Merge branch 'main' of ssh://dep.sokaris.link:2222/Simon/Cycles

This commit is contained in:
Simon Moisy 2025-05-21 15:06:56 +08:00
commit 0a919f825e
23 changed files with 1774 additions and 978 deletions

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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

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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

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cycles/__init__.py Normal file
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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

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import threading
import time
import queue
from google.oauth2.service_account import Credentials
import gspread
import math
import numpy as np
from collections import defaultdict
class GSheetBatchPusher(threading.Thread):
def __init__(self, queue, timestamp, spreadsheet_name, interval=60, logging=None):
super().__init__(daemon=True)
self.queue = queue
self.timestamp = timestamp
self.spreadsheet_name = spreadsheet_name
self.interval = interval
self._stop_event = threading.Event()
self.logging = logging
def run(self):
while not self._stop_event.is_set():
self.push_all()
time.sleep(self.interval)
# Final push on stop
self.push_all()
def stop(self):
self._stop_event.set()
def push_all(self):
batch_results = []
batch_trades = []
while True:
try:
results, trades = self.queue.get_nowait()
batch_results.extend(results)
batch_trades.extend(trades)
except queue.Empty:
break
if batch_results or batch_trades:
self.write_results_per_combination_gsheet(batch_results, batch_trades, self.timestamp, self.spreadsheet_name)
def write_results_per_combination_gsheet(self, results_rows, trade_rows, timestamp, spreadsheet_name="GlimBit Backtest Results"):
scopes = [
"https://www.googleapis.com/auth/spreadsheets",
"https://www.googleapis.com/auth/drive"
]
creds = Credentials.from_service_account_file('credentials/service_account.json', scopes=scopes)
gc = gspread.authorize(creds)
sh = gc.open(spreadsheet_name)
try:
worksheet = sh.worksheet("Results")
except gspread.exceptions.WorksheetNotFound:
worksheet = sh.add_worksheet(title="Results", rows="1000", cols="20")
# Clear the worksheet before writing new results
worksheet.clear()
# Updated fieldnames to match your data rows
fieldnames = [
"timeframe", "stop_loss_pct", "n_trades", "n_stop_loss", "win_rate",
"max_drawdown", "avg_trade", "profit_ratio", "initial_usd", "final_usd"
]
def to_native(val):
if isinstance(val, (np.generic, np.ndarray)):
val = val.item()
if hasattr(val, 'isoformat'):
return val.isoformat()
# Handle inf, -inf, nan
if isinstance(val, float):
if math.isinf(val):
return "" if val > 0 else "-∞"
if math.isnan(val):
return ""
return val
# Write header if sheet is empty
if len(worksheet.get_all_values()) == 0:
worksheet.append_row(fieldnames)
for row in results_rows:
values = [to_native(row.get(field, "")) for field in fieldnames]
worksheet.append_row(values)
trades_fieldnames = [
"entry_time", "exit_time", "entry_price", "exit_price", "profit_pct", "type"
]
trades_by_combo = defaultdict(list)
for trade in trade_rows:
tf = trade.get("timeframe")
sl = trade.get("stop_loss_pct")
trades_by_combo[(tf, sl)].append(trade)
for (tf, sl), trades in trades_by_combo.items():
sl_percent = int(round(sl * 100))
sheet_name = f"Trades_{tf}_ST{sl_percent}%"
try:
trades_ws = sh.worksheet(sheet_name)
except gspread.exceptions.WorksheetNotFound:
trades_ws = sh.add_worksheet(title=sheet_name, rows="1000", cols="20")
# Clear the trades worksheet before writing new trades
trades_ws.clear()
if len(trades_ws.get_all_values()) == 0:
trades_ws.append_row(trades_fieldnames)
for trade in trades:
trade_row = [to_native(trade.get(field, "")) for field in trades_fieldnames]
try:
trades_ws.append_row(trade_row)
except gspread.exceptions.APIError as e:
if '429' in str(e):
if self.logging is not None:
self.logging.warning(f"Google Sheets API quota exceeded (429). Please wait one minute. Will retry on next batch push. Sheet: {sheet_name}")
# Re-queue the failed batch for retry
self.queue.put((results_rows, trade_rows))
return # Stop pushing for this batch, will retry next interval
else:
raise

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import os
import json
import pandas as pd
import csv
from collections import defaultdict
RESULTS_DIR = "results"
DATA_DIR = "data"
class Storage:
"""Storage class for storing and loading results and data"""
def __init__(self, logging=None, results_dir=RESULTS_DIR, data_dir=DATA_DIR):
self.results_dir = results_dir
self.data_dir = data_dir
self.logging = logging
# Create directories if they don't exist
os.makedirs(self.results_dir, exist_ok=True)
os.makedirs(self.data_dir, exist_ok=True)
def load_data(self, file_path, start_date, stop_date):
"""Load data with optimized dtypes and filtering, supporting CSV and JSON input
Args:
file_path: path to the data file
start_date: start date
stop_date: stop date
Returns:
pandas DataFrame
"""
# Determine file type
_, ext = os.path.splitext(file_path)
ext = ext.lower()
try:
if ext == ".json":
with open(os.path.join(self.data_dir, file_path), 'r') as f:
raw = json.load(f)
data = pd.DataFrame(raw["Data"])
# Convert columns to lowercase
data.columns = data.columns.str.lower()
# Convert timestamp to datetime
data["timestamp"] = pd.to_datetime(data["timestamp"], unit="s")
# Filter by date range
data = data[(data["timestamp"] >= start_date) & (data["timestamp"] <= stop_date)]
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:
# Define optimized dtypes
dtypes = {
'Open': 'float32',
'High': 'float32',
'Low': 'float32',
'Close': 'float32',
'Volume': 'float32'
}
# 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)]
# Now convert column names to lowercase
data.columns = data.columns.str.lower()
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 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
Args:
row: row to format
Returns:
formatted row
"""
return {
"timeframe": row["timeframe"],
"stop_loss_pct": f"{row['stop_loss_pct']*100:.2f}%",
"n_trades": row["n_trades"],
"n_stop_loss": row["n_stop_loss"],
"win_rate": f"{row['win_rate']*100:.2f}%",
"max_drawdown": f"{row['max_drawdown']*100:.2f}%",
"avg_trade": f"{row['avg_trade']*100:.2f}%",
"profit_ratio": f"{row['profit_ratio']*100:.2f}%",
"final_usd": f"{row['final_usd']:.2f}",
}
def write_results_chunk(self, filename, fieldnames, rows, write_header=False, initial_usd=None):
"""Write a chunk of results to a CSV file
Args:
filename: filename to write to
fieldnames: list of fieldnames
rows: list of rows
write_header: whether to write the header
initial_usd: initial USD
"""
mode = 'w' if write_header else 'a'
with open(filename, mode, newline="") as csvfile:
writer = csv.DictWriter(csvfile, fieldnames=fieldnames)
if write_header:
csvfile.write(f"# initial_usd: {initial_usd}\n")
writer.writeheader()
