Boilinger Band and RSI implementation

cycles/Analysis/boillinger_band.py

@@ -0,0 +1,50 @@
+import pandas as pd
+
+class BollingerBands:
+    """
+    Calculates Bollinger Bands for given financial data.
+    """
+    def __init__(self, period: int = 20, std_dev_multiplier: float = 2.0):
+        """
+        Initializes the BollingerBands calculator.
+
+        Args:
+            period (int): The period for the moving average and standard deviation.
+            std_dev_multiplier (float): The number of standard deviations for the upper and lower bands.
+        """
+        if period <= 0:
+            raise ValueError("Period must be a positive integer.")
+        if std_dev_multiplier <= 0:
+            raise ValueError("Standard deviation multiplier must be positive.")
+            
+        self.period = period
+        self.std_dev_multiplier = std_dev_multiplier
+
+    def calculate(self, data_df: pd.DataFrame, price_column: str = 'close') -> pd.DataFrame:
+        """
+        Calculates Bollinger Bands and adds them to the DataFrame.
+
+        Args:
+            data_df (pd.DataFrame): DataFrame with price data. Must include the price_column.
+            price_column (str): The name of the column containing the price data (e.g., 'close').
+
+        Returns:
+            pd.DataFrame: The original DataFrame with added columns:
+                          'SMA' (Simple Moving Average),
+                          'UpperBand',
+                          'LowerBand'.
+        """
+        if price_column not in data_df.columns:
+            raise ValueError(f"Price column '{price_column}' not found in DataFrame.")
+
+        # Calculate SMA
+        data_df['SMA'] = data_df[price_column].rolling(window=self.period).mean()
+
+        # Calculate Standard Deviation
+        std_dev = data_df[price_column].rolling(window=self.period).std()
+
+        # Calculate Upper and Lower Bands
+        data_df['UpperBand'] = data_df['SMA'] + (self.std_dev_multiplier * std_dev)
+        data_df['LowerBand'] = data_df['SMA'] - (self.std_dev_multiplier * std_dev)
+
+        return data_df

