
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2024-10-03 00:19:00,60731.2,60731.2,60657.8,60657.8,35.40738259
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2024-10-03 00:18:00,60731.2,60737.9,60731.1,60731.1,0.30402558
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2024-10-03 00:17:00,60744.0,60768.0,60731.1,60731.1,2.03572373
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2024-10-03 00:16:00,60764.3,60774.1,60725.0,60725.0,12.65986645
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2024-10-03 00:15:00,60764.4,60764.4,60764.4,60764.4,0.01785678
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2024-10-03 00:14:00,60764.4,60764.4,60764.3,60764.3,0.0129612
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2024-10-03 00:13:00,60764.4,60804.2,60764.3,60764.3,50.00279641
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2024-10-03 00:12:00,60764.3,60764.4,60764.3,60764.3,0.10657399
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2024-10-03 00:11:00,60743.3,60764.4,60743.3,60764.3,0.08805361
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2024-10-03 00:10:00,60691.5,60743.2,60691.4,60743.2,0.01738532
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2024-10-03 00:09:00,60633.4,60633.4,60610.6,60618.7,0.01770073
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2024-10-03 00:08:00,60691.5,60691.5,60687.6,60687.6,0.00908901
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2024-10-03 00:07:00,60549.1,60678.1,60549.1,60678.1,3.48291505
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2024-10-03 00:06:00,60559.5,60559.5,60544.2,60549.1,0.06710788
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2024-10-03 00:05:00,60549.4,60556.3,60549.4,60556.3,0.00126318
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2024-10-03 00:04:00,60643.8,60651.3,60517.6,60517.6,1.05344494
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2024-10-03 00:03:00,60643.8,60643.8,60633.9,60643.8,0.58265957
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2024-10-03 00:02:00,60678.9,60692.7,60643.8,60643.8,0.0823466
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2024-10-03 00:01:00,60657.0,60678.9,60657.0,60678.9,0.04098681
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2024-10-03 00:00:00,60643.9,60655.5,60633.8,60655.5,0.10780241
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2024-10-02 23:59:00,60635.3,60635.3,60635.2,60635.3,0.06391448
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2024-10-02 23:58:00,60635.3,60635.3,60635.3,60635.3,0.01294311
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2024-10-02 23:57:00,60683.1,60683.1,60633.8,60635.2,0.13056324
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2024-10-02 23:56:00,60653.3,60683.0,60653.3,60683.0,1.17714463
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2024-10-02 23:55:00,60653.3,60653.3,60650.0,60653.3,0.01301144
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2024-10-02 23:54:00,60653.2,60653.3,60653.2,60653.3,0.02662025
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2024-10-02 23:53:00,60653.3,60653.3,60653.2,60653.3,0.07140614
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2024-10-02 23:52:00,60652.8,60652.8,60639.4,60646.7,0.0207362
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2024-10-02 23:51:00,60657.0,60657.0,60656.9,60656.9,0.01933319
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2024-10-02 23:50:00,60655.4,60657.0,60639.5,60657.0,0.1107943
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2024-10-02 23:49:00,60658.8,60658.8,60653.7,60653.8,0.0732675
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2024-10-02 23:48:00,60707.6,60707.6,60643.5,60643.5,0.10150296
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2024-10-02 23:47:00,60707.7,60707.7,60707.7,60707.7,0.03085072
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2024-10-02 23:46:00,60700.0,60707.7,60700.0,60707.7,0.02896155
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2024-10-02 23:45:00,60685.5,60697.8,60685.5,60687.1,0.17125773
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2024-10-02 23:44:00,60677.7,60684.1,60677.7,60682.6,0.17044277
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2024-10-02 23:43:00,60677.6,60677.7,60677.6,60677.7,0.5061796
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2024-10-02 23:42:00,60677.7,60677.7,60677.6,60677.6,0.02023703
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2024-10-02 23:41:00,60693.5,60693.5,60677.6,60677.7,0.2100438