for row in rows:
# Only keep keys that are in fieldnames
filtered_row = {k: v for k, v in row.items() if k in fieldnames}
writer.writerow(filtered_row)
def write_results_combined(self, filename, fieldnames, rows):
"""Write a combined results to a CSV file
Args:
filename: filename to write to
fieldnames: list of fieldnames
rows: list of rows
"""
fname = os.path.join(self.results_dir, filename)
with open(fname, "w", newline="") as csvfile:
writer = csv.DictWriter(csvfile, fieldnames=fieldnames, delimiter='\t')
writer.writeheader()
for row in rows:
writer.writerow(self.format_row(row))
if self.logging is not None:
self.logging.info(f"Combined results written to {fname}")
def write_trades(self, all_trade_rows, trades_fieldnames):
"""Write trades to a CSV file
Args:
all_trade_rows: list of trade rows
trades_fieldnames: list of trade fieldnames
logging: logging object
"""
trades_by_combo = defaultdict(list)
for trade in all_trade_rows:
tf = trade.get("timeframe")
sl = trade.get("stop_loss_pct")
trades_by_combo[(tf, sl)].append(trade)
for (tf, sl), trades in trades_by_combo.items():
sl_percent = int(round(sl * 100))
trades_filename = os.path.join(self.results_dir, f"trades_{tf}_ST{sl_percent}pct.csv")
with open(trades_filename, "w", newline="") as csvfile:
writer = csv.DictWriter(csvfile, fieldnames=trades_fieldnames)
writer.writeheader()
for trade in trades:
writer.writerow({k: trade.get(k, "") for k in trades_fieldnames})
if self.logging is not None:
self.logging.info(f"Trades written to {trades_filename}")

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import os
import psutil
class SystemUtils:
def __init__(self, logging=None):
self.logging = logging
def get_optimal_workers(self):
"""Determine optimal number of worker processes based on system resources"""
cpu_count = os.cpu_count() or 4
memory_gb = psutil.virtual_memory().total / (1024**3)
# Heuristic: Use 75% of cores, but cap based on available memory
# Assume each worker needs ~2GB for large datasets
workers_by_memory = max(1, int(memory_gb / 2))
workers_by_cpu = max(1, int(cpu_count * 0.75))
if self.logging is not None:
self.logging.info(f"Using {min(workers_by_cpu, workers_by_memory)} workers for processing")
return min(workers_by_cpu, workers_by_memory)

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# Analysis Module
This document provides an overview of the `Analysis` module and its components, which are typically used for technical analysis of financial market data.
## Modules
The `Analysis` module includes classes for calculating common technical indicators:
- **Relative Strength Index (RSI)**: Implemented in `cycles/Analysis/rsi.py`.
- **Bollinger Bands**: Implemented in `cycles/Analysis/boillinger_band.py`.
## Class: `RSI`
Found in `cycles/Analysis/rsi.py`.
Calculates the Relative Strength Index.
### Mathematical Model
1. **Average Gain (AvgU)** and **Average Loss (AvgD)** over 14 periods:
$$
\text{AvgU} = \frac{\sum \text{Upward Price Changes}}{14}, \quad \text{AvgD} = \frac{\sum \text{Downward Price Changes}}{14}
$$
2. **Relative Strength (RS)**:
$$
RS = \frac{\text{AvgU}}{\text{AvgD}}
$$
3. **RSI**:
$$
RSI = 100 - \frac{100}{1 + RS}
$$
### `__init__(self, period: int = 14)`
- **Description**: Initializes the RSI calculator.
- **Parameters**:
- `period` (int, optional): The period for RSI calculation. Defaults to 14. Must be a positive integer.
### `calculate(self, data_df: pd.DataFrame, price_column: str = 'close') -> pd.DataFrame`
- **Description**: Calculates the RSI and adds it as an 'RSI' column to the input DataFrame. Handles cases where data length is less than the period by returning the original DataFrame with a warning.
- **Parameters**:
- `data_df` (pd.DataFrame): DataFrame with historical price data. Must contain the `price_column`.
- `price_column` (str, optional): The name of the column containing price data. Defaults to 'close'.
- **Returns**: `pd.DataFrame` - The input DataFrame with an added 'RSI' column (containing `np.nan` for initial periods where RSI cannot be calculated). Returns a copy of the original DataFrame if the period is larger than the number of data points.
## Class: `BollingerBands`
Found in `cycles/Analysis/boillinger_band.py`.
## **Bollinger Bands**
### Mathematical Model
1. **Middle Band**: 20-day Simple Moving Average (SMA)
$$
\text{Middle Band} = \frac{1}{20} \sum_{i=1}^{20} \text{Close}_{t-i}
$$
2. **Upper Band**: Middle Band + 2 × 20-day Standard Deviation (σ)
$$
\text{Upper Band} = \text{Middle Band} + 2 \times \sigma_{20}
$$
3. **Lower Band**: Middle Band 2 × 20-day Standard Deviation (σ)
$$
\text{Lower Band} = \text{Middle Band} - 2 \times \sigma_{20}
$$
### `__init__(self, period: int = 20, std_dev_multiplier: float = 2.0)`
- **Description**: Initializes the BollingerBands calculator.
- **Parameters**:
- `period` (int, optional): The period for the moving average and standard deviation. Defaults to 20. Must be a positive integer.
- `std_dev_multiplier` (float, optional): The number of standard deviations for the upper and lower bands. Defaults to 2.0. Must be positive.
### `calculate(self, data_df: pd.DataFrame, price_column: str = 'close') -> pd.DataFrame`
- **Description**: Calculates Bollinger Bands and adds 'SMA' (Simple Moving Average), 'UpperBand', and 'LowerBand' columns to the DataFrame.
- **Parameters**:
- `data_df` (pd.DataFrame): DataFrame with price data. Must include the `price_column`.
- `price_column` (str, optional): The name of the column containing the price data (e.g., 'close'). Defaults to 'close'.
- **Returns**: `pd.DataFrame` - The original DataFrame with added columns: 'SMA', 'UpperBand', 'LowerBand'.

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@ -0,0 +1,73 @@
# Storage Utilities
This document describes the storage utility functions found in `cycles/utils/storage.py`.
## Overview
The `storage.py` module provides a `Storage` class designed for handling the loading and saving of data and results. It supports operations with CSV and JSON files and integrates with pandas DataFrames for data manipulation. The class also manages the creation of necessary `results` and `data` directories.
## Constants
- `RESULTS_DIR`: Defines the default directory name for storing results (default: "results").
- `DATA_DIR`: Defines the default directory name for storing input data (default: "data").
## Class: `Storage`
Handles storage operations for data and results.
### `__init__(self, logging=None, results_dir=RESULTS_DIR, data_dir=DATA_DIR)`
- **Description**: Initializes the `Storage` class. It creates the results and data directories if they don't already exist.
- **Parameters**:
- `logging` (optional): A logging instance for outputting information. Defaults to `None`.
- `results_dir` (str, optional): Path to the directory for storing results. Defaults to `RESULTS_DIR`.
- `data_dir` (str, optional): Path to the directory for storing data. Defaults to `DATA_DIR`.
