Simon/Cycles
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Compare commits

base: Simon:9629d3090b9476cead8a3811f55db08e19361e50
Branches Tags
Simon:main Simon:xgboost Simon:IncrementalStrategy Simon:old_code
..
compare: Simon:old_code
Branches Tags
Simon:main Simon:xgboost Simon:IncrementalStrategy Simon:old_code

3 Commits
9629d3090b ... old_code

Author SHA1 Message Date
Simon Moisy
1284549106 progress print 2025-05-29 11:04:03 +08:00
Simon Moisy
5f03524d6a never fallback to default values for fee_usd 2025-05-28 02:50:40 +08:00
Simon Moisy
74c8048ed5 shifted one day back on the metatrend to avoid lookahead bias, reverted metatrend calculus to use no cpu optimization for readability 2025-05-27 17:49:55 +08:00
27 changed files with 716 additions and 5044 deletions
Expand all files Collapse all files

1
.gitignore vendored
View File

@@ -1,4 +1,5 @@
# ---> Python # ---> Python
*.json
*.csv *.csv
*.png *.png
# Byte-compiled / optimized / DLL files # Byte-compiled / optimized / DLL files

178
README.md
View File

@@ -1,177 +1 @@
# Cycles - Advanced Trading Strategy Backtesting Framework # Cycles
A sophisticated Python framework for backtesting cryptocurrency trading strategies with multi-timeframe analysis, strategy combination, and advanced signal processing.
## Features
- **Multi-Strategy Architecture**: Combine multiple trading strategies with configurable weights and rules
- **Multi-Timeframe Analysis**: Strategies can operate on different timeframes (1min, 5min, 15min, 1h, etc.)
- **Advanced Strategies**:
- **Default Strategy**: Meta-trend analysis using multiple Supertrend indicators
- **BBRS Strategy**: Bollinger Bands + RSI with market regime detection
- **Flexible Signal Combination**: Weighted consensus, majority voting, any/all combinations
- **Precise Stop-Loss**: 1-minute precision for accurate risk management
- **Comprehensive Backtesting**: Detailed performance metrics and trade analysis
- **Data Visualization**: Interactive charts and performance plots
## Quick Start
### Prerequisites
- Python 3.8+
- [uv](https://github.com/astral-sh/uv) package manager (recommended)
### Installation
```bash
# Clone the repository
git clone <repository-url>
cd Cycles
# Install dependencies with uv
uv sync
# Or install with pip
pip install -r requirements.txt
```
### Running Backtests
Use the `uv run` command to execute backtests with different configurations:
```bash
# Run default strategy on 5-minute timeframe
uv run .\main.py .\configs\config_default_5min.json
# Run default strategy on 15-minute timeframe
uv run .\main.py .\configs\config_default.json
# Run BBRS strategy with market regime detection
uv run .\main.py .\configs\config_bbrs.json
# Run combined strategies
uv run .\main.py .\configs\config_combined.json
```
### Configuration Examples
#### Default Strategy (5-minute timeframe)
```bash
uv run .\main.py .\configs\config_default_5min.json
```
#### BBRS Strategy with Multi-timeframe Analysis
```bash
uv run .\main.py .\configs\config_bbrs_multi_timeframe.json
```
#### Combined Strategies with Weighted Consensus
```bash
uv run .\main.py .\configs\config_combined.json
```
## Configuration
Strategies are configured using JSON files in the `configs/` directory:
```json
{
"start_date": "2024-01-01",
"stop_date": "2024-01-31",
"initial_usd": 10000,
"timeframes": ["15min"],
"stop_loss_pcts": [0.03, 0.05],
"strategies": [
{
"name": "default",
"weight": 1.0,
"params": {
"timeframe": "15min"
}
}
],
"combination_rules": {
"entry": "any",
"exit": "any",
"min_confidence": 0.5
}
}
```
### Available Strategies
1. **Default Strategy**: Meta-trend analysis using Supertrend indicators
2. **BBRS Strategy**: Bollinger Bands + RSI with market regime detection
### Combination Rules
- **Entry**: `any`, `all`, `majority`, `weighted_consensus`
- **Exit**: `any`, `all`, `priority` (prioritizes stop-loss signals)
## Project Structure
```
Cycles/
├── configs/ # Configuration files
├── cycles/ # Core framework
│ ├── strategies/ # Strategy implementation
│ │ ├── base.py # Base strategy classes
│ │ ├── default_strategy.py
│ │ ├── bbrs_strategy.py
│ │ └── manager.py # Strategy manager
│ ├── Analysis/ # Technical analysis
│ ├── utils/ # Utilities
│ └── charts.py # Visualization
├── docs/ # Documentation
├── data/ # Market data
├── results/ # Backtest results
└── main.py # Main entry point
```
## Documentation
Detailed documentation is available in the `docs/` directory:
- **[Strategy Manager](./docs/strategy_manager.md)** - Multi-strategy orchestration and signal combination
- **[Strategies](./docs/strategies.md)** - Individual strategy implementations and usage
- **[Timeframe System](./docs/timeframe_system.md)** - Advanced timeframe management and multi-timeframe strategies
- **[Analysis](./docs/analysis.md)** - Technical analysis components
- **[Storage Utils](./docs/utils_storage.md)** - Data storage and retrieval
- **[System Utils](./docs/utils_system.md)** - System utilities
## Examples
### Single Strategy Backtest
```bash
# Test default strategy on different timeframes
uv run .\main.py .\configs\config_default.json # 15min
uv run .\main.py .\configs\config_default_5min.json # 5min
```
### Multi-Strategy Backtest
```bash
# Combine multiple strategies with different weights
uv run .\main.py .\configs\config_combined.json
```
### Custom Configuration
Create your own configuration file and run:
```bash
uv run .\main.py .\configs\your_config.json
```
## Output
Backtests generate:
- **CSV Results**: Detailed performance metrics per timeframe/strategy
- **Trade Log**: Individual trade records with entry/exit details
- **Performance Charts**: Visual analysis of strategy performance (in debug mode)
- **Log Files**: Detailed execution logs
## License
[Add your license information here]
## Contributing
[Add contributing guidelines here]