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2024-10-02 23:40:00,60693.5,60693.5,60693.4,60693.5,0.00611539
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2024-10-02 23:39:00,60693.5,60693.5,60693.4,60693.5,1.00325603
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2024-10-02 23:38:00,60693.5,60693.5,60693.4,60693.4,0.02731249
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2024-10-02 23:37:00,60697.8,60697.8,60693.5,60693.5,0.25356346
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2024-10-02 23:36:00,60677.6,60697.9,60677.6,60697.9,0.01239113
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2024-10-02 23:35:00,60745.0,60745.0,60677.6,60677.6,2.29306338
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2024-10-02 23:34:00,60745.1,60745.1,60745.0,60745.0,0.15894719
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2024-10-02 23:33:00,60745.0,60745.1,60745.0,60745.1,0.13587685
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2024-10-02 23:32:00,60745.1,60745.1,60745.0,60745.1,0.03842484
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2024-10-02 23:31:00,60745.0,60745.1,60745.0,60745.1,0.02187855
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2024-10-02 23:30:00,60745.1,60745.1,60745.0,60745.0,0.23768455
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2024-10-02 23:29:00,60745.1,60745.1,60745.0,60745.1,0.0198978
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2024-10-02 23:28:00,60745.1,60745.1,60745.0,60745.1,0.02217905
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2024-10-02 23:27:00,60745.1,60745.1,60745.0,60745.1,0.02196307
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2024-10-02 23:26:00,60745.0,60745.1,60745.0,60745.0,0.0182034
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2024-10-02 23:25:00,60745.1,60745.1,60745.0,60745.0,1.62071742
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2024-10-02 23:24:00,60745.1,60745.1,60745.0,60745.0,0.01836969
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2024-10-02 22:54:00,60734.7,60748.4,60734.6,60748.4,0.03987535
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2024-10-02 21:03:00,60891.6,60909.0,60891.5,60902.3,0.36268076
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2024-10-02 20:59:00,60954.2,60954.2,60886.3,60891.6,12.38486695
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2024-10-02 20:58:00,60955.9,60956.0,60925.0,60954.3,30.16004561
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2024-10-02 20:57:00,60938.0,60956.0,60938.0,60955.9,4.52388465
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2024-10-02 20:48:00,60765.0,60827.7,60765.0,60827.7,0.07374198
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2024-10-02 20:41:00,60595.2,60634.1,60595.2,60633.9,0.00891392
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2024-10-02 20:40:00,60683.6,60683.6,60595.2,60595.2,0.11063165
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2024-10-02 20:39:00,60653.4,60687.8,60651.9,60687.7,1.17784942
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2024-10-02 20:38:00,60580.7,60652.0,60580.6,60652.0,3.20587993
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2024-10-02 20:37:00,60600.2,60600.2,60580.7,60580.7,0.01147934
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2024-10-02 20:35:00,60572.0,60600.0,60572.0,60580.6,3.34436072
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2024-10-02 20:34:00,60566.2,60650.1,60566.2,60623.2,42.63006674
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2024-10-02 20:33:00,60500.7,60563.1,60500.7,60562.6,0.35410762
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2024-10-02 20:32:00,60361.4,60500.0,60361.4,60500.0,2.31689216
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2024-10-02 20:31:00,60413.0,60413.0,60361.5,60361.5,0.34550826
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2024-10-02 20:28:00,60275.6,60341.5,60258.0,60341.5,0.22353175
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2024-10-02 20:25:00,60295.2,60295.3,60211.5,60211.5,1.04046792
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2024-10-02 20:24:00,60267.4,60303.2,60267.4,60295.3,0.48594599
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2024-10-02 20:23:00,60327.8,60327.8,60267.4,60267.4,0.13951742
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2024-10-02 20:21:00,60307.7,60350.2,60307.7,60329.1,2.67561084