### `load_data(self, file_path, start_date, stop_date)`
- **Description**: Loads data from a specified file (CSV or JSON), performs type optimization, filters by date range, and converts column names to lowercase. The timestamp column is set as the DataFrame index.
- **Parameters**:
- `file_path` (str): Path to the data file (relative to `data_dir`).
- `start_date` (datetime-like): The start date for filtering data.
- `stop_date` (datetime-like): The end date for filtering data.
- **Returns**: `pandas.DataFrame` - The loaded and processed data, with a `timestamp` index. Returns an empty DataFrame on error.
### `save_data(self, data: pd.DataFrame, file_path: str)`
- **Description**: Saves a pandas DataFrame to a CSV file within the `data_dir`. If the DataFrame has a DatetimeIndex, it's converted to a Unix timestamp (seconds since epoch) and stored in a column named 'timestamp', which becomes the first column in the CSV. The DataFrame's active index is not saved if a 'timestamp' column is created.
- **Parameters**:
- `data` (pd.DataFrame): The DataFrame to save.
- `file_path` (str): Path to the data file (relative to `data_dir`).
### `format_row(self, row)`
- **Description**: Formats a dictionary row for output to a combined results CSV file, applying specific string formatting for percentages and float values.
- **Parameters**:
- `row` (dict): The row of data to format.
- **Returns**: `dict` - The formatted row.
### `write_results_chunk(self, filename, fieldnames, rows, write_header=False, initial_usd=None)`
- **Description**: Writes a chunk of results (list of dictionaries) to a CSV file. Can append to an existing file or write a new one with a header. An optional `initial_usd` can be written as a comment in the header.
- **Parameters**:
- `filename` (str): The name of the file to write to (path is absolute or relative to current working dir).
- `fieldnames` (list): A list of strings representing the CSV header/column names.
- `rows` (list): A list of dictionaries, where each dictionary is a row.
- `write_header` (bool, optional): If `True`, writes the header. Defaults to `False`.
- `initial_usd` (numeric, optional): If provided and `write_header` is `True`, this value is written as a comment in the CSV header. Defaults to `None`.
### `write_results_combined(self, filename, fieldnames, rows)`
- **Description**: Writes combined results to a CSV file in the `results_dir`. Uses tab as a delimiter and formats rows using `format_row`.
- **Parameters**:
- `filename` (str): The name of the file to write to (relative to `results_dir`).
- `fieldnames` (list): A list of strings representing the CSV header/column names.
- `rows` (list): A list of dictionaries, where each dictionary is a row.
### `write_trades(self, all_trade_rows, trades_fieldnames)`
- **Description**: Writes trade data to separate CSV files based on timeframe and stop-loss percentage. Files are named `trades_{tf}_ST{sl_percent}pct.csv` and stored in `results_dir`.
- **Parameters**:
- `all_trade_rows` (list): A list of dictionaries, where each dictionary represents a trade.
- `trades_fieldnames` (list): A list of strings for the CSV header of trade files.

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docs/utils_system.md Normal file
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# System Utilities
This document describes the system utility functions found in `cycles/utils/system.py`.
## Overview
The `system.py` module provides utility functions related to system information and resource management. It currently includes a class `SystemUtils` for determining optimal configurations based on system resources.
## Classes and Methods
### `SystemUtils`
A class to provide system-related utility methods.
#### `__init__(self, logging=None)`
- **Description**: Initializes the `SystemUtils` class.
- **Parameters**:
- `logging` (optional): A logging instance to output information. Defaults to `None`.
#### `get_optimal_workers(self)`
- **Description**: Determines the optimal number of worker processes based on available CPU cores and memory.
The heuristic aims to use 75% of CPU cores, with a cap based on available memory (assuming each worker might need ~2GB for large datasets). It returns the minimum of the workers calculated by CPU and memory.
- **Parameters**: None.
- **Returns**: `int` - The recommended number of worker processes.
## Usage Examples
```python
from cycles.utils.system import SystemUtils
# Initialize (optionally with a logger)
# import logging
# logging.basicConfig(level=logging.INFO)
# logger = logging.getLogger(__name__)
# sys_utils = SystemUtils(logging=logger)
sys_utils = SystemUtils()
optimal_workers = sys_utils.get_optimal_workers()
print(f"Optimal number of workers: {optimal_workers}")
# This value can then be used, for example, when setting up a ThreadPoolExecutor
# from concurrent.futures import ThreadPoolExecutor
# with ThreadPoolExecutor(max_workers=optimal_workers) as executor:
# # ... submit tasks ...
# pass
```

157
main.py
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@ -1,21 +1,16 @@
import pandas as pd
import numpy as np
from trend_detector_simple import TrendDetectorSimple
import csv
import logging
import concurrent.futures
import os
import psutil
import datetime
import gspread
from google.oauth2.service_account import Credentials
from collections import defaultdict
import threading
import queue
import time
import math
import json
from taxes import Taxes
from cycles.trend_detector_simple import TrendDetectorSimple
from cycles.taxes import Taxes
from cycles.utils.storage import Storage
from cycles.utils.gsheets import GSheetBatchPusher
from cycles.utils.system import SystemUtils
# Set up logging
logging.basicConfig(
@ -27,50 +22,8 @@ logging.basicConfig(
]
)
def get_optimal_workers():
"""Determine optimal number of worker processes based on system resources"""
cpu_count = os.cpu_count() or 4
memory_gb = psutil.virtual_memory().total / (1024**3)
# Heuristic: Use 75% of cores, but cap based on available memory
# Assume each worker needs ~2GB for large datasets
workers_by_memory = max(1, int(memory_gb / 2))
workers_by_cpu = max(1, int(cpu_count * 0.75))
return min(workers_by_cpu, workers_by_memory)
def load_data(file_path, start_date, stop_date):
"""Load data with optimized dtypes and filtering, supporting CSV and JSON input"""
# Determine file type
_, ext = os.path.splitext(file_path)
ext = ext.lower()
if ext == ".json":
with open(file_path, 'r') as f:
raw = json.load(f)
data = pd.DataFrame(raw["Data"])
# Convert columns to lowercase
data.columns = data.columns.str.lower()