29
configs/config_bbrs.json
View File

@@ -1,29 +0,0 @@
{
"start_date": "2025-03-01",
"stop_date": "2025-03-15",
"initial_usd": 10000,
"timeframes": ["1min"],
"stop_loss_pcts": [0.05],
"strategies": [
{
"name": "bbrs",
"weight": 1.0,
"params": {
"bb_width": 0.05,
"bb_period": 20,
"rsi_period": 14,
"trending_rsi_threshold": [30, 70],
"trending_bb_multiplier": 2.5,
"sideways_rsi_threshold": [40, 60],
"sideways_bb_multiplier": 1.8,
"strategy_name": "MarketRegimeStrategy",
"SqueezeStrategy": true
}
}
],
"combination_rules": {
"entry": "any",
"exit": "any",
"min_confidence": 0.5
}
}

29
configs/config_bbrs_multi_timeframe.json
View File

@@ -1,29 +0,0 @@
{
"start_date": "2024-01-01",
"stop_date": "2024-01-31",
"initial_usd": 10000,
"timeframes": ["1min"],
"stop_loss_pcts": [0.05],
"strategies": [
{
"name": "bbrs",
"weight": 1.0,
"params": {
"bb_width": 0.05,
"bb_period": 20,
"rsi_period": 14,
"trending_rsi_threshold": [30, 70],
"trending_bb_multiplier": 2.5,
"sideways_rsi_threshold": [40, 60],
"sideways_bb_multiplier": 1.8,
"strategy_name": "MarketRegimeStrategy",
"SqueezeStrategy": true
}
}
],
"combination_rules": {
"entry": "any",
"exit": "any",
"min_confidence": 0.5
}
}

29
configs/config_combined.json
View File

@@ -1,29 +0,0 @@
{
"start_date": "2025-03-01",
"stop_date": "2025-03-15",
"initial_usd": 10000,
"timeframes": ["15min"],
"stop_loss_pcts": [0.04],
"strategies": [
{
"name": "default",
"weight": 0.6,
"params": {}
},
{
"name": "bbrs",
"weight": 0.4,
"params": {
"bb_width": 0.05,
"bb_period": 20,
"rsi_period": 14,
"strategy_name": "MarketRegimeStrategy"
}
}
],
"combination_rules": {
"entry": "weighted_consensus",
"exit": "any",
"min_confidence": 0.6
}
}

19
configs/config_default.json
View File

@@ -1,19 +0,0 @@
{
"start_date": "2025-03-01",
"stop_date": "2025-03-15",
"initial_usd": 10000,
"timeframes": ["15min"],
"stop_loss_pcts": [0.03, 0.05],
"strategies": [
{
"name": "default",
"weight": 1.0,
"params": {}
}
],
"combination_rules": {
"entry": "any",
"exit": "any",
"min_confidence": 0.5
}
}

21
configs/config_default_5min.json
View File

@@ -1,21 +0,0 @@
{
"start_date": "2024-01-01",
"stop_date": "2024-01-31",
"initial_usd": 10000,
"timeframes": ["5min"],
"stop_loss_pcts": [0.03, 0.05],
"strategies": [
{
"name": "default",
"weight": 1.0,
"params": {
"timeframe": "5min"
}
}
],
"combination_rules": {
"entry": "any",
"exit": "any",
"min_confidence": 0.5
}
}

