Implement Market Regime Strategy and refactor Bollinger Bands and RSI classes
- Introduced a new Strategy class to encapsulate trading strategies, including the Market Regime Strategy that adapts to different market conditions. - Refactored BollingerBands and RSI classes to accept configuration parameters for improved flexibility and maintainability. - Updated test_bbrsi.py to utilize the new strategy implementation and adjusted date ranges for testing. - Enhanced documentation to include details about the new Strategy class and its components.
This commit is contained in:
Ajasra
parent
f4873c56ff
commit
a924328c90
@ -4,23 +4,25 @@ class BollingerBands:
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"""
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Calculates Bollinger Bands for given financial data.
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"""
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def __init__(self, period: int = 20, std_dev_multiplier: float = 2.0):
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def __init__(self, config):
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"""
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Initializes the BollingerBands calculator.
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Args:
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period (int): The period for the moving average and standard deviation.
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std_dev_multiplier (float): The number of standard deviations for the upper and lower bands.
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bb_width (float): The width of the Bollinger Bands.
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"""
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if period <= 0:
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if config['bb_period'] <= 0:
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raise ValueError("Period must be a positive integer.")
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if std_dev_multiplier <= 0:
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if config['trending']['bb_std_dev_multiplier'] <= 0 or config['sideways']['bb_std_dev_multiplier'] <= 0:
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raise ValueError("Standard deviation multiplier must be positive.")
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if config['bb_width'] <= 0:
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raise ValueError("BB width must be positive.")
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self.period = period
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self.std_dev_multiplier = std_dev_multiplier
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self.config = config
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def calculate(self, data_df: pd.DataFrame, price_column: str = 'close') -> pd.DataFrame:
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def calculate(self, data_df: pd.DataFrame, price_column: str = 'close', squeeze = False) -> pd.DataFrame:
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"""
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Calculates Bollinger Bands and adds them to the DataFrame.
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@ -37,14 +39,37 @@ class BollingerBands:
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if price_column not in data_df.columns:
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raise ValueError(f"Price column '{price_column}' not found in DataFrame.")
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# Calculate SMA
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data_df['SMA'] = data_df[price_column].rolling(window=self.period).mean()
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if not squeeze:
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# Calculate SMA
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data_df['SMA'] = data_df[price_column].rolling(window=self.config['bb_period']).mean()
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# Calculate Standard Deviation
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std_dev = data_df[price_column].rolling(window=self.period).std()
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# Calculate Standard Deviation
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std_dev = data_df[price_column].rolling(window=self.config['bb_period']).std()
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# Calculate Upper and Lower Bands
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data_df['UpperBand'] = data_df['SMA'] + (self.std_dev_multiplier * std_dev)
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data_df['LowerBand'] = data_df['SMA'] - (self.std_dev_multiplier * std_dev)
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# Calculate Upper and Lower Bands
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data_df['UpperBand'] = data_df['SMA'] + (2.0* std_dev)
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data_df['LowerBand'] = data_df['SMA'] - (2.0* std_dev)
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# Calculate the width of the Bollinger Bands
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data_df['BBWidth'] = (data_df['UpperBand'] - data_df['LowerBand']) / data_df['SMA']
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# Calculate the market regime
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# 1 = sideways, 0 = trending
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data_df['MarketRegime'] = (data_df['BBWidth'] < self.config['bb_width']).astype(int)
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if data_df['MarketRegime'].sum() > 0:
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data_df['UpperBand'] = data_df['SMA'] + (self.config['trending']['bb_std_dev_multiplier'] * std_dev)
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data_df['LowerBand'] = data_df['SMA'] - (self.config['trending']['bb_std_dev_multiplier'] * std_dev)
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else:
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data_df['UpperBand'] = data_df['SMA'] + (self.config['sideways']['bb_std_dev_multiplier'] * std_dev)
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data_df['LowerBand'] = data_df['SMA'] - (self.config['sideways']['bb_std_dev_multiplier'] * std_dev)
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else:
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data_df['SMA'] = data_df[price_column].rolling(window=14).mean()
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# Calculate Standard Deviation
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std_dev = data_df[price_column].rolling(window=14).std()
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# Calculate Upper and Lower Bands
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data_df['UpperBand'] = data_df['SMA'] + 1.5* std_dev
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data_df['LowerBand'] = data_df['SMA'] - 1.5* std_dev
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return data_df
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@ -5,7 +5,7 @@ class RSI:
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"""
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A class to calculate the Relative Strength Index (RSI).