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2024-10-02 18:25:00,61223.9,61238.5,61223.8,61238.5,0.0680547
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2024-10-02 18:24:00,61138.2,61228.8,61138.2,61223.9,3.24779485
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2024-10-02 18:23:00,61105.8,61138.1,61105.8,61138.1,1.81514366
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2024-10-02 18:22:00,61014.5,61132.7,61014.5,61100.0,9.60579155
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2024-10-02 18:21:00,60895.1,61014.4,60880.9,61014.4,2.11249198
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2024-10-02 18:20:00,60932.7,60951.7,60895.1,60895.1,4.05461236
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2024-10-02 18:19:00,60947.8,61007.6,60937.6,60937.6,0.4162289
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2024-10-02 18:18:00,60901.4,60947.8,60871.4,60947.7,0.86514927
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2024-10-02 18:17:00,60935.1,60936.1,60901.5,60901.5,3.16223759
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2024-10-02 18:16:00,61099.9,61099.9,60935.1,60935.1,2.99130549
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2024-10-02 18:15:00,61100.1,61191.1,61099.0,61099.0,11.93844538
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2024-10-02 18:14:00,61313.8,61313.8,61100.0,61100.1,12.11406275
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2024-10-02 18:13:00,61374.0,61374.0,61311.5,61313.8,5.90360708
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2024-10-02 18:09:00,61449.1,61463.7,61439.4,61463.7,0.64401387
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2024-10-02 18:03:00,61666.1,61667.2,61664.5,61664.5,10.95605496
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2024-10-02 18:02:00,61623.2,61665.3,61623.2,61665.3,0.03200174
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2024-10-02 18:01:00,61652.0,61654.5,61623.1,61623.1,0.31612751
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2024-10-02 18:00:00,61656.9,61656.9,61652.0,61652.0,0.00147941
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2024-10-02 17:54:00,61572.9,61620.0,61572.9,61619.9,0.31865195
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2024-10-02 17:53:00,61572.9,61572.9,61572.8,61572.8,0.00511702
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2024-10-02 17:52:00,61561.1,61568.4,61561.1,61568.4,0.02605688
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2024-10-02 17:51:00,61578.9,61578.9,61560.9,61560.9,0.17691686
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2024-10-02 17:50:00,61578.0,61579.0,61578.0,61579.0,0.04945801
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2024-10-02 17:49:00,61525.4,61578.0,61525.3,61578.0,0.74777976
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2024-10-02 17:48:00,61512.0,61525.4,61512.0,61525.4,0.06135985
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2024-10-02 17:47:00,61499.2,61510.5,61499.2,61510.5,0.01499332
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2024-10-02 17:46:00,61475.3,61498.4,61475.3,61498.4,0.03231431
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2024-10-02 17:45:00,61465.2,61470.5,61465.2,61470.5,0.08039301
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2024-10-02 17:44:00,61458.0,61475.2,61458.0,61459.1,0.03049312
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2024-10-02 17:43:00,61491.9,61491.9,61452.0,61455.9,5.88419699
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2024-10-02 17:42:00,61460.0,61486.3,61460.0,61486.3,0.25514537
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2024-10-02 17:41:00,61459.4,61459.4,61459.3,61459.4,2.68527731
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2024-10-02 17:40:00,61459.4,61459.4,61459.4,61459.4,0.00103056
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2024-10-02 17:39:00,61459.3,61459.4,61459.3,61459.4,1.71323992
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2024-10-02 17:38:00,61459.4,61459.4,61459.3,61459.4,0.01264031
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2024-10-02 17:37:00,61399.9,61459.4,61399.9,61459.4,1.51767715
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2024-10-02 17:36:00,61381.9,61393.9,61370.8,61393.9,2.7823959
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2024-10-02 17:35:00,61334.2,61385.7,61292.4,61385.7,4.21550775
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2024-10-02 17:34:00,61500.0,61500.0,61334.2,61334.2,2.34572961