121
cycles/Analysis/boillinger_band.py
View File

@@ -1,29 +1,26 @@
import pandas as pd import pandas as pd
import numpy as np
class BollingerBands: class BollingerBands:
""" """
Calculates Bollinger Bands for given financial data. Calculates Bollinger Bands for given financial data.
""" """
def __init__(self, config): def __init__(self, period: int = 20, std_dev_multiplier: float = 2.0):
""" """
Initializes the BollingerBands calculator. Initializes the BollingerBands calculator.
Args: Args:
period (int): The period for the moving average and standard deviation. 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. std_dev_multiplier (float): The number of standard deviations for the upper and lower bands.
bb_width (float): The width of the Bollinger Bands.
""" """
if config['bb_period'] <= 0: if period <= 0:
raise ValueError("Period must be a positive integer.") raise ValueError("Period must be a positive integer.")
if config['trending']['bb_std_dev_multiplier'] <= 0 or config['sideways']['bb_std_dev_multiplier'] <= 0: if std_dev_multiplier <= 0:
raise ValueError("Standard deviation multiplier must be positive.") raise ValueError("Standard deviation multiplier must be positive.")
if config['bb_width'] <= 0:
raise ValueError("BB width must be positive.")
self.config = config self.period = period
self.std_dev_multiplier = std_dev_multiplier
def calculate(self, data_df: pd.DataFrame, price_column: str = 'close', squeeze = False) -> pd.DataFrame: def calculate(self, data_df: pd.DataFrame, price_column: str = 'close') -> pd.DataFrame:
""" """
Calculates Bollinger Bands and adds them to the DataFrame. Calculates Bollinger Bands and adds them to the DataFrame.
@@ -37,109 +34,17 @@ class BollingerBands:
'UpperBand', 'UpperBand',
'LowerBand'. 'LowerBand'.
""" """
# Work on a copy to avoid modifying the original DataFrame passed to the function
data_df = data_df.copy()
if price_column not in data_df.columns: if price_column not in data_df.columns:
raise ValueError(f"Price column '{price_column}' not found in DataFrame.") raise ValueError(f"Price column '{price_column}' not found in DataFrame.")
if not squeeze: # Calculate SMA
period = self.config['bb_period'] data_df['SMA'] = data_df[price_column].rolling(window=self.period).mean()
bb_width_threshold = self.config['bb_width']
trending_std_multiplier = self.config['trending']['bb_std_dev_multiplier']
sideways_std_multiplier = self.config['sideways']['bb_std_dev_multiplier']
# Calculate SMA # Calculate Standard Deviation
data_df['SMA'] = data_df[price_column].rolling(window=period).mean() std_dev = data_df[price_column].rolling(window=self.period).std()
# Calculate Standard Deviation # Calculate Upper and Lower Bands
std_dev = data_df[price_column].rolling(window=period).std() data_df['UpperBand'] = data_df['SMA'] + (self.std_dev_multiplier * std_dev)
data_df['LowerBand'] = data_df['SMA'] - (self.std_dev_multiplier * std_dev)
# Calculate reference Upper and Lower Bands for BBWidth calculation (e.g., using 2.0 std dev)
# This ensures BBWidth is calculated based on a consistent band definition before applying adaptive multipliers.
ref_upper_band = data_df['SMA'] + (2.0 * std_dev)
ref_lower_band = data_df['SMA'] - (2.0 * std_dev)
# Calculate the width of the Bollinger Bands
# Avoid division by zero or NaN if SMA is zero or NaN by replacing with np.nan
data_df['BBWidth'] = np.where(data_df['SMA'] != 0, (ref_upper_band - ref_lower_band) / data_df['SMA'], np.nan)
# Calculate the market regime (1 = sideways, 0 = trending)
# Handle NaN in BBWidth: if BBWidth is NaN, MarketRegime should also be NaN or a default (e.g. trending)
data_df['MarketRegime'] = np.where(data_df['BBWidth'].isna(), np.nan,
(data_df['BBWidth'] < bb_width_threshold).astype(float)) # Use float for NaN compatibility
# Determine the std dev multiplier for each row based on its market regime
conditions = [
data_df['MarketRegime'] == 1, # Sideways market
data_df['MarketRegime'] == 0 # Trending market
]
choices = [
sideways_std_multiplier,
trending_std_multiplier
]
# Default multiplier if MarketRegime is NaN (e.g., use trending or a neutral default like 2.0)
# For now, let's use trending_std_multiplier as default if MarketRegime is NaN.
# This can be adjusted based on desired behavior for periods where regime is undetermined.
row_specific_std_multiplier = np.select(conditions, choices, default=trending_std_multiplier)
# Calculate final Upper and Lower Bands using the row-specific multiplier
data_df['UpperBand'] = data_df['SMA'] + (row_specific_std_multiplier * std_dev)
data_df['LowerBand'] = data_df['SMA'] - (row_specific_std_multiplier * std_dev)
else: # squeeze is True
price_series = data_df[price_column]
# Use the static method for the squeeze case with fixed parameters
upper_band, sma, lower_band = self.calculate_custom_bands(
price_series,
window=14,
num_std=1.5,
min_periods=14 # Match typical squeeze behavior where bands appear after full period
)
data_df['SMA'] = sma
data_df['UpperBand'] = upper_band
data_df['LowerBand'] = lower_band
# BBWidth and MarketRegime are not typically calculated/used in a simple squeeze context by this method
# If needed, they could be added, but the current structure implies they are part of the non-squeeze path.
data_df['BBWidth'] = np.nan
data_df['MarketRegime'] = np.nan
return data_df return data_df
@staticmethod
def calculate_custom_bands(price_series: pd.Series, window: int = 20, num_std: float = 2.0, min_periods: int = None) -> tuple[pd.Series, pd.Series, pd.Series]:
"""
Calculates Bollinger Bands with specified window and standard deviation multiplier.
Args:
price_series (pd.Series): Series of prices.
window (int): The period for the moving average and standard deviation.
num_std (float): The number of standard deviations for the upper and lower bands.
min_periods (int, optional): Minimum number of observations in window required to have a value.
Defaults to `window` if None.
Returns:
tuple[pd.Series, pd.Series, pd.Series]: Upper band, SMA, Lower band.
"""
if not isinstance(price_series, pd.Series):
raise TypeError("price_series must be a pandas Series.")
if not isinstance(window, int) or window <= 0:
raise ValueError("window must be a positive integer.")
if not isinstance(num_std, (int, float)) or num_std <= 0:
raise ValueError("num_std must be a positive number.")
if min_periods is not None and (not isinstance(min_periods, int) or min_periods <= 0):
raise ValueError("min_periods must be a positive integer if provided.")
actual_min_periods = window if min_periods is None else min_periods
sma = price_series.rolling(window=window, min_periods=actual_min_periods).mean()
std = price_series.rolling(window=window, min_periods=actual_min_periods).std()
# Replace NaN std with 0 to avoid issues if sma is present but std is not (e.g. constant price in window)
std = std.fillna(0)
upper_band = sma + (std * num_std)
lower_band = sma - (std * num_std)
return upper_band, sma, lower_band