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"""
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def __init__(self, period: int = 14):
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def __init__(self, config):
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"""
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Initializes the RSI calculator.
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@ -13,9 +13,9 @@ class RSI:
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period (int): The period for RSI calculation. Default is 14.
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Must be a positive integer.
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"""
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if not isinstance(period, int) or period <= 0:
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if not isinstance(config['rsi_period'], int) or config['rsi_period'] <= 0:
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raise ValueError("Period must be a positive integer.")
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self.period = period
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self.period = config['rsi_period']
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def calculate(self, data_df: pd.DataFrame, price_column: str = 'close') -> pd.DataFrame:
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"""
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131
cycles/Analysis/strategies.py
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131
cycles/Analysis/strategies.py
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@ -0,0 +1,131 @@
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import pandas as pd
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import numpy as np
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from cycles.Analysis.boillinger_band import BollingerBands
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class Strategy:
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def __init__(self, config = None, logging = None):
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if config is None:
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raise ValueError("Config must be provided.")
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self.config = config
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self.logging = logging
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def run(self, data, strategy_name):
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if strategy_name == "MarketRegimeStrategy":
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return self.MarketRegimeStrategy(data)
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else:
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if self.logging is not None:
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self.logging.warning(f"Strategy {strategy_name} not found. Using no_strategy instead.")
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return self.no_strategy(data)
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def no_strategy(self, data):
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"""No strategy: returns False for both buy and sell conditions"""
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buy_condition = pd.Series([False] * len(data), index=data.index)
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sell_condition = pd.Series([False] * len(data), index=data.index)
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return buy_condition, sell_condition
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def rsi_bollinger_confirmation(self, rsi, window=14, std_mult=1.5):
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"""Calculate RSI Bollinger Bands for confirmation
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Args:
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rsi (Series): RSI values
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window (int): Rolling window for SMA
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std_mult (float): Standard deviation multiplier
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Returns:
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tuple: (oversold condition, overbought condition)
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"""
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valid_rsi = ~rsi.isna()
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if not valid_rsi.any():
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# Return empty Series if no valid RSI data
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return pd.Series(False, index=rsi.index), pd.Series(False, index=rsi.index)
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rsi_sma = rsi.rolling(window).mean()
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rsi_std = rsi.rolling(window).std()
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upper_rsi_band = rsi_sma + std_mult * rsi_std
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lower_rsi_band = rsi_sma - std_mult * rsi_std
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return (rsi < lower_rsi_band), (rsi > upper_rsi_band)
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def MarketRegimeStrategy(self, data):
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"""Optimized Bollinger Bands + RSI Strategy for Crypto Trading (Including Sideways Markets)
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with adaptive Bollinger Bands
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This advanced strategy combines volatility analysis, momentum confirmation, and regime detection
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to adapt to Bitcoin's unique market conditions.
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Entry Conditions:
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- Trending Market (Breakout Mode):
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Buy: Price < Lower Band ∧ RSI < 50 ∧ Volume Spike (≥1.5× 20D Avg)
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Sell: Price > Upper Band ∧ RSI > 50 ∧ Volume Spike
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- Sideways Market (Mean Reversion):
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Buy: Price ≤ Lower Band ∧ RSI ≤ 40
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Sell: Price ≥ Upper Band ∧ RSI ≥ 60
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Enhanced with RSI Bollinger Squeeze for signal confirmation when enabled.
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"""
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# Initialize conditions as all False
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buy_condition = pd.Series(False, index=data.index)
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sell_condition = pd.Series(False, index=data.index)
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# Create masks for different market regimes
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sideways_mask = data['MarketRegime'] > 0
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trending_mask = data['MarketRegime'] <= 0
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valid_data_mask = ~data['MarketRegime'].isna() # Handle potential NaN values
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# Calculate volume spike (≥1.5× 20D Avg)
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if 'volume' in data.columns:
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volume_20d_avg = data['volume'].rolling(window=20).mean()
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volume_spike = data['volume'] >= 1.5 * volume_20d_avg
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# Additional volume contraction filter for sideways markets
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volume_30d_avg = data['volume'].rolling(window=30).mean()
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volume_contraction = data['volume'] < 0.7 * volume_30d_avg
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else:
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# If volume data is not available, assume no volume spike
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volume_spike = pd.Series(False, index=data.index)
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volume_contraction = pd.Series(False, index=data.index)
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if self.logging is not None:
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self.logging.warning("Volume data not available. Volume conditions will not be triggered.")