# Convert timestamp to datetime
data["timestamp"] = pd.to_datetime(data["timestamp"], unit="s")
# Filter by date range
data = data[(data["timestamp"] >= start_date) & (data["timestamp"] <= stop_date)]
return data.set_index("timestamp")
else:
# Define optimized dtypes
dtypes = {
'Open': 'float32',
'High': 'float32',
'Low': 'float32',
'Close': 'float32',
'Volume': 'float32'
}
# Read data with original capitalized column names
data = pd.read_csv(file_path, dtype=dtypes)
# Convert timestamp to datetime
data['Timestamp'] = pd.to_datetime(data['Timestamp'], unit='s')
# Filter by date range
data = data[(data['Timestamp'] >= start_date) & (data['Timestamp'] <= stop_date)]
# Now convert column names to lowercase
data.columns = data.columns.str.lower()
return data.set_index('timestamp')
# Global queue for batching Google Sheets updates
results_queue = queue.Queue()
def process_timeframe_data(min1_df, df, stop_loss_pcts, rule_name, initial_usd, debug=False):
"""Process the entire timeframe with all stop loss values (no monthly split)"""
@ -165,21 +118,6 @@ def process_timeframe(timeframe_info, debug=False):
results_rows, all_trade_rows = process_timeframe_data(data_1min, df, [stop_loss_pct], rule, initial_usd, debug=debug)
return results_rows, all_trade_rows
def write_results_chunk(filename, fieldnames, rows, write_header=False):
"""Write a chunk of results to a CSV file"""
mode = 'w' if write_header else 'a'
with open(filename, mode, newline="") as csvfile:
writer = csv.DictWriter(csvfile, fieldnames=fieldnames)
if write_header:
csvfile.write(f"# initial_usd: {initial_usd}\n")
writer.writeheader()
for row in rows:
# Only keep keys that are in fieldnames
filtered_row = {k: v for k, v in row.items() if k in fieldnames}
writer.writerow(filtered_row)
def aggregate_results(all_rows):
"""Aggregate results per stop_loss_pct and per rule (timeframe)"""
from collections import defaultdict
@ -218,6 +156,15 @@ def aggregate_results(all_rows):
})
return summary_rows
def get_nearest_price(df, target_date):
if len(df) == 0:
return None, None
target_ts = pd.to_datetime(target_date)
nearest_idx = df.index.get_indexer([target_ts], method='nearest')[0]
nearest_time = df.index[nearest_idx]
price = df.iloc[nearest_idx]['close']
return nearest_time, price
if __name__ == "__main__":
# Configuration
# start_date = '2022-01-01'
@ -229,23 +176,16 @@ if __name__ == "__main__":
debug = False
results_dir = "results"
os.makedirs(results_dir, exist_ok=True)
timestamp = datetime.datetime.now().strftime("%Y%m%d%H%M")
timeframes = ["1min", "5min", "15min"]
stop_loss_pcts = [0.01, 0.02, 0.03, 0.04, 0.05]
storage = Storage(logging=logging)
system_utils = SystemUtils(logging=logging)
data_1min = load_data('./data/btcusd_1-min_data.csv', start_date, stop_date)
timeframes = ["1D"]
stop_loss_pcts = [0.01, 0.02, 0.03]
def get_nearest_price(df, target_date):
if len(df) == 0:
return None, None
target_ts = pd.to_datetime(target_date)
nearest_idx = df.index.get_indexer([target_ts], method='nearest')[0]
nearest_time = df.index[nearest_idx]
price = df.iloc[nearest_idx]['close']
return nearest_time, price
# Load data once
data_1min = storage.load_data('btcusd_1-min_data.csv', start_date, stop_date)
nearest_start_time, start_price = get_nearest_price(data_1min, start_date)
nearest_stop_time, stop_price = get_nearest_price(data_1min, stop_date)
@ -259,8 +199,7 @@ if __name__ == "__main__":
for stop_loss_pct in stop_loss_pcts
]
workers = get_optimal_workers()
logging.info(f"Using {workers} workers for processing")
workers = system_utils.get_optimal_workers()
# Process tasks with optimized concurrency
with concurrent.futures.ProcessPoolExecutor(max_workers=workers) as executor:
@ -274,57 +213,17 @@ if __name__ == "__main__":
all_trade_rows.extend(trades)
# Write all results to a single CSV file
combined_filename = os.path.join(results_dir, f"{timestamp}_backtest_combined.csv")
combined_filename = os.path.join(f"{timestamp}_backtest_combined.csv")
combined_fieldnames = [
"timeframe", "stop_loss_pct", "n_trades", "n_stop_loss", "win_rate",
"max_drawdown", "avg_trade", "profit_ratio", "final_usd", "total_fees_usd"
"max_drawdown", "avg_trade", "profit_ratio", "final_usd"
]
def format_row(row):
return {
"timeframe": row["timeframe"],
"stop_loss_pct": f"{row['stop_loss_pct']*100:.2f}%",
"n_trades": row["n_trades"],
"n_stop_loss": row["n_stop_loss"],
"win_rate": f"{row['win_rate']*100:.2f}%",
"max_drawdown": f"{row['max_drawdown']*100:.2f}%",
"avg_trade": f"{row['avg_trade']*100:.2f}%",
"profit_ratio": f"{row['profit_ratio']*100:.2f}%",
"final_usd": f"{row['final_usd']:.2f}",
"total_fees_usd": f"{row.get('total_fees_usd'):.2f}",
}
with open(combined_filename, "w", newline="") as csvfile:
writer = csv.DictWriter(csvfile, fieldnames=combined_fieldnames, delimiter='\t')
writer.writeheader()
for row in all_results_rows:
writer.writerow(format_row(row))
logging.info(f"Combined results written to {combined_filename}")
storage.write_results_combined(combined_filename, combined_fieldnames, all_results_rows)
# Now, group all_trade_rows by (timeframe, stop_loss_pct)
from collections import defaultdict
trades_by_combo = defaultdict(list)
for trade in all_trade_rows:
tf = trade.get("timeframe")
sl = trade.get("stop_loss_pct")
trades_by_combo[(tf, sl)].append(trade)
trades_fieldnames = [
"entry_time", "exit_time", "entry_price", "exit_price", "profit_pct", "type", "fee_usd"
]
for (tf, sl), trades in trades_by_combo.items():
sl_percent = int(round(sl * 100))
trades_filename = os.path.join(results_dir, f"trades_{tf}_ST{sl_percent}pct.csv")
with open(trades_filename, "w", newline="") as csvfile:
writer = csv.DictWriter(csvfile, fieldnames=trades_fieldnames)
writer.writeheader()
for trade in trades:
row = {k: trade.get(k, "") for k in trades_fieldnames}
fee = trade.get("fee_usd")
row["fee_usd"] = f"{float(fee):.2f}"
writer.writerow(row)
logging.info(f"Trades written to {trades_filename}")
storage.write_trades(all_trade_rows, trades_fieldnames)

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pyproject.toml Normal file
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@ -0,0 +1,14 @@
[project]
name = "cycles"
version = "0.1.0"
description = "Add your description here"
readme = "README.md"
requires-python = ">=3.10"
dependencies = [
"gspread>=6.2.1",
"matplotlib>=3.10.3",
"pandas>=2.2.3",
"psutil>=7.0.0",
"scipy>=1.15.3",
"seaborn>=0.13.2",
]

132
test_bbrsi.py Normal file
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@ -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(75, color='red', linestyle='--', linewidth=0.8, label='Overbought (75)')
ax2.axhline(25, color='green', linestyle='--', linewidth=0.8, label='Oversold (25)')