144
cycles/Analysis/rsi.py
View File

@@ -5,7 +5,7 @@ class RSI:
""" """
A class to calculate the Relative Strength Index (RSI). A class to calculate the Relative Strength Index (RSI).
""" """
def __init__(self, config): def __init__(self, period: int = 14):
""" """
Initializes the RSI calculator. Initializes the RSI calculator.
@@ -13,13 +13,13 @@ class RSI:
period (int): The period for RSI calculation. Default is 14. period (int): The period for RSI calculation. Default is 14.
Must be a positive integer. Must be a positive integer.
""" """
if not isinstance(config['rsi_period'], int) or config['rsi_period'] <= 0: if not isinstance(period, int) or period <= 0:
raise ValueError("Period must be a positive integer.") raise ValueError("Period must be a positive integer.")
self.period = config['rsi_period'] self.period = period
def calculate(self, data_df: pd.DataFrame, price_column: str = 'close') -> pd.DataFrame: def calculate(self, data_df: pd.DataFrame, price_column: str = 'close') -> pd.DataFrame:
""" """
Calculates the RSI (using Wilder's smoothing) and adds it as a column to the input DataFrame. Calculates the RSI and adds it as a column to the input DataFrame.
Args: Args:
data_df (pd.DataFrame): DataFrame with historical price data. data_df (pd.DataFrame): DataFrame with historical price data.
@@ -35,79 +35,75 @@ class RSI:
if price_column not in data_df.columns: if price_column not in data_df.columns:
raise ValueError(f"Price column '{price_column}' not found in DataFrame.") raise ValueError(f"Price column '{price_column}' not found in DataFrame.")
# Check if data is sufficient for calculation (need period + 1 for one diff calculation) if len(data_df) < self.period:
if len(data_df) < self.period + 1: print(f"Warning: Data length ({len(data_df)}) is less than RSI period ({self.period}). RSI will not be calculated.")
print(f"Warning: Data length ({len(data_df)}) is less than RSI period ({self.period}) + 1. RSI will not be calculated meaningfully.") return data_df.copy()
df_copy = data_df.copy()
df_copy['RSI'] = np.nan # Add an RSI column with NaNs
return df_copy
df = data_df.copy() # Work on a copy df = data_df.copy()
delta = df[price_column].diff(1)
price_series = df[price_column] gain = delta.where(delta > 0, 0)
loss = -delta.where(delta < 0, 0) # Ensure loss is positive
# Call the static custom RSI calculator, defaulting to EMA for Wilder's smoothing # Calculate initial average gain and loss (SMA)
rsi_series = self.calculate_custom_rsi(price_series, window=self.period, smoothing='EMA') 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]
df['RSI'] = rsi_series
# 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 return df
@staticmethod
def calculate_custom_rsi(price_series: pd.Series, window: int = 14, smoothing: str = 'SMA') -> pd.Series:
"""
Calculates RSI with specified window and smoothing (SMA or EMA).
Args:
price_series (pd.Series): Series of prices.
window (int): The period for RSI calculation. Must be a positive integer.
smoothing (str): Smoothing method, 'SMA' or 'EMA'. Defaults to 'SMA'.
Returns:
pd.Series: Series containing the RSI values.
"""
if not isinstance(price_series, pd.Series):
raise TypeError("price_series must be a pandas Series.")
if not isinstance(window, int) or window <= 0:
raise ValueError("window must be a positive integer.")
if smoothing not in ['SMA', 'EMA']:
raise ValueError("smoothing must be either 'SMA' or 'EMA'.")
if len(price_series) < window + 1: # Need at least window + 1 prices for one diff
# print(f"Warning: Data length ({len(price_series)}) is less than RSI window ({window}) + 1. RSI will be all NaN.")
return pd.Series(np.nan, index=price_series.index)
delta = price_series.diff()
# The first delta is NaN. For gain/loss calculations, it can be treated as 0.
# However, subsequent rolling/ewm will handle NaNs appropriately if min_periods is set.
gain = delta.where(delta > 0, 0.0)
loss = -delta.where(delta < 0, 0.0) # Ensure loss is positive
# Ensure gain and loss Series have the same index as price_series for rolling/ewm
# This is important if price_series has missing dates/times
gain = gain.reindex(price_series.index, fill_value=0.0)
loss = loss.reindex(price_series.index, fill_value=0.0)
if smoothing == 'EMA':
# adjust=False for Wilder's smoothing used in RSI
avg_gain = gain.ewm(alpha=1/window, adjust=False, min_periods=window).mean()
avg_loss = loss.ewm(alpha=1/window, adjust=False, min_periods=window).mean()
else: # SMA
avg_gain = gain.rolling(window=window, min_periods=window).mean()
avg_loss = loss.rolling(window=window, min_periods=window).mean()
# Handle division by zero for RS calculation
# If avg_loss is 0, RS can be considered infinite (if avg_gain > 0) or undefined (if avg_gain also 0)
rs = avg_gain / avg_loss.replace(0, 1e-9) # Replace 0 with a tiny number to avoid direct division by zero warning
rsi = 100 - (100 / (1 + rs))
# Correct RSI values for edge cases where avg_loss was 0
# If avg_loss is 0 and avg_gain is > 0, RSI is 100.
# If avg_loss is 0 and avg_gain is 0, RSI is 50 (neutral).
rsi[avg_loss == 0] = np.where(avg_gain[avg_loss == 0] > 0, 100, 50)
# Ensure RSI is NaN where avg_gain or avg_loss is NaN (due to min_periods)
rsi[avg_gain.isna() | avg_loss.isna()] = np.nan
return rsi