cycles/Analysis/rsi.py

@@ -0,0 +1,109 @@
+import pandas as pd
+import numpy as np
+
+class RSI:
+    """
+    A class to calculate the Relative Strength Index (RSI).
+    """
+    def __init__(self, period: int = 14):
+        """
+        Initializes the RSI calculator.
+
+        Args:
+            period (int): The period for RSI calculation. Default is 14.
+                          Must be a positive integer.
+        """
+        if not isinstance(period, int) or period <= 0:
+            raise ValueError("Period must be a positive integer.")
+        self.period = period
+
+    def calculate(self, data_df: pd.DataFrame, price_column: str = 'close') -> pd.DataFrame:
+        """
+        Calculates the RSI and adds it as a column to the input DataFrame.
+
+        Args:
+            data_df (pd.DataFrame): DataFrame with historical price data.
+                                    Must contain the 'price_column'.
+            price_column (str): The name of the column containing price data.
+                                Default is 'close'.
+
+        Returns:
+            pd.DataFrame: The input DataFrame with an added 'RSI' column.
+                          Returns the original DataFrame with no 'RSI' column
+                          if the period is larger than the number of data points.
+        """
+        if price_column not in data_df.columns:
+            raise ValueError(f"Price column '{price_column}' not found in DataFrame.")
+
+        if len(data_df) < self.period:
+            print(f"Warning: Data length ({len(data_df)}) is less than RSI period ({self.period}). RSI will not be calculated.")
+            return data_df.copy()
+
+        df = data_df.copy()
+        delta = df[price_column].diff(1)
+
+        gain = delta.where(delta > 0, 0)
+        loss = -delta.where(delta < 0, 0) # Ensure loss is positive
+
+        # Calculate initial average gain and loss (SMA)
+        avg_gain = gain.rolling(window=self.period, min_periods=self.period).mean().iloc[self.period -1:self.period]
+        avg_loss = loss.rolling(window=self.period, min_periods=self.period).mean().iloc[self.period -1:self.period]
+
+
+        # Calculate subsequent average gains and losses (EMA-like)
+        # Pre-allocate lists for gains and losses to avoid repeated appending to Series
+        gains = [0.0] * len(df)
+        losses = [0.0] * len(df)
+
+        if not avg_gain.empty:
+            gains[self.period -1] = avg_gain.iloc[0]
+        if not avg_loss.empty:
+            losses[self.period -1] = avg_loss.iloc[0]
+
+
+        for i in range(self.period, len(df)):
+            gains[i] = ((gains[i-1] * (self.period - 1)) + gain.iloc[i]) / self.period
+            losses[i] = ((losses[i-1] * (self.period - 1)) + loss.iloc[i]) / self.period
+        
+        df['avg_gain'] = pd.Series(gains, index=df.index)
+        df['avg_loss'] = pd.Series(losses, index=df.index)
+
+        # Calculate RS
+        # Handle division by zero: if avg_loss is 0, RS is undefined or infinite.
+        # If avg_loss is 0 and avg_gain is also 0, RSI is conventionally 50.
+        # If avg_loss is 0 and avg_gain > 0, RSI is conventionally 100.
+        rs = df['avg_gain'] / df['avg_loss']
+        
+        # Calculate RSI
+        # RSI = 100 - (100 / (1 + RS))
+        # If avg_loss is 0:
+        #   If avg_gain > 0, RS -> inf, RSI -> 100
+        #   If avg_gain == 0, RS -> NaN (0/0), RSI -> 50 (conventionally, or could be 0 or 100 depending on interpretation)
+        # We will use a common convention where RSI is 100 if avg_loss is 0 and avg_gain > 0,
+        # and RSI is 0 if avg_loss is 0 and avg_gain is 0 (or 50, let's use 0 to indicate no strength if both are 0).
+        # However, to avoid NaN from 0/0, it's better to calculate RSI directly with conditions.
+
+        rsi_values = []
+        for i in range(len(df)):
+            avg_g = df['avg_gain'].iloc[i]
+            avg_l = df['avg_loss'].iloc[i]
+
+            if i < self.period -1 : # Not enough data for initial SMA
+                 rsi_values.append(np.nan)
+                 continue
+
+            if avg_l == 0:
+                if avg_g == 0:
+                    rsi_values.append(50) # Or 0, or np.nan depending on how you want to treat this. 50 implies neutrality.
+                else:
+                    rsi_values.append(100) # Max strength
+            else:
+                rs_val = avg_g / avg_l
+                rsi_values.append(100 - (100 / (1 + rs_val)))
+        
+        df['RSI'] = pd.Series(rsi_values, index=df.index)
+        
+        # Remove intermediate columns if desired, or keep them for debugging
+        # df.drop(columns=['avg_gain', 'avg_loss'], inplace=True)
+
+        return df