# 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.")

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@ -1,849 +0,0 @@
import pandas as pd
import numpy as np
import logging
from scipy.signal import find_peaks
from matplotlib.patches import Rectangle
from scipy import stats
import concurrent.futures
from functools import partial
from functools import lru_cache
import matplotlib.pyplot as plt
# Color configuration
# Plot colors
DARK_BG_COLOR = '#181C27'
LEGEND_BG_COLOR = '#333333'
TITLE_COLOR = 'white'
AXIS_LABEL_COLOR = 'white'
# Candlestick colors
CANDLE_UP_COLOR = '#089981' # Green
CANDLE_DOWN_COLOR = '#F23645' # Red
# Marker colors
MIN_COLOR = 'red'
MAX_COLOR = 'green'
# Line style colors
MIN_LINE_STYLE = 'g--' # Green dashed
MAX_LINE_STYLE = 'r--' # Red dashed
SMA7_LINE_STYLE = 'y-' # Yellow solid
SMA15_LINE_STYLE = 'm-' # Magenta solid
# SuperTrend colors
ST_COLOR_UP = 'g-'
ST_COLOR_DOWN = 'r-'
# Cache the calculation results by function parameters
@lru_cache(maxsize=32)
def cached_supertrend_calculation(period, multiplier, data_tuple):
# Convert tuple back to numpy arrays
high = np.array(data_tuple[0])
low = np.array(data_tuple[1])
close = np.array(data_tuple[2])
# Calculate TR and ATR using vectorized operations
tr = np.zeros_like(close)
tr[0] = high[0] - low[0]
hc_range = np.abs(high[1:] - close[:-1])
lc_range = np.abs(low[1:] - close[:-1])
hl_range = high[1:] - low[1:]
tr[1:] = np.maximum.reduce([hl_range, hc_range, lc_range])
# Use numpy's exponential moving average
atr = np.zeros_like(tr)
atr[0] = tr[0]
multiplier_ema = 2.0 / (period + 1)
for i in range(1, len(tr)):
atr[i] = (tr[i] * multiplier_ema) + (atr[i-1] * (1 - multiplier_ema))
# Calculate bands
upper_band = np.zeros_like(close)
lower_band = np.zeros_like(close)
for i in range(len(close)):
hl_avg = (high[i] + low[i]) / 2
upper_band[i] = hl_avg + (multiplier * atr[i])
lower_band[i] = hl_avg - (multiplier * atr[i])
final_upper = np.zeros_like(close)
final_lower = np.zeros_like(close)
supertrend = np.zeros_like(close)
trend = np.zeros_like(close)
final_upper[0] = upper_band[0]
final_lower[0] = lower_band[0]
if close[0] <= upper_band[0]:
supertrend[0] = upper_band[0]
trend[0] = -1
else:
supertrend[0] = lower_band[0]
trend[0] = 1
for i in range(1, len(close)):
if (upper_band[i] < final_upper[i-1]) or (close[i-1] > final_upper[i-1]):
final_upper[i] = upper_band[i]
else:
final_upper[i] = final_upper[i-1]
if (lower_band[i] > final_lower[i-1]) or (close[i-1] < final_lower[i-1]):
final_lower[i] = lower_band[i]
else:
final_lower[i] = final_lower[i-1]
if supertrend[i-1] == final_upper[i-1] and close[i] <= final_upper[i]:
supertrend[i] = final_upper[i]
trend[i] = -1
elif supertrend[i-1] == final_upper[i-1] and close[i] > final_upper[i]:
supertrend[i] = final_lower[i]
trend[i] = 1
elif supertrend[i-1] == final_lower[i-1] and close[i] >= final_lower[i]:
supertrend[i] = final_lower[i]
trend[i] = 1
elif supertrend[i-1] == final_lower[i-1] and close[i] < final_lower[i]:
supertrend[i] = final_upper[i]
trend[i] = -1
return {
'supertrend': supertrend,
'trend': trend,
'upper_band': final_upper,
'lower_band': final_lower
}
def calculate_supertrend_external(data, period, multiplier):
# Convert DataFrame columns to hashable tuples
high_tuple = tuple(data['high'])
low_tuple = tuple(data['low'])
close_tuple = tuple(data['close'])
# Call the cached function
return cached_supertrend_calculation(period, multiplier, (high_tuple, low_tuple, close_tuple))
def calculate_okx_fee(amount, is_maker=True):
fee_rate = 0.0008 if is_maker else 0.0010
return amount * fee_rate
class TrendDetectorSimple:
def __init__(self, data, verbose=False, display=False):
"""
Initialize the TrendDetectorSimple class.
Parameters:
- data: pandas DataFrame containing price data
- verbose: boolean, whether to display detailed logging information
- display: boolean, whether to enable display/plotting features
"""
self.data = data
self.verbose = verbose
self.display = display
# Only define display-related variables if display is True
if self.display:
# Plot style configuration
self.plot_style = 'dark_background'
self.bg_color = DARK_BG_COLOR
self.plot_size = (12, 8)
# Candlestick configuration
self.candle_width = 0.6
self.candle_up_color = CANDLE_UP_COLOR
self.candle_down_color = CANDLE_DOWN_COLOR
self.candle_alpha = 0.8
self.wick_width = 1
# Marker configuration
self.min_marker = '^'
self.min_color = MIN_COLOR
self.min_size = 100
self.max_marker = 'v'
self.max_color = MAX_COLOR
self.max_size = 100
self.marker_zorder = 100
# Line configuration
self.line_width = 1
self.min_line_style = MIN_LINE_STYLE
self.max_line_style = MAX_LINE_STYLE
self.sma7_line_style = SMA7_LINE_STYLE
self.sma15_line_style = SMA15_LINE_STYLE
# Text configuration
self.title_size = 14
self.title_color = TITLE_COLOR
self.axis_label_size = 12
self.axis_label_color = AXIS_LABEL_COLOR
# Legend configuration
self.legend_loc = 'best'
self.legend_bg_color = LEGEND_BG_COLOR
# Configure logging
logging.basicConfig(level=logging.INFO if verbose else logging.WARNING,
format='%(asctime)s - %(levelname)s - %(message)s')
self.logger = logging.getLogger('TrendDetectorSimple')
# Convert data to pandas DataFrame if it's not already
if not isinstance(self.data, pd.DataFrame):
if isinstance(self.data, list):
self.data = pd.DataFrame({'close': self.data})
else:
raise ValueError("Data must be a pandas DataFrame or a list")
def calculate_tr(self):
"""
Calculate True Range (TR) for the price data.
True Range is the greatest of:
1. Current high - current low
2. |Current high - previous close|
3. |Current low - previous close|
Returns:
- Numpy array of TR values
"""
df = self.data.copy()
high = df['high'].values
low = df['low'].values
close = df['close'].values
tr = np.zeros_like(close)
tr[0] = high[0] - low[0] # First TR is just the first day's range
for i in range(1, len(close)):
# Current high - current low
hl_range = high[i] - low[i]
# |Current high - previous close|
hc_range = abs(high[i] - close[i-1])
# |Current low - previous close|
lc_range = abs(low[i] - close[i-1])
# TR is the maximum of these three values
tr[i] = max(hl_range, hc_range, lc_range)
return tr
def calculate_atr(self, period=14):
"""
Calculate Average True Range (ATR) for the price data.
ATR is the exponential moving average of the True Range over a specified period.