415
cycles/Analysis/strategies.py
View File

@@ -1,415 +0,0 @@
import pandas as pd
import numpy as np
from cycles.Analysis.boillinger_band import BollingerBands
from cycles.Analysis.rsi import RSI
from cycles.utils.data_utils import aggregate_to_daily, aggregate_to_hourly, aggregate_to_minutes
class Strategy:
def __init__(self, config = None, logging = None):
if config is None:
raise ValueError("Config must be provided.")
self.config = config
self.logging = logging
def _ensure_datetime_index(self, data):
"""
Ensure the DataFrame has a DatetimeIndex for proper time-series operations.
If the DataFrame has a 'timestamp' column but not a DatetimeIndex, convert it.
Args:
data (DataFrame): Input DataFrame
Returns:
DataFrame: DataFrame with proper DatetimeIndex
"""
if data.empty:
return data
# Check if we have a DatetimeIndex already
if isinstance(data.index, pd.DatetimeIndex):
return data
# Check if we have a 'timestamp' column that we can use as index
if 'timestamp' in data.columns:
data_copy = data.copy()
# Convert timestamp column to datetime if it's not already
if not pd.api.types.is_datetime64_any_dtype(data_copy['timestamp']):
data_copy['timestamp'] = pd.to_datetime(data_copy['timestamp'])
# Set timestamp as index and drop the column
data_copy = data_copy.set_index('timestamp')
if self.logging:
self.logging.info("Converted 'timestamp' column to DatetimeIndex for strategy processing.")
return data_copy
# If we have a regular index but it might be datetime strings, try to convert
try:
if data.index.dtype == 'object':
data_copy = data.copy()
data_copy.index = pd.to_datetime(data_copy.index)
if self.logging:
self.logging.info("Converted index to DatetimeIndex for strategy processing.")
return data_copy
except:
pass
# If we can't create a proper DatetimeIndex, warn and return as-is
if self.logging:
self.logging.warning("Could not create DatetimeIndex for strategy processing. Time-based operations may fail.")
return data
def run(self, data, strategy_name):
# Ensure proper DatetimeIndex before processing
data = self._ensure_datetime_index(data)
if strategy_name == "MarketRegimeStrategy":
result = self.MarketRegimeStrategy(data)
return self.standardize_output(result, strategy_name)
elif strategy_name == "CryptoTradingStrategy":
result = self.CryptoTradingStrategy(data)
return self.standardize_output(result, strategy_name)
else:
if self.logging is not None:
self.logging.warning(f"Strategy {strategy_name} not found. Using no_strategy instead.")
return self.no_strategy(data)
def standardize_output(self, data, strategy_name):
"""
Standardize column names across different strategies to ensure consistent plotting and analysis
Args:
data (DataFrame): Strategy output DataFrame
strategy_name (str): Name of the strategy that generated this data
Returns:
DataFrame: Data with standardized column names
"""
if data.empty:
return data
# Create a copy to avoid modifying the original
standardized = data.copy()
# Standardize column names based on strategy
if strategy_name == "MarketRegimeStrategy":
# MarketRegimeStrategy already has standard column names for most fields
# Just ensure all standard columns exist
pass
elif strategy_name == "CryptoTradingStrategy":
# Map strategy-specific column names to standard names
column_mapping = {
'UpperBand_15m': 'UpperBand',
'LowerBand_15m': 'LowerBand',
'SMA_15m': 'SMA',
'RSI_15m': 'RSI',
'VolumeMA_15m': 'VolumeMA',
# Keep StopLoss and TakeProfit as they are
}
# Add standard columns from mapped columns
for old_col, new_col in column_mapping.items():
if old_col in standardized.columns and new_col not in standardized.columns:
standardized[new_col] = standardized[old_col]
# Add additional strategy-specific data as metadata columns
if 'UpperBand_1h' in standardized.columns:
standardized['UpperBand_1h_meta'] = standardized['UpperBand_1h']
if 'LowerBand_1h' in standardized.columns:
standardized['LowerBand_1h_meta'] = standardized['LowerBand_1h']
# Ensure all strategies have BBWidth if possible
if 'BBWidth' not in standardized.columns and 'UpperBand' in standardized.columns and 'LowerBand' in standardized.columns:
standardized['BBWidth'] = (standardized['UpperBand'] - standardized['LowerBand']) / standardized['SMA'] if 'SMA' in standardized.columns else np.nan
return standardized
def no_strategy(self, data):
"""No strategy: returns False for both buy and sell conditions"""
buy_condition = pd.Series([False] * len(data), index=data.index)
sell_condition = pd.Series([False] * len(data), index=data.index)
return buy_condition, sell_condition
def rsi_bollinger_confirmation(self, rsi, window=14, std_mult=1.5):
"""Calculate RSI Bollinger Bands for confirmation
Args:
rsi (Series): RSI values
window (int): Rolling window for SMA
std_mult (float): Standard deviation multiplier
Returns:
tuple: (oversold condition, overbought condition)
"""
valid_rsi = ~rsi.isna()
if not valid_rsi.any():
# Return empty Series if no valid RSI data
return pd.Series(False, index=rsi.index), pd.Series(False, index=rsi.index)
rsi_sma = rsi.rolling(window).mean()
rsi_std = rsi.rolling(window).std()
upper_rsi_band = rsi_sma + std_mult * rsi_std
lower_rsi_band = rsi_sma - std_mult * rsi_std
return (rsi < lower_rsi_band), (rsi > upper_rsi_band)
def MarketRegimeStrategy(self, data):
"""Optimized Bollinger Bands + RSI Strategy for Crypto Trading (Including Sideways Markets)