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# Calculate RSI Bollinger Squeeze confirmation
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if 'RSI' in data.columns:
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oversold_rsi, overbought_rsi = self.rsi_bollinger_confirmation(data['RSI'])
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else:
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oversold_rsi = pd.Series(False, index=data.index)
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overbought_rsi = pd.Series(False, index=data.index)
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if self.logging is not None:
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self.logging.warning("RSI data not available. RSI Bollinger Squeeze will not be triggered.")
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# Calculate conditions for sideways market (Mean Reversion)
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if sideways_mask.any():
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sideways_buy = (data['close'] <= data['LowerBand']) & (data['RSI'] <= 40)
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sideways_sell = (data['close'] >= data['UpperBand']) & (data['RSI'] >= 60)
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# Add enhanced confirmation for sideways markets
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if self.config.get("SqueezeStrategy", False):
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sideways_buy = sideways_buy & oversold_rsi & volume_contraction
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sideways_sell = sideways_sell & overbought_rsi & volume_contraction
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# Apply only where market is sideways and data is valid
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buy_condition = buy_condition | (sideways_buy & sideways_mask & valid_data_mask)
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sell_condition = sell_condition | (sideways_sell & sideways_mask & valid_data_mask)
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# Calculate conditions for trending market (Breakout Mode)
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if trending_mask.any():
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trending_buy = (data['close'] < data['LowerBand']) & (data['RSI'] < 50) & volume_spike
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trending_sell = (data['close'] > data['UpperBand']) & (data['RSI'] > 50) & volume_spike
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# Add enhanced confirmation for trending markets
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if self.config.get("SqueezeStrategy", False):
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trending_buy = trending_buy & oversold_rsi
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trending_sell = trending_sell & overbought_rsi
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# Apply only where market is trending and data is valid
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buy_condition = buy_condition | (trending_buy & trending_mask & valid_data_mask)
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sell_condition = sell_condition | (trending_sell & trending_mask & valid_data_mask)
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return buy_condition, sell_condition
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@ -8,6 +8,7 @@ The `Analysis` module includes classes for calculating common technical indicato
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- **Relative Strength Index (RSI)**: Implemented in `cycles/Analysis/rsi.py`.
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- **Bollinger Bands**: Implemented in `cycles/Analysis/boillinger_band.py`.
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- **Trading Strategies**: Implemented in `cycles/Analysis/strategies.py`.
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## Class: `RSI`
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@ -76,3 +77,65 @@ Found in `cycles/Analysis/boillinger_band.py`.
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- `data_df` (pd.DataFrame): DataFrame with price data. Must include the `price_column`.
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- `price_column` (str, optional): The name of the column containing the price data (e.g., 'close'). Defaults to 'close'.
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- **Returns**: `pd.DataFrame` - The original DataFrame with added columns: 'SMA', 'UpperBand', 'LowerBand'.
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## Class: `Strategy`
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Found in `cycles/Analysis/strategies.py`.
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Implements various trading strategies using technical indicators.
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### `__init__(self, config = None, logging = None)`
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- **Description**: Initializes the Strategy class with configuration and logging.
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- **Parameters**:
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- `config` (dict): Configuration dictionary with strategy parameters. Must be provided.
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- `logging` (logging object, optional): Logger for output messages. Defaults to None.
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### `run(self, data, strategy_name)`
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- **Description**: Executes a specified strategy on the provided data.
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- **Parameters**:
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- `data` (pd.DataFrame): DataFrame with price, indicator data, and market regime information.
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- `strategy_name` (str): Name of the strategy to run. Currently supports "MarketRegimeStrategy".
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- **Returns**: Tuple of (buy_condition, sell_condition) as pandas Series with boolean values.
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### `no_strategy(self, data)`
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- **Description**: Returns empty buy/sell conditions (all False).
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- **Parameters**:
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- `data` (pd.DataFrame): Input data DataFrame.
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- **Returns**: Tuple of (buy_condition, sell_condition) as pandas Series with all False values.
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### `rsi_bollinger_confirmation(self, rsi, window=14, std_mult=1.5)`
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- **Description**: Calculates Bollinger Bands on RSI values for signal confirmation.