Parameters:
- period: int, the period for the ATR calculation (default: 14)
Returns:
- Numpy array of ATR values
"""
tr = self.calculate_tr()
atr = np.zeros_like(tr)
# First ATR value is just the first TR
atr[0] = tr[0]
# Calculate exponential moving average (EMA) of TR
multiplier = 2.0 / (period + 1)
for i in range(1, len(tr)):
atr[i] = (tr[i] * multiplier) + (atr[i-1] * (1 - multiplier))
return atr
def detect_trends(self):
"""
Detect trends by identifying local minima and maxima in the price data
using scipy.signal.find_peaks.
Parameters:
- prominence: float, required prominence of peaks (relative to the price range)
- width: int, required width of peaks in data points
Returns:
- DataFrame with columns for timestamps, prices, and trend indicators
- Dictionary containing analysis results including linear regression, SMAs, and SuperTrend indicators
"""
df = self.data
# close_prices = df['close'].values
# max_peaks, _ = find_peaks(close_prices)
# min_peaks, _ = find_peaks(-close_prices)
# df['is_min'] = False
# df['is_max'] = False
# for peak in max_peaks:
# df.at[peak, 'is_max'] = True
# for peak in min_peaks:
# df.at[peak, 'is_min'] = True
# result = df[['timestamp', 'close', 'is_min', 'is_max']].copy()
# Perform linear regression on min_peaks and max_peaks
# min_prices = df['close'].iloc[min_peaks].values
# max_prices = df['close'].iloc[max_peaks].values
# Linear regression for min peaks if we have at least 2 points
# min_slope, min_intercept, min_r_value, _, _ = stats.linregress(min_peaks, min_prices)
# Linear regression for max peaks if we have at least 2 points
# max_slope, max_intercept, max_r_value, _, _ = stats.linregress(max_peaks, max_prices)
# Calculate Simple Moving Averages (SMA) for 7 and 15 periods
# sma_7 = pd.Series(close_prices).rolling(window=7, min_periods=1).mean().values
# sma_15 = pd.Series(close_prices).rolling(window=15, min_periods=1).mean().values
analysis_results = {}
# analysis_results['linear_regression'] = {
# 'min': {
# 'slope': min_slope,
# 'intercept': min_intercept,
# 'r_squared': min_r_value ** 2
# },
# 'max': {
# 'slope': max_slope,
# 'intercept': max_intercept,
# 'r_squared': max_r_value ** 2
# }
# }
# analysis_results['sma'] = {
# '7': sma_7,
# '15': sma_15
# }
# Calculate SuperTrend indicators
supertrend_results_list = self._calculate_supertrend_indicators()
analysis_results['supertrend'] = supertrend_results_list
return analysis_results
def _calculate_supertrend_indicators(self):
"""
Calculate SuperTrend indicators with different parameter sets in parallel.
Returns:
- list, the SuperTrend results
"""
supertrend_params = [
{"period": 12, "multiplier": 3.0, "color_up": ST_COLOR_UP, "color_down": ST_COLOR_DOWN},
{"period": 10, "multiplier": 1.0, "color_up": ST_COLOR_UP, "color_down": ST_COLOR_DOWN},
{"period": 11, "multiplier": 2.0, "color_up": ST_COLOR_UP, "color_down": ST_COLOR_DOWN}
]
data = self.data.copy()
# For just 3 calculations, direct calculation might be faster than process pool
results = []
for p in supertrend_params:
result = calculate_supertrend_external(data, p["period"], p["multiplier"])
results.append(result)
supertrend_results_list = []
for params, result in zip(supertrend_params, results):
supertrend_results_list.append({
"results": result,
"params": params
})
return supertrend_results_list
def plot_trends(self, trend_data, analysis_results, view="both"):
"""
Plot the price data with detected trends using a candlestick chart.
Also plots SuperTrend indicators with three different parameter sets.
Parameters:
- trend_data: DataFrame, the output from detect_trends()
- analysis_results: Dictionary containing analysis results from detect_trends()
- view: str, one of 'both', 'trend', 'supertrend'; determines which plot(s) to display
Returns:
- None (displays the plot)
"""
if not self.display:
return # Do nothing if display is False
plt.style.use(self.plot_style)
if view == "both":
fig, (ax1, ax2) = plt.subplots(1, 2, figsize=(self.plot_size[0]*2, self.plot_size[1]))
else:
fig, ax = plt.subplots(figsize=self.plot_size)
ax1 = ax2 = None
if view == "trend":
ax1 = ax
elif view == "supertrend":
ax2 = ax
fig.patch.set_facecolor(self.bg_color)
if ax1: ax1.set_facecolor(self.bg_color)
if ax2: ax2.set_facecolor(self.bg_color)
df = self.data.copy()
if ax1:
self._plot_trend_analysis(ax1, df, trend_data, analysis_results)
if ax2:
self._plot_supertrend_analysis(ax2, df, analysis_results['supertrend'])
plt.tight_layout()
plt.show()
def _plot_candlesticks(self, ax, df):
"""
Plot candlesticks on the given axis.
Parameters:
- ax: matplotlib.axes.Axes, the axis to plot on
- df: pandas.DataFrame, the data to plot
"""
from matplotlib.patches import Rectangle
for i in range(len(df)):
# Get OHLC values for this candle
open_val = df['open'].iloc[i]
close_val = df['close'].iloc[i]
high_val = df['high'].iloc[i]
low_val = df['low'].iloc[i]
# Determine candle color
color = self.candle_up_color if close_val >= open_val else self.candle_down_color
# Plot candle body
body_height = abs(close_val - open_val)
bottom = min(open_val, close_val)
rect = Rectangle((i - self.candle_width/2, bottom), self.candle_width, body_height,
color=color, alpha=self.candle_alpha)
ax.add_patch(rect)
# Plot candle wicks
ax.plot([i, i], [low_val, high_val], color=color, linewidth=self.wick_width)
def _plot_trend_analysis(self, ax, df, trend_data, analysis_results):
"""
Plot trend analysis on the given axis.
Parameters:
- ax: matplotlib.axes.Axes, the axis to plot on
- df: pandas.DataFrame, the data to plot
- trend_data: pandas.DataFrame, the trend data
- analysis_results: dict, the analysis results
"""
# Draw candlesticks
self._plot_candlesticks(ax, df)
# Plot minima and maxima points
self._plot_min_max_points(ax, df, trend_data)
# Plot trend lines and moving averages
if analysis_results:
self._plot_trend_lines(ax, df, analysis_results)
# Configure the subplot
self._configure_subplot(ax, 'Price Chart with Trend Analysis', len(df))
def _plot_min_max_points(self, ax, df, trend_data):
"""
Plot minimum and maximum points on the given axis.
Parameters:
- ax: matplotlib.axes.Axes, the axis to plot on
- df: pandas.DataFrame, the data to plot
- trend_data: pandas.DataFrame, the trend data
"""
min_indices = trend_data.index[trend_data['is_min'] == True].tolist()
if min_indices:
min_y = [df['close'].iloc[i] for i in min_indices]
ax.scatter(min_indices, min_y, color=self.min_color, s=self.min_size,
marker=self.min_marker, label='Local Minima', zorder=self.marker_zorder)
max_indices = trend_data.index[trend_data['is_max'] == True].tolist()
if max_indices:
max_y = [df['close'].iloc[i] for i in max_indices]
ax.scatter(max_indices, max_y, color=self.max_color, s=self.max_size,
marker=self.max_marker, label='Local Maxima', zorder=self.marker_zorder)
def _plot_trend_lines(self, ax, df, analysis_results):
"""
Plot trend lines on the given axis.