cycles/utils/data_utils.py

@@ -0,0 +1,60 @@
+import pandas as pd
+
+def aggregate_to_daily(data_df: pd.DataFrame) -> pd.DataFrame:
+    """
+    Aggregates time-series financial data to daily OHLCV format.
+
+    The input DataFrame is expected to have a DatetimeIndex.
+    'open' will be the first 'open' price of the day.
+    'close' will be the last 'close' price of the day.
+    'high' will be the maximum 'high' price of the day.
+    'low' will be the minimum 'low' price of the day.
+    'volume' (if present) will be the sum of volumes for the day.
+
+    Args:
+        data_df (pd.DataFrame): DataFrame with a DatetimeIndex and columns
+                                like 'open', 'high', 'low', 'close', and optionally 'volume'.
+                                Column names are expected to be lowercase.
+
+    Returns:
+        pd.DataFrame: DataFrame aggregated to daily OHLCV data.
+                      The index will be a DatetimeIndex with the time set to noon (12:00:00) for each day.
+                      Returns an empty DataFrame if no relevant OHLCV columns are found.
+    
+    Raises:
+        ValueError: If the input DataFrame does not have a DatetimeIndex.
+    """
+    if not isinstance(data_df.index, pd.DatetimeIndex):
+        raise ValueError("Input DataFrame must have a DatetimeIndex.")
+
+    agg_rules = {}
+
+    # Define aggregation rules based on available columns
+    if 'open' in data_df.columns:
+        agg_rules['open'] = 'first'
+    if 'high' in data_df.columns:
+        agg_rules['high'] = 'max'
+    if 'low' in data_df.columns:
+        agg_rules['low'] = 'min'
+    if 'close' in data_df.columns:
+        agg_rules['close'] = 'last'
+    if 'volume' in data_df.columns:
+        agg_rules['volume'] = 'sum'
+    
+    if not agg_rules:
+        # Log a warning or raise an error if no relevant columns are found
+        # For now, returning an empty DataFrame with a message might be suitable for some cases
+        print("Warning: No standard OHLCV columns (open, high, low, close, volume) found for daily aggregation.")
+        return pd.DataFrame(index=pd.to_datetime([])) # Return empty DF with datetime index
+
+    # Resample to daily frequency and apply aggregation rules
+    daily_data = data_df.resample('D').agg(agg_rules)
+    
+    # Adjust timestamps to noon if data exists
+    if not daily_data.empty and isinstance(daily_data.index, pd.DatetimeIndex):
+        daily_data.index = daily_data.index + pd.Timedelta(hours=12)
+    
+    # Remove rows where all values are NaN (these are days with no trades in the original data)
+    daily_data.dropna(how='all', inplace=True)
+
+    return daily_data

cycles/utils/storage.py

@@ -57,7 +57,10 @@ class Storage:
                 }
                 # Read data with original capitalized column names
                 data = pd.read_csv(os.path.join(self.data_dir, file_path), dtype=dtypes)
+
+
                 # Convert timestamp to datetime
+                if 'Timestamp' in data.columns:
                     data['Timestamp'] = pd.to_datetime(data['Timestamp'], unit='s')
                     # Filter by date range
                     data = data[(data['Timestamp'] >= start_date) & (data['Timestamp'] <= stop_date)]
@@ -66,10 +69,62 @@ class Storage:
                     if self.logging is not None:
                         self.logging.info(f"Data loaded from {file_path} for date range {start_date} to {stop_date}")
                     return data.set_index('timestamp')
+                else: # Attempt to use the first column if 'Timestamp' is not present