with adaptive Bollinger Bands
This advanced strategy combines volatility analysis, momentum confirmation, and regime detection
to adapt to Bitcoin's unique market conditions.
Entry Conditions:
- Trending Market (Breakout Mode):
Buy: Price < Lower Band ∧ RSI < 50 ∧ Volume Spike (≥1.5× 20D Avg)
Sell: Price > Upper Band ∧ RSI > 50 ∧ Volume Spike
- Sideways Market (Mean Reversion):
Buy: Price ≤ Lower Band ∧ RSI ≤ 40
Sell: Price ≥ Upper Band ∧ RSI ≥ 60
Enhanced with RSI Bollinger Squeeze for signal confirmation when enabled.
Returns:
DataFrame: A unified DataFrame containing original data, BB, RSI, and signals.
"""
data = aggregate_to_hourly(data, 1)
# data = aggregate_to_daily(data)
# Calculate Bollinger Bands
bb_calculator = BollingerBands(config=self.config)
# Ensure we are working with a copy to avoid modifying the original DataFrame upstream
data_bb = bb_calculator.calculate(data.copy())
# Calculate RSI
rsi_calculator = RSI(config=self.config)
# Use the original data's copy for RSI calculation as well, to maintain index integrity
data_with_rsi = rsi_calculator.calculate(data.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 data.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)
if self.logging:
self.logging.warning("RSI column not found or not calculated. Signals relying on RSI may not be generated.")
# Initialize conditions as all False
buy_condition = pd.Series(False, index=data_bb.index)
sell_condition = pd.Series(False, index=data_bb.index)
# Create masks for different market regimes
# MarketRegime is expected to be in data_bb from BollingerBands calculation
sideways_mask = data_bb['MarketRegime'] > 0
trending_mask = data_bb['MarketRegime'] <= 0
valid_data_mask = ~data_bb['MarketRegime'].isna() # Handle potential NaN values
# Calculate volume spike (≥1.5× 20D Avg)
# 'volume' column should be present in the input 'data', and thus in 'data_bb'
if 'volume' in data_bb.columns:
volume_20d_avg = data_bb['volume'].rolling(window=20).mean()
volume_spike = data_bb['volume'] >= 1.5 * volume_20d_avg
# Additional volume contraction filter for sideways markets
volume_30d_avg = data_bb['volume'].rolling(window=30).mean()
volume_contraction = data_bb['volume'] < 0.7 * volume_30d_avg
else:
# If volume data is not available, assume no volume spike
volume_spike = pd.Series(False, index=data_bb.index)
volume_contraction = pd.Series(False, index=data_bb.index)
if self.logging is not None:
self.logging.warning("Volume data not available. Volume conditions will not be triggered.")
# Calculate RSI Bollinger Squeeze confirmation
# RSI column is now part of data_bb
if 'RSI' in data_bb.columns and not data_bb['RSI'].isna().all():
oversold_rsi, overbought_rsi = self.rsi_bollinger_confirmation(data_bb['RSI'])
else:
oversold_rsi = pd.Series(False, index=data_bb.index)
overbought_rsi = pd.Series(False, index=data_bb.index)
if self.logging is not None and ('RSI' not in data_bb.columns or data_bb['RSI'].isna().all()):
self.logging.warning("RSI data not available or all NaN. RSI Bollinger Squeeze will not be triggered.")
# Calculate conditions for sideways market (Mean Reversion)
if sideways_mask.any():
sideways_buy = (data_bb['close'] <= data_bb['LowerBand']) & (data_bb['RSI'] <= 40)
sideways_sell = (data_bb['close'] >= data_bb['UpperBand']) & (data_bb['RSI'] >= 60)
# Add enhanced confirmation for sideways markets
if self.config.get("SqueezeStrategy", False):
sideways_buy = sideways_buy & oversold_rsi & volume_contraction
sideways_sell = sideways_sell & overbought_rsi & volume_contraction
# Apply only where market is sideways and data is valid
buy_condition = buy_condition | (sideways_buy & sideways_mask & valid_data_mask)
sell_condition = sell_condition | (sideways_sell & sideways_mask & valid_data_mask)
# Calculate conditions for trending market (Breakout Mode)
if trending_mask.any():
trending_buy = (data_bb['close'] < data_bb['LowerBand']) & (data_bb['RSI'] < 50) & volume_spike
trending_sell = (data_bb['close'] > data_bb['UpperBand']) & (data_bb['RSI'] > 50) & volume_spike
# Add enhanced confirmation for trending markets
if self.config.get("SqueezeStrategy", False):
trending_buy = trending_buy & oversold_rsi
trending_sell = trending_sell & overbought_rsi
# Apply only where market is trending and data is valid
buy_condition = buy_condition | (trending_buy & trending_mask & valid_data_mask)
sell_condition = sell_condition | (trending_sell & trending_mask & valid_data_mask)
# Add buy/sell conditions as columns to the DataFrame
data_bb['BuySignal'] = buy_condition
data_bb['SellSignal'] = sell_condition
return data_bb
# Helper functions for CryptoTradingStrategy
def _volume_confirmation_crypto(self, current_volume, volume_ma):
"""Check volume surge against moving average for crypto strategy"""
if pd.isna(current_volume) or pd.isna(volume_ma) or volume_ma == 0:
return False
return current_volume > 1.5 * volume_ma
def _multi_timeframe_signal_crypto(self, current_price, rsi_value,
lower_band_15m, lower_band_1h,
upper_band_15m, upper_band_1h):
"""Generate signals with multi-timeframe confirmation for crypto strategy"""
# Ensure all inputs are not NaN before making comparisons
if any(pd.isna(val) for val in [current_price, rsi_value, lower_band_15m, lower_band_1h, upper_band_15m, upper_band_1h]):
return False, False