Parameters:
- ax: matplotlib.axes.Axes, the axis to plot on
- df: pandas.DataFrame, the data to plot
- analysis_results: dict, the analysis results
"""
x_vals = np.arange(len(df))
# Minima regression line (support)
min_slope = analysis_results['linear_regression']['min']['slope']
min_intercept = analysis_results['linear_regression']['min']['intercept']
min_line = min_slope * x_vals + min_intercept
ax.plot(x_vals, min_line, self.min_line_style, linewidth=self.line_width,
label='Minima Regression')
# Maxima regression line (resistance)
max_slope = analysis_results['linear_regression']['max']['slope']
max_intercept = analysis_results['linear_regression']['max']['intercept']
max_line = max_slope * x_vals + max_intercept
ax.plot(x_vals, max_line, self.max_line_style, linewidth=self.line_width,
label='Maxima Regression')
# SMA-7 line
sma_7 = analysis_results['sma']['7']
ax.plot(x_vals, sma_7, self.sma7_line_style, linewidth=self.line_width,
label='SMA-7')
# SMA-15 line
sma_15 = analysis_results['sma']['15']
valid_idx_15 = ~np.isnan(sma_15)
ax.plot(x_vals[valid_idx_15], sma_15[valid_idx_15], self.sma15_line_style,
linewidth=self.line_width, label='SMA-15')
def _configure_subplot(self, ax, title, data_length):
"""
Configure the subplot with title, labels, limits, and legend.
Parameters:
- ax: matplotlib.axes.Axes, the axis to configure
- title: str, the title of the subplot
- data_length: int, the length of the data
"""
# Set title and labels
ax.set_title(title, fontsize=self.title_size, color=self.title_color)
ax.set_xlabel('Date', fontsize=self.axis_label_size, color=self.axis_label_color)
ax.set_ylabel('Price', fontsize=self.axis_label_size, color=self.axis_label_color)
# Set appropriate x-axis limits
ax.set_xlim(-0.5, data_length - 0.5)
# Add a legend
ax.legend(loc=self.legend_loc, facecolor=self.legend_bg_color)
def _plot_supertrend_analysis(self, ax, df, supertrend_results_list=None):
"""
Plot SuperTrend analysis on the given axis.
Parameters:
- ax: matplotlib.axes.Axes, the axis to plot on
- df: pandas.DataFrame, the data to plot
- supertrend_results_list: list, the SuperTrend results (optional)
"""
self._plot_candlesticks(ax, df)
self._plot_supertrend_lines(ax, df, supertrend_results_list, style='Both')
self._configure_subplot(ax, 'Multiple SuperTrend Indicators', len(df))
def _plot_supertrend_lines(self, ax, df, supertrend_results_list, style="Horizontal"):
"""
Plot SuperTrend lines on the given axis.
Parameters:
- ax: matplotlib.axes.Axes, the axis to plot on
- df: pandas.DataFrame, the data to plot
- supertrend_results_list: list, the SuperTrend results
"""
x_vals = np.arange(len(df))
if style == 'Horizontal' or style == 'Both':
if len(supertrend_results_list) != 3:
raise ValueError("Expected exactly 3 SuperTrend results for meta calculation")
trends = [st["results"]["trend"] for st in supertrend_results_list]
band_height = 0.02 * (df["high"].max() - df["low"].min())
y_base = df["low"].min() - band_height * 1.5
prev_color = None
for i in range(1, len(x_vals)):
t_vals = [t[i] for t in trends]
up_count = t_vals.count(1)
down_count = t_vals.count(-1)
if down_count == 3:
color = "red"
elif down_count == 2 and up_count == 1:
color = "orange"
elif down_count == 1 and up_count == 2:
color = "yellow"
elif up_count == 3:
color = "green"
else:
continue # skip if unknown or inconsistent values
ax.add_patch(Rectangle(
(x_vals[i-1], y_base),
1,
band_height,
color=color,
linewidth=0,
alpha=0.6
))
# Draw a vertical line at the change of color
if prev_color and prev_color != color:
ax.axvline(x_vals[i-1], color="grey", alpha=0.3, linewidth=1)
prev_color = color
ax.set_ylim(bottom=y_base - band_height * 0.5)
if style == 'Curves' or style == 'Both':
for st in supertrend_results_list:
params = st["params"]
results = st["results"]
supertrend = results["supertrend"]
trend = results["trend"]
# Plot SuperTrend line with color based on trend
for i in range(1, len(x_vals)):
if trend[i] == 1: # Uptrend
ax.plot(x_vals[i-1:i+1], supertrend[i-1:i+1], params["color_up"], linewidth=self.line_width)
else: # Downtrend
ax.plot(x_vals[i-1:i+1], supertrend[i-1:i+1], params["color_down"], linewidth=self.line_width)
self._plot_metasupertrend_lines(ax, df, supertrend_results_list)
self._add_supertrend_legend(ax, supertrend_results_list)
def _plot_metasupertrend_lines(self, ax, df, supertrend_results_list):
"""
Plot a Meta SuperTrend line where all individual SuperTrends agree on trend.
Parameters:
- ax: matplotlib.axes.Axes, the axis to plot on
- df: pandas.DataFrame, the data to plot
- supertrend_results_list: list, each item contains SuperTrend 'results' and 'params'
"""
x_vals = np.arange(len(df))
if len(supertrend_results_list) != 3:
raise ValueError("Expected exactly 3 SuperTrend results for meta calculation")
trends = [st["results"]["trend"] for st in supertrend_results_list]
supertrends = [st["results"]["supertrend"] for st in supertrend_results_list]
params = supertrend_results_list[0]["params"] # Use first config for styling
trends_arr = np.stack(trends, axis=1)
meta_trend = np.where((trends_arr[:,0] == trends_arr[:,1]) & (trends_arr[:,1] == trends_arr[:,2]), trends_arr[:,0], 0)
for i in range(1, len(x_vals)):
t1, t2, t3 = trends[0][i], trends[1][i], trends[2][i]
if t1 == t2 == t3:
meta_trend = t1
# Average the 3 supertrend values
st_avg_prev = np.mean([s[i-1] for s in supertrends])
st_avg_curr = np.mean([s[i] for s in supertrends])
color = params["color_up"] if meta_trend == 1 else params["color_down"]
ax.plot(x_vals[i-1:i+1], [st_avg_prev, st_avg_curr], color, linewidth=self.line_width)
def _add_supertrend_legend(self, ax, supertrend_results_list):
"""
Add SuperTrend legend entries to the given axis.