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2024-10-02 17:33:00,61604.8,61604.8,61500.0,61500.0,1.00947163
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|
||||
2024-10-02 14:37:00,61232.5,61292.8,61232.5,61261.2,3.11013663
|
||||
2024-10-02 14:36:00,61311.1,61315.6,61210.0,61227.6,0.44299424
|
||||
2024-10-02 14:35:00,61311.0,61311.1,61269.6,61311.1,0.74897356
|
||||
2024-10-02 14:34:00,61278.9,61349.8,61278.9,61311.1,5.36777919
|
||||
2024-10-02 14:33:00,61299.9,61299.9,61269.5,61278.8,3.15835598
|
||||
2024-10-02 14:32:00,61210.0,61293.6,61209.9,61293.6,3.08624315
|
||||
2024-10-02 14:31:00,61210.0,61210.0,61200.8,61210.0,0.16889021
|
||||
2024-10-02 14:30:00,61200.0,61210.0,61200.0,61209.9,0.27679976
|
||||
2024-10-02 14:29:00,61216.3,61216.3,61200.0,61200.0,0.2768586
|
||||
2024-10-02 14:28:00,61299.9,61299.9,61210.0,61214.3,1.46955184
|
||||
2024-10-02 14:27:00,61272.1,61300.0,61272.1,61300.0,0.31150589
|
||||
2024-10-02 14:26:00,61276.2,61279.6,61260.6,61272.0,0.61923883
|
||||
2024-10-02 14:25:00,61139.5,61234.7,61139.5,61229.1,0.16458732
|
||||
2024-10-02 14:24:00,61305.3,61305.3,61144.4,61144.4,7.68101884
|
||||
2024-10-02 14:23:00,61315.5,61325.5,61305.1,61305.3,0.1018679
|
||||
2024-10-02 14:22:00,61458.7,61458.7,61333.2,61333.2,1.93501328
|
||||
2024-10-02 14:21:00,61582.7,61582.7,61458.5,61458.5,0.53374984
|
||||
2024-10-02 14:20:00,61621.8,61646.5,61582.8,61582.8,2.67674867
|
||||
2024-10-02 14:19:00,61470.1,61617.7,61470.1,61617.7,2.50582563
|
||||
2024-10-02 14:18:00,61411.0,61459.7,61404.0,61459.7,3.24637617
|
||||
2024-10-02 14:17:00,61272.1,61411.0,61272.1,61411.0,3.35522336
|
||||
2024-10-02 14:16:00,61261.2,61275.0,61221.2,61270.9,0.07661606
|
||||
2024-10-02 14:15:00,61267.8,61267.8,61260.9,61261.3,0.28816498
|
||||
2024-10-02 14:14:00,61400.3,61400.3,61299.9,61299.9,1.21690814
|
||||
2024-10-02 14:13:00,61427.7,61427.7,61400.3,61400.3,0.29023132
|
||||
2024-10-02 14:12:00,61536.0,61536.0,61427.6,61427.7,0.60167551
|
||||
2024-10-02 14:11:00,61501.9,61528.0,61501.9,61528.0,1.11606646
|
||||
2024-10-02 14:10:00,61427.6,61501.9,61427.6,61501.9,1.67151785
|
||||
2024-10-02 14:09:00,61576.4,61576.4,61439.0,61439.0,7.82465741
|
||||
2024-10-02 14:08:00,61380.3,61576.8,61380.3,61576.5,5.85843779
|
||||
2024-10-02 14:07:00,61400.1,61400.2,61368.2,61380.3,2.42722072
|
||||
2024-10-02 14:06:00,61440.1,61440.1,61435.0,61435.0,0.6926342
|
||||
2024-10-02 14:05:00,61475.5,61475.5,61440.0,61440.1,7.23653597
|
||||
2024-10-02 14:04:00,61491.2,61502.8,61472.3,61475.5,0.09390417
|
||||
2024-10-02 14:03:00,61444.9,61525.4,61444.9,61493.8,3.99963896
|
||||
2024-10-02 14:02:00,61360.0,61445.0,61360.0,61445.0,1.40517548
|
||||
2024-10-02 14:01:00,61344.7,61360.0,61344.7,61360.0,0.23010041
|
||||
2024-10-02 14:00:00,61342.8,61349.4,61300.0,61344.7,0.02489111
|
||||
2024-10-02 13:59:00,61364.4,61364.4,61302.2,61336.8,1.42385768
|
||||
2024-10-02 13:58:00,61438.6,61438.6,61350.1,61350.1,1.43522338
|
||||
2024-10-02 13:57:00,61299.9,61438.6,61299.9,61438.6,5.6527717
|
||||
2024-10-02 13:56:00,61290.1,61300.0,61267.8,61300.0,5.14504602
|
||||
2024-10-02 13:55:00,61267.9,61297.3,61267.8,61282.8,12.09233024
|
||||
2024-10-02 13:54:00,61212.0,61267.9,61212.0,61267.9,0.91440063
|
||||
2024-10-02 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
|
|
@ -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)
|
||||
|
64
kraken_bot/MovingAverageCrossOver.py
Normal file
64
kraken_bot/MovingAverageCrossOver.py
Normal file
@ -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()
|
17
kraken_bot/SMAcross.py
Normal file
17
kraken_bot/SMAcross.py
Normal file
@ -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()
|
10
kraken_bot/cerebro_bot.py
Normal file
10
kraken_bot/cerebro_bot.py
Normal file
@ -0,0 +1,10 @@
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
class KrakenBot(KrakenAPI)
|
4
kraken_bot/test.py
Normal file
4
kraken_bot/test.py
Normal file
@ -0,0 +1,4 @@
|
||||
from backtesting import Backtest
|
||||
|
||||
def main():
|
||||
backtest = Backtest(data, strategy, cash, commission, exclusive_orders
|
0
kraken_bot/trade.py
Normal file
0
kraken_bot/trade.py
Normal file
@ -1,4 +1,5 @@
|
||||
krakenex
|
||||
pykrakenapi
|
||||
python-dotenv
|
||||
scipy
|
||||
backtrader
|
||||
matplotlib
|
||||
|
119
test.py
Normal file
119
test.py
Normal file
@ -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()
|
Loading…
Reference in New Issue
Block a user