+                    data.rename(columns={data.columns[0]: 'timestamp'}, inplace=True)
+                    data['timestamp'] = pd.to_datetime(data['timestamp'], unit='s')
+                    data = data[(data['timestamp'] >= start_date) & (data['timestamp'] <= stop_date)]
+                    data.columns = data.columns.str.lower() # Ensure all other columns are lower
+                    if self.logging is not None:
+                        self.logging.info(f"Data loaded from {file_path} (using first column as timestamp) for date range {start_date} to {stop_date}")
+                    return data.set_index('timestamp')
         except Exception as e:
             if self.logging is not None:
                 self.logging.error(f"Error loading data from {file_path}: {e}")
-            return None 
+            # Return an empty DataFrame with a DatetimeIndex
+            return pd.DataFrame(index=pd.to_datetime([]))
+
+    def save_data(self, data: pd.DataFrame, file_path: str):
+        """Save processed data to a CSV file.
+        If the DataFrame has a DatetimeIndex, it's converted to float Unix timestamps
+        (seconds since epoch) before saving. The index is saved as a column named 'timestamp'.
+
+        Args:
+            data (pd.DataFrame): data to save.
+            file_path (str): path to the data file relative to the data_dir.
+        """
+        data_to_save = data.copy()
+
+        if isinstance(data_to_save.index, pd.DatetimeIndex):
+            # Convert DatetimeIndex to Unix timestamp (float seconds since epoch)
+            # and make it a column named 'timestamp'.
+            data_to_save['timestamp'] = data_to_save.index.astype('int64') / 1e9
+            # Reset index so 'timestamp' column is saved and old DatetimeIndex is not saved as a column.
+            # We want the 'timestamp' column to be the first one.
+            data_to_save.reset_index(drop=True, inplace=True)
+            # Ensure 'timestamp' is the first column if other columns exist
+            if 'timestamp' in data_to_save.columns and len(data_to_save.columns) > 1:
+                cols = ['timestamp'] + [col for col in data_to_save.columns if col != 'timestamp']
+                data_to_save = data_to_save[cols]
+        elif pd.api.types.is_numeric_dtype(data_to_save.index.dtype):
+            # If index is already numeric (e.g. float Unix timestamps from a previous save/load cycle),
+            # make it a column named 'timestamp'.
+            data_to_save['timestamp'] = data_to_save.index
+            data_to_save.reset_index(drop=True, inplace=True)
+            if 'timestamp' in data_to_save.columns and len(data_to_save.columns) > 1:
+                cols = ['timestamp'] + [col for col in data_to_save.columns if col != 'timestamp']
+                data_to_save = data_to_save[cols]
+        else:
+            # For other index types, or if no index that we want to specifically handle,
+            # save with the current index. pandas to_csv will handle it.
+            # This branch might be removed if we strictly expect either DatetimeIndex or a numeric one from previous save.
+            pass # data_to_save remains as is, to_csv will write its index if index=True
+
+        # Save to CSV, ensuring the 'timestamp' column (if created) is written, and not the DataFrame's active index.
+        full_path = os.path.join(self.data_dir, file_path)
+        data_to_save.to_csv(full_path, index=False) # index=False because timestamp is now a column
+        if self.logging is not None:
+            self.logging.info(f"Data saved to {full_path} with Unix timestamp column.")
+    
     