Parameters:
- ax: matplotlib.axes.Axes, the axis to add legend entries to
- supertrend_results_list: list, the SuperTrend results
"""
for st in supertrend_results_list:
params = st["params"]
period = params["period"]
multiplier = params["multiplier"]
color_up = params["color_up"]
color_down = params["color_down"]
ax.plot([], [], color_up, linewidth=self.line_width,
label=f'ST (P:{period}, M:{multiplier}) Up')
ax.plot([], [], color_down, linewidth=self.line_width,
label=f'ST (P:{period}, M:{multiplier}) Down')
def backtest_meta_supertrend(self, min1_df, initial_usd=10000, stop_loss_pct=0.05, debug=False):
"""
Backtest a simple strategy using the meta supertrend (all three supertrends agree).
Buys when meta supertrend is positive, sells when negative, applies a percentage stop loss.
Parameters:
- min1_df: pandas DataFrame, 1-minute timeframe data for more accurate stop loss checking (optional)
- initial_usd: float, starting USD amount
- stop_loss_pct: float, stop loss as a fraction (e.g. 0.05 for 5%)
- debug: bool, whether to print debug info
"""
df = self.data.copy().reset_index(drop=True)
df['timestamp'] = pd.to_datetime(df['timestamp'])
# Get meta supertrend (all three agree)
supertrend_results_list = self._calculate_supertrend_indicators()
trends = [st['results']['trend'] for st in supertrend_results_list]
trends_arr = np.stack(trends, axis=1)
meta_trend = np.where((trends_arr[:,0] == trends_arr[:,1]) & (trends_arr[:,1] == trends_arr[:,2]),
trends_arr[:,0], 0)
position = 0 # 0 = no position, 1 = long
entry_price = 0
usd = initial_usd
coin = 0
trade_log = []
max_balance = initial_usd
drawdowns = []
trades = []
entry_time = None
current_trade_min1_start_idx = None
min1_df['timestamp'] = pd.to_datetime(min1_df.index)
for i in range(1, len(df)):
if i % 100 == 0 and debug:
self.logger.debug(f"Progress: {i}/{len(df)} rows processed.")
price_open = df['open'].iloc[i]
price_high = df['high'].iloc[i]
price_low = df['low'].iloc[i]
price_close = df['close'].iloc[i]
date = df['timestamp'].iloc[i]
prev_mt = meta_trend[i-1]
curr_mt = meta_trend[i]
# Check stop loss if in position
if position == 1:
stop_price = entry_price * (1 - stop_loss_pct)
if current_trade_min1_start_idx is None:
# First check after entry, find the entry point in 1-min data
current_trade_min1_start_idx = min1_df.index[min1_df.index >= entry_time][0]
# Get the end index for current check
current_min1_end_idx = min1_df.index[min1_df.index <= date][-1]
# Check all 1-minute candles in between for stop loss
min1_slice = min1_df.loc[current_trade_min1_start_idx:current_min1_end_idx]
if (min1_slice['low'] <= stop_price).any():
# Stop loss triggered, find the exact candle
stop_candle = min1_slice[min1_slice['low'] <= stop_price].iloc[0]
# More realistic fill: if open < stop, fill at open, else at stop
if stop_candle['open'] < stop_price:
sell_price = stop_candle['open']
else:
sell_price = stop_price
if debug:
print(f"STOP LOSS triggered: entry={entry_price}, stop={stop_price}, sell_price={sell_price}, entry_time={entry_time}, stop_time={stop_candle.name}")
btc_to_sell = coin
usd_gross = btc_to_sell * sell_price
exit_fee = calculate_okx_fee(usd_gross, is_maker=False) # taker fee
usd = usd_gross - exit_fee
trade_log.append({
'type': 'STOP',
'entry': entry_price,
'exit': sell_price,
'entry_time': entry_time,
'exit_time': stop_candle.name,
'fee_usd': exit_fee
})
coin = 0
position = 0
entry_price = 0
current_trade_min1_start_idx = None
continue
# Update the start index for next check
current_trade_min1_start_idx = current_min1_end_idx
# Entry: only if not in position and signal changes to 1
if position == 0 and prev_mt != 1 and curr_mt == 1:
# Buy at open, fee is charged in USD
entry_fee = calculate_okx_fee(usd, is_maker=False)
usd_after_fee = usd - entry_fee
coin = usd_after_fee / price_open
entry_price = price_open
entry_time = date
usd = 0
position = 1
current_trade_min1_start_idx = None # Will be set on first stop loss check
trade_log.append({
'type': 'BUY',
'entry': entry_price,
'exit': None,
'entry_time': entry_time,
'exit_time': None,
'fee_usd': entry_fee
})
# Exit: only if in position and signal changes from 1 to -1
elif position == 1 and prev_mt == 1 and curr_mt == -1:
# Sell at open, fee is charged in USD
btc_to_sell = coin
usd_gross = btc_to_sell * price_open
exit_fee = calculate_okx_fee(usd_gross, is_maker=False)
usd = usd_gross - exit_fee
trade_log.append({
'type': 'SELL',
'entry': entry_price,
'exit': price_open,
'entry_time': entry_time,
'exit_time': date,
'fee_usd': exit_fee
})
coin = 0
position = 0
entry_price = 0
current_trade_min1_start_idx = None
# Track drawdown
balance = usd if position == 0 else coin * price_close
if balance > max_balance:
max_balance = balance
drawdown = (max_balance - balance) / max_balance
drawdowns.append(drawdown)
# If still in position at end, sell at last close
if position == 1:
btc_to_sell = coin
usd_gross = btc_to_sell * df['close'].iloc[-1]
exit_fee = calculate_okx_fee(usd_gross, is_maker=False)
usd = usd_gross - exit_fee
trade_log.append({
'type': 'EOD',
'entry': entry_price,
'exit': df['close'].iloc[-1],
'entry_time': entry_time,
'exit_time': df['timestamp'].iloc[-1],
'fee_usd': exit_fee
})
coin = 0
position = 0
entry_price = 0
# Calculate statistics
final_balance = usd
n_trades = len(trade_log)
wins = [1 for t in trade_log if t['exit'] is not None and t['exit'] > t['entry']]
win_rate = len(wins) / n_trades if n_trades > 0 else 0
max_drawdown = max(drawdowns) if drawdowns else 0
avg_trade = np.mean([t['exit']/t['entry']-1 for t in trade_log if t['exit'] is not None]) if trade_log else 0
trades = []
total_fees_usd = 0.0
for trade in trade_log:
if trade['exit'] is not None:
profit_pct = (trade['exit'] - trade['entry']) / trade['entry']
else:
profit_pct = 0.0
trades.append({
'entry_time': trade['entry_time'],
'exit_time': trade['exit_time'],
'entry': trade['entry'],
'exit': trade['exit'],
'profit_pct': profit_pct,
'type': trade.get('type', 'SELL'),
'fee_usd': trade.get('fee_usd', 0.0)
})
# Sum up USD fees
fee_usd = trade.get('fee_usd', 0.0)
total_fees_usd += fee_usd
results = {
"initial_usd": initial_usd,
"final_usd": final_balance,
"n_trades": n_trades,
"win_rate": win_rate,
"max_drawdown": max_drawdown,
"avg_trade": avg_trade,
"trade_log": trade_log,
"trades": trades,
"total_fees_usd": total_fees_usd,
}
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