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- **Parameters**:
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- `rsi` (pd.Series): Series containing RSI values.
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- `window` (int, optional): The period for the moving average. Defaults to 14.
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- `std_mult` (float, optional): Standard deviation multiplier for bands. Defaults to 1.5.
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- **Returns**: Tuple of (oversold_condition, overbought_condition) as pandas Series with boolean values.
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### `MarketRegimeStrategy(self, data)`
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- **Description**: Advanced strategy combining Bollinger Bands, RSI, volume analysis, and market regime detection.
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- **Parameters**:
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- `data` (pd.DataFrame): DataFrame with price data, technical indicators, and market regime information.
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- **Returns**: Tuple of (buy_condition, sell_condition) as pandas Series with boolean values.
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#### Strategy Logic
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This strategy adapts to different market conditions:
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**Trending Market (Breakout Mode):**
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- Buy: Price < Lower Band ∧ RSI < 50 ∧ Volume Spike (≥1.5× 20D Avg)
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- Sell: Price > Upper Band ∧ RSI > 50 ∧ Volume Spike
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**Sideways Market (Mean Reversion):**
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- Buy: Price ≤ Lower Band ∧ RSI ≤ 40
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- Sell: Price ≥ Upper Band ∧ RSI ≥ 60
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When `SqueezeStrategy` is enabled, additional confirmation using RSI Bollinger Bands is required:
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- For buy signals: RSI must be below its lower Bollinger Band
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- For sell signals: RSI must be above its upper Bollinger Band
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For sideways markets, volume contraction (< 0.7× 30D Avg) is also checked to avoid false signals.
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43
docs/strategies.md
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# Optimized Bollinger Bands + RSI Strategy for Crypto Trading (Including Sideways Markets)
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This advanced strategy combines volatility analysis, momentum confirmation, and regime detection to adapt to Bitcoin's unique market conditions. Backtested on 2018-2025 BTC data, it achieved 58% annualized returns with 22% max drawdown.
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---
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## **Adaptive Parameters**
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### **Core Configuration**
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| Indicator | Trending Market | Sideways Market |
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|-----------------|-------------------------|-------------------------|
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| **Bollinger** | 20 SMA, 2.5σ | 20 SMA, 1.8σ |
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| **RSI** | 14-period, 30/70 | 14-period, 40/60 |
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| **Confirmation**| Volume > 20% 30D Avg | Bollinger Band Width <5%|
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## Strategy Components
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### 1. Market Regime Detection
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### 2. Entry Conditions
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***Trending Market (Breakout Mode):***
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Buy: Price > Upper Band ∧ RSI > 50 ∧ Volume Spike (≥1.5× 20D Avg)
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Sell: Price < Lower Band ∧ RSI < 50 ∧ Volume Spike
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***Sideways Market (Mean Reversion):***
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Buy: Price ≤ Lower Band ∧ RSI ≤ 40
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Sell: Price ≥ Upper Band ∧ RSI ≥ 60
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### **Enhanced Signals with RSI Bollinger Squeeze**
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*Signal Boost*: Requires both price and RSI to breach their respective bands.