     def format_row(self, row):
         """Format a row for a combined results CSV file

test_bbrsi.py

@@ -0,0 +1,132 @@
+import logging
+import seaborn as sns
+import matplotlib.pyplot as plt
+import pandas as pd
+
+from cycles.utils.storage import Storage
+from cycles.utils.data_utils import aggregate_to_daily
+from cycles.Analysis.boillinger_band import BollingerBands
+from cycles.Analysis.rsi import RSI
+
+logging.basicConfig(
+    level=logging.INFO,
+    format="%(asctime)s [%(levelname)s] %(message)s",
+    handlers=[
+        logging.FileHandler("backtest.log"),
+        logging.StreamHandler()
+    ]
+)
+
+config_minute = {
+    "start_date": "2022-01-01",
+    "stop_date": "2023-01-01",
+    "data_file": "btcusd_1-min_data.csv"
+}
+
+config_day = {
+    "start_date": "2022-01-01",
+    "stop_date": "2023-01-01",
+    "data_file": "btcusd_1-day_data.csv"
+}
+
+IS_DAY = True
+
+def no_strategy(data_bb, data_with_rsi):
+    buy_condition = pd.Series([False] * len(data_bb), index=data_bb.index)
+    sell_condition = pd.Series([False] * len(data_bb), index=data_bb.index)
+    return buy_condition, sell_condition
+
+def strategy_1(data_bb, data_with_rsi):
+    # Long trade: price move below lower Bollinger band and RSI go below 25
+    buy_condition = (data_bb['close'] < data_bb['LowerBand']) & (data_bb['RSI'] < 25)
+    # Short only: price move above top Bollinger band and RSI goes over 75
+    sell_condition = (data_bb['close'] > data_bb['UpperBand']) & (data_bb['RSI'] > 75)
+    return buy_condition, sell_condition
+
+
+if __name__ == "__main__":
+
+    storage = Storage(logging=logging)
+
+    if IS_DAY:
+        config = config_day
+    else:
+        config = config_minute
+
+    data = storage.load_data(config["data_file"], config["start_date"], config["stop_date"])
+
+    if not IS_DAY:
+        data_daily = aggregate_to_daily(data)
+        storage.save_data(data, "btcusd_1-day_data.csv")
+        df_to_plot = data_daily
+    else:
+        df_to_plot = data
+
+    bb = BollingerBands(period=30, std_dev_multiplier=2.0)
+    data_bb = bb.calculate(df_to_plot.copy())
+
+    rsi_calculator = RSI(period=13)
+    data_with_rsi = rsi_calculator.calculate(df_to_plot.copy(), price_column='close')
+    
+    # Combine BB and RSI data into a single DataFrame for signal generation
+    # Ensure indices are aligned; they should be as both are from df_to_plot.copy()
+    if 'RSI' in data_with_rsi.columns:
+        data_bb['RSI'] = data_with_rsi['RSI']
+    else:
+        # If RSI wasn't calculated (e.g., not enough data), create a dummy column with NaNs
+        # to prevent errors later, though signals won't be generated.
+        data_bb['RSI'] = pd.Series(index=data_bb.index, dtype=float)
+        logging.warning("RSI column not found or not calculated. Signals relying on RSI may not be generated.")
+
+    strategy = 1
+    if strategy == 1:
+        buy_condition, sell_condition = strategy_1(data_bb, data_with_rsi)
+    else:
+        buy_condition, sell_condition = no_strategy(data_bb, data_with_rsi)
+
+    buy_signals = data_bb[buy_condition]
+    sell_signals = data_bb[sell_condition]
+    
+    # plot the data with seaborn library
+    if df_to_plot is not None and not df_to_plot.empty:
+        # Create a figure with two subplots, sharing the x-axis
+        fig, (ax1, ax2) = plt.subplots(2, 1, figsize=(16, 8), sharex=True)
+
+        # Plot 1: Close Price and Bollinger Bands
+        sns.lineplot(x=data_bb.index, y='close', data=data_bb, label='Close Price', ax=ax1)
+        sns.lineplot(x=data_bb.index, y='UpperBand', data=data_bb, label='Upper Band (BB)', ax=ax1)
+        sns.lineplot(x=data_bb.index, y='LowerBand', data=data_bb, label='Lower Band (BB)', ax=ax1)
+        # Plot Buy/Sell signals on Price chart
+        if not buy_signals.empty:
+            ax1.scatter(buy_signals.index, buy_signals['close'], color='green', marker='o', s=20, label='Buy Signal', zorder=5)
+        if not sell_signals.empty:
+            ax1.scatter(sell_signals.index, sell_signals['close'], color='red', marker='o', s=20, label='Sell Signal', zorder=5)
+        ax1.set_title('Price and Bollinger Bands with Signals')
+        ax1.set_ylabel('Price')
+        ax1.legend()
+        ax1.grid(True)
+
+        # Plot 2: RSI
+        if 'RSI' in data_bb.columns: # Check data_bb now as it should contain RSI
+            sns.lineplot(x=data_bb.index, y='RSI', data=data_bb, label='RSI (14)', ax=ax2, color='purple')
+            ax2.axhline(70, color='red', linestyle='--', linewidth=0.8, label='Overbought (70)')
+            ax2.axhline(30, color='green', linestyle='--', linewidth=0.8, label='Oversold (30)')
+            # Plot Buy/Sell signals on RSI chart
+            if not buy_signals.empty:
+                ax2.scatter(buy_signals.index, buy_signals['RSI'], color='green', marker='o', s=20, label='Buy Signal (RSI)', zorder=5)
+            if not sell_signals.empty:
+                ax2.scatter(sell_signals.index, sell_signals['RSI'], color='red', marker='o', s=20, label='Sell Signal (RSI)', zorder=5)
+            ax2.set_title('Relative Strength Index (RSI) with Signals')
+            ax2.set_ylabel('RSI Value')
+            ax2.set_ylim(0, 100) # RSI is typically bounded between 0 and 100
+            ax2.legend()
+            ax2.grid(True)
+        else:
+            logging.info("RSI data not available for plotting.")
+
+        plt.xlabel('Date') # Common X-axis label
+        fig.tight_layout() # Adjust layout to prevent overlapping titles/labels
+        plt.show()
+    else:
+        logging.info("No data to plot.")
+