buy_signal = (current_price <= lower_band_15m and
current_price <= lower_band_1h and
rsi_value < 35)
sell_signal = (current_price >= upper_band_15m and
current_price >= upper_band_1h and
rsi_value > 65)
return buy_signal, sell_signal
def CryptoTradingStrategy(self, data):
"""Core trading algorithm with risk management
- Multi-Timeframe Confirmation: Combines 15-minute and 1-hour Bollinger Bands
- Adaptive Volatility Filtering: Uses ATR for dynamic stop-loss/take-profit
- Volume Spike Detection: Requires 1.5× average volume for confirmation
- EMA-Smoothed RSI: Reduces false signals in choppy markets
- Regime-Adaptive Parameters:
- Trending: 2σ bands, RSI 35/65 thresholds
- Sideways: 1.8σ bands, RSI 40/60 thresholds
- Strategy Logic:
- Long Entry: Price ≤ both 15m & 1h lower bands + RSI < 35 + Volume surge
- Short Entry: Price ≥ both 15m & 1h upper bands + RSI > 65 + Volume surge
- Exit: 2:1 risk-reward ratio with ATR-based stops
"""
if data.empty or 'close' not in data.columns or 'volume' not in data.columns:
if self.logging:
self.logging.warning("CryptoTradingStrategy: Input data is empty or missing 'close'/'volume' columns.")
return pd.DataFrame() # Return empty DataFrame if essential data is missing
print(f"data: {data.head()}")
# Aggregate data
data_15m = aggregate_to_minutes(data.copy(), 15)
data_1h = aggregate_to_hourly(data.copy(), 1)
if data_15m.empty or data_1h.empty:
if self.logging:
self.logging.warning("CryptoTradingStrategy: Not enough data for 15m or 1h aggregation.")
return pd.DataFrame() # Return original data if aggregation fails
# --- Calculate indicators for 15m timeframe ---
# Ensure 'close' and 'volume' exist before trying to access them
if 'close' not in data_15m.columns or 'volume' not in data_15m.columns:
if self.logging: self.logging.warning("CryptoTradingStrategy: 15m data missing close or volume.")
return data # Or an empty DF
price_data_15m = data_15m['close']
volume_data_15m = data_15m['volume']
upper_15m, sma_15m, lower_15m = BollingerBands.calculate_custom_bands(price_data_15m, window=20, num_std=2, min_periods=1)
# Use the static method from RSI class
rsi_15m = RSI.calculate_custom_rsi(price_data_15m, window=14, smoothing='EMA')
volume_ma_15m = volume_data_15m.rolling(window=20, min_periods=1).mean()
# Add 15m indicators to data_15m DataFrame
data_15m['UpperBand_15m'] = upper_15m
data_15m['SMA_15m'] = sma_15m
data_15m['LowerBand_15m'] = lower_15m
data_15m['RSI_15m'] = rsi_15m
data_15m['VolumeMA_15m'] = volume_ma_15m
# --- Calculate indicators for 1h timeframe ---
if 'close' not in data_1h.columns:
if self.logging: self.logging.warning("CryptoTradingStrategy: 1h data missing close.")
return data_15m # Return 15m data as 1h failed
price_data_1h = data_1h['close']
# Use the static method from BollingerBands class, setting min_periods to 1 explicitly
upper_1h, _, lower_1h = BollingerBands.calculate_custom_bands(price_data_1h, window=50, num_std=1.8, min_periods=1)
# Add 1h indicators to a temporary DataFrame to be merged
df_1h_indicators = pd.DataFrame(index=data_1h.index)
df_1h_indicators['UpperBand_1h'] = upper_1h
df_1h_indicators['LowerBand_1h'] = lower_1h
# Merge 1h indicators into 15m DataFrame
# Use reindex and ffill to propagate 1h values to 15m intervals
data_15m = pd.merge(data_15m, df_1h_indicators, left_index=True, right_index=True, how='left')
data_15m['UpperBand_1h'] = data_15m['UpperBand_1h'].ffill()
data_15m['LowerBand_1h'] = data_15m['LowerBand_1h'].ffill()
# --- Generate Signals ---
buy_signals = pd.Series(False, index=data_15m.index)
sell_signals = pd.Series(False, index=data_15m.index)
stop_loss_levels = pd.Series(np.nan, index=data_15m.index)
take_profit_levels = pd.Series(np.nan, index=data_15m.index)
# ATR calculation needs a rolling window, apply to 'high', 'low', 'close' if available
# Using a simplified ATR for now: std of close prices over the last 4 15-min periods (1 hour)
if 'close' in data_15m.columns:
atr_series = price_data_15m.rolling(window=4, min_periods=1).std()
else:
atr_series = pd.Series(0, index=data_15m.index) # No ATR if close is missing
for i in range(len(data_15m)):
if i == 0: continue # Skip first row for volume_ma_15m[i-1]
current_price = data_15m['close'].iloc[i]
current_volume = data_15m['volume'].iloc[i]
rsi_val = data_15m['RSI_15m'].iloc[i]
lb_15m = data_15m['LowerBand_15m'].iloc[i]
ub_15m = data_15m['UpperBand_15m'].iloc[i]
lb_1h = data_15m['LowerBand_1h'].iloc[i]
ub_1h = data_15m['UpperBand_1h'].iloc[i]
vol_ma = data_15m['VolumeMA_15m'].iloc[i-1] # Use previous period's MA
atr = atr_series.iloc[i]
vol_confirm = self._volume_confirmation_crypto(current_volume, vol_ma)
buy_signal, sell_signal = self._multi_timeframe_signal_crypto(
current_price, rsi_val, lb_15m, lb_1h, ub_15m, ub_1h
)
if buy_signal and vol_confirm:
buy_signals.iloc[i] = True
if not pd.isna(atr) and atr > 0:
stop_loss_levels.iloc[i] = current_price - 2 * atr
take_profit_levels.iloc[i] = current_price + 4 * atr
elif sell_signal and vol_confirm:
sell_signals.iloc[i] = True
if not pd.isna(atr) and atr > 0:
stop_loss_levels.iloc[i] = current_price + 2 * atr
take_profit_levels.iloc[i] = current_price - 4 * atr
data_15m['BuySignal'] = buy_signals
data_15m['SellSignal'] = sell_signals
data_15m['StopLoss'] = stop_loss_levels
data_15m['TakeProfit'] = take_profit_levels
return data_15m