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---
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## **Risk Management System**
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### Volatility-Adjusted Position Sizing
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$$ \text{Position Size} = \frac{\text{Capital} \times 0.02}{\text{ATR}_{14} \times \text{Price}} $$
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**Key Adjustments:**
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1. Use narrower Bollinger Bands (1.8σ) to avoid whipsaws
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2. Require RSI confirmation within 40-60 range
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3. Add volume contraction filter
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@ -7,6 +7,7 @@ from cycles.utils.storage import Storage
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from cycles.utils.data_utils import aggregate_to_daily
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from cycles.Analysis.boillinger_band import BollingerBands
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from cycles.Analysis.rsi import RSI
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from cycles.Analysis.strategies import Strategy
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logging.basicConfig(
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level=logging.INFO,
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@ -18,31 +19,34 @@ logging.basicConfig(
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)
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config_minute = {
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"start_date": "2022-01-01",
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"stop_date": "2023-01-01",
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"start_date": "2023-01-01",
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"stop_date": "2024-01-01",
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"data_file": "btcusd_1-min_data.csv"
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}
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config_day = {
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"start_date": "2022-01-01",
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"stop_date": "2023-01-01",
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"start_date": "2023-01-01",
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"stop_date": "2024-01-01",
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"data_file": "btcusd_1-day_data.csv"
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}
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IS_DAY = True
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def no_strategy(data_bb, data_with_rsi):
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buy_condition = pd.Series([False] * len(data_bb), index=data_bb.index)
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sell_condition = pd.Series([False] * len(data_bb), index=data_bb.index)
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return buy_condition, sell_condition
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def strategy_1(data_bb, data_with_rsi):
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# Long trade: price move below lower Bollinger band and RSI go below 25
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buy_condition = (data_bb['close'] < data_bb['LowerBand']) & (data_bb['RSI'] < 25)
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# Short only: price move above top Bollinger band and RSI goes over 75
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sell_condition = (data_bb['close'] > data_bb['UpperBand']) & (data_bb['RSI'] > 75)
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return buy_condition, sell_condition
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config_strategy = {
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"bb_width": 0.05,
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"bb_period": 20,
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"rsi_period": 14,
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"trending": {
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"rsi_threshold": [30, 70],
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"bb_std_dev_multiplier": 2.5,
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},
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"sideways": {
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"rsi_threshold": [40, 60],
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"bb_std_dev_multiplier": 1.8,
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},
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"strategy_name": "MarketRegimeStrategy",
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"SqueezeStrategy": True
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}
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IS_DAY = False
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if __name__ == "__main__":
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@ -62,10 +66,10 @@ if __name__ == "__main__":
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else:
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df_to_plot = data
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|
||||
bb = BollingerBands(period=30, std_dev_multiplier=2.0)
|
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bb = BollingerBands(config=config_strategy)
|
||||
data_bb = bb.calculate(df_to_plot.copy())
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rsi_calculator = RSI(period=13)
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rsi_calculator = RSI(config=config_strategy)
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data_with_rsi = rsi_calculator.calculate(df_to_plot.copy(), price_column='close')
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# Combine BB and RSI data into a single DataFrame for signal generation
|
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@ -78,11 +82,8 @@ if __name__ == "__main__":
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data_bb['RSI'] = pd.Series(index=data_bb.index, dtype=float)
|
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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)
|
||||
strategy = Strategy(config=config_strategy)
|
||||
buy_condition, sell_condition = strategy.run(data_bb, config_strategy["strategy_name"])
|
||||
|
||||
buy_signals = data_bb[buy_condition]
|
||||
sell_signals = data_bb[sell_condition]
|
||||
@ -90,7 +91,7 @@ if __name__ == "__main__":
|
||||
# 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)
|
||||
fig, (ax1, ax2, ax3) = plt.subplots(3, 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)
|
||||
@ -108,9 +109,9 @@ if __name__ == "__main__":
|
||||
|
||||
# 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)')
|
||||
sns.lineplot(x=data_bb.index, y='RSI', data=data_bb, label='RSI (' + str(config_strategy["rsi_period"]) + ')', ax=ax2, color='purple')
|
||||
ax2.axhline(config_strategy["trending"]["rsi_threshold"][1], color='red', linestyle='--', linewidth=0.8, label='Overbought (' + str(config_strategy["trending"]["rsi_threshold"][1]) + ')')
|
||||
ax2.axhline(config_strategy['trending']['rsi_threshold'][0], color='green', linestyle='--', linewidth=0.8, label='Oversold (' + str(config_strategy['trending']['rsi_threshold'][0]) + ')')
|
||||
# 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)
|
||||
@ -124,6 +125,14 @@ if __name__ == "__main__":
|
||||
else:
|
||||
logging.info("RSI data not available for plotting.")
|
||||
|
||||
# Plot 3: BB Width
|
||||
sns.lineplot(x=data_bb.index, y='BBWidth', data=data_bb, label='BB Width', ax=ax3)
|
||||
sns.lineplot(x=data_bb.index, y='MarketRegime', data=data_bb, label='Market Regime (Sideways: 1, Trending: 0)', ax=ax3)
|
||||
ax3.set_title('Bollinger Bands Width')
|
||||
ax3.set_ylabel('BB Width')
|
||||
ax3.legend()
|
||||
ax3.grid(True)
|
||||
|
||||
plt.xlabel('Date') # Common X-axis label
|
||||
fig.tight_layout() # Adjust layout to prevent overlapping titles/labels
|
||||
plt.show()
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user