336
cycles/Analysis/supertrend.py
View File

@@ -1,336 +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))
class Supertrends:
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

261
cycles/backtest.py
View File

@@ -1,88 +1,123 @@
import pandas as pd import pandas as pd
import numpy as np import numpy as np
import time
from cycles.supertrend import Supertrends
from cycles.market_fees import MarketFees from cycles.market_fees import MarketFees
class Backtest: class Backtest:
def __init__(self, initial_usd, df, min1_df, init_strategy_fields) -> None: @staticmethod
self.initial_usd = initial_usd def run(min1_df, df, initial_usd, stop_loss_pct, debug=False):
self.usd = initial_usd
self.max_balance = initial_usd
self.coin = 0
self.position = 0
self.entry_price = 0
self.entry_time = None
self.current_trade_min1_start_idx = None
self.current_min1_end_idx = None
self.price_open = None
self.price_close = None
self.current_date = None
self.strategies = {}
self.df = df
self.min1_df = min1_df
self.trade_log = []
self.drawdowns = []
self.trades = []
self = init_strategy_fields(self)
def run(self, entry_strategy, exit_strategy, debug=False):
""" """
Runs the backtest using provided entry and exit strategy functions. 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.
The method iterates over the main DataFrame (self.df), simulating trades based on the entry and exit strategies. It tracks balances, drawdowns, and logs each trade, including fees. At the end, it returns a dictionary of performance statistics.
Parameters: Parameters:
- entry_strategy: function, determines when to enter a trade. Should accept (self, i) and return True to enter. - min1_df: pandas DataFrame, 1-minute timeframe data for more accurate stop loss checking (optional)
- exit_strategy: function, determines when to exit a trade. Should accept (self, i) and return (exit_reason, sell_price) or (None, None) to hold. - initial_usd: float, starting USD amount
- debug: bool, whether to print debug info (default: False) - stop_loss_pct: float, stop loss as a fraction (e.g. 0.05 for 5%)
- debug: bool, whether to print debug info
Returns:
- dict with keys: initial_usd, final_usd, n_trades, win_rate, max_drawdown, avg_trade, trade_log, trades, total_fees_usd, and optionally first_trade and last_trade.
""" """
_df = df.copy().reset_index(drop=True)
_df['timestamp'] = pd.to_datetime(_df['timestamp'])
for i in range(1, len(self.df)): supertrends = Supertrends(_df, verbose=False)
self.price_open = self.df['open'].iloc[i]
self.price_close = self.df['close'].iloc[i]
self.current_date = self.df['timestamp'].iloc[i] supertrend_results_list = supertrends.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)
# Shift meta_trend by one to avoid lookahead bias
meta_trend_signal = np.roll(meta_trend, 1)
meta_trend_signal[0] = 0 # or np.nan, but 0 means 'no signal' for first bar
if self.position == 0: position = 0 # 0 = no position, 1 = long
if entry_strategy(self, i): entry_price = 0
self.handle_entry() usd = initial_usd
elif self.position == 1: coin = 0
exit_test_results, sell_price = exit_strategy(self, i) trade_log = []
max_balance = initial_usd
drawdowns = []
trades = []
entry_time = None
current_trade_min1_start_idx = None
if exit_test_results is not None: min1_df.index = pd.to_datetime(min1_df.index)
self.handle_exit(exit_test_results, sell_price) min1_timestamps = min1_df.index.values
last_print_time = time.time()
for i in range(1, len(_df)):
current_time = time.time()
if current_time - last_print_time >= 5:
progress = (i / len(_df)) * 100
print(f"\rProgress: {progress:.1f}%", end="", flush=True)
last_print_time = current_time
price_open = _df['open'].iloc[i]
price_close = _df['close'].iloc[i]
date = _df['timestamp'].iloc[i]
prev_mt = meta_trend_signal[i-1]
curr_mt = meta_trend_signal[i]
# Check stop loss if in position
if position == 1:
stop_loss_result = Backtest.check_stop_loss(
min1_df,
entry_time,
date,
entry_price,
stop_loss_pct,
coin,
usd,
debug,
current_trade_min1_start_idx
)
if stop_loss_result is not None:
trade_log_entry, current_trade_min1_start_idx, position, coin, entry_price = stop_loss_result
trade_log.append(trade_log_entry)
continue
# Update the start index for next check
current_trade_min1_start_idx = min1_df.index[min1_df.index <= date][-1]
# Entry: only if not in position and signal changes to 1
if position == 0 and prev_mt != 1 and curr_mt == 1:
entry_result = Backtest.handle_entry(usd, price_open, date)
coin, entry_price, entry_time, usd, position, trade_log_entry = entry_result
trade_log.append(trade_log_entry)
# Exit: only if in position and signal changes from 1 to -1
elif position == 1 and prev_mt == 1 and curr_mt == -1:
exit_result = Backtest.handle_exit(coin, price_open, entry_price, entry_time, date)
usd, coin, position, entry_price, trade_log_entry = exit_result
trade_log.append(trade_log_entry)
# Track drawdown # Track drawdown
balance = self.usd if self.position == 0 else self.coin * self.price_close 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 balance > self.max_balance: print("\rProgress: 100%\r\n", end="", flush=True)
self.max_balance = balance
drawdown = (self.max_balance - balance) / self.max_balance
self.drawdowns.append(drawdown)
# If still in position at end, sell at last close # If still in position at end, sell at last close
if self.position == 1: if position == 1:
self.handle_exit("EOD", None) exit_result = Backtest.handle_exit(coin, _df['close'].iloc[-1], entry_price, entry_time, _df['timestamp'].iloc[-1])
usd, coin, position, entry_price, trade_log_entry = exit_result
trade_log.append(trade_log_entry)
# Calculate statistics # Calculate statistics
final_balance = self.usd final_balance = usd
n_trades = len(self.trade_log) n_trades = len(trade_log)
wins = [1 for t in self.trade_log if t['exit'] is not None and t['exit'] > t['entry']] 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 win_rate = len(wins) / n_trades if n_trades > 0 else 0
max_drawdown = max(self.drawdowns) if self.drawdowns else 0 max_drawdown = max(drawdowns) if drawdowns else 0
avg_trade = np.mean([t['exit']/t['entry']-1 for t in self.trade_log if t['exit'] is not None]) if self.trade_log 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 = [] trades = []
total_fees_usd = 0.0 total_fees_usd = 0.0
for trade in trade_log:
for trade in self.trade_log:
if trade['exit'] is not None: if trade['exit'] is not None:
profit_pct = (trade['exit'] - trade['entry']) / trade['entry'] profit_pct = (trade['exit'] - trade['entry']) / trade['entry']
else: else:
@@ -93,73 +128,103 @@ class Backtest:
'entry': trade['entry'], 'entry': trade['entry'],
'exit': trade['exit'], 'exit': trade['exit'],
'profit_pct': profit_pct, 'profit_pct': profit_pct,
'type': trade['type'], 'type': trade.get('type', 'SELL'),
'fee_usd': trade['fee_usd'] 'fee_usd': trade.get('fee_usd')
}) })
fee_usd = trade.get('fee_usd') fee_usd = trade.get('fee_usd')
total_fees_usd += fee_usd total_fees_usd += fee_usd
results = { results = {
"initial_usd": self.initial_usd, "initial_usd": initial_usd,
"final_usd": final_balance, "final_usd": final_balance,
"n_trades": n_trades, "n_trades": n_trades,
"win_rate": win_rate, "win_rate": win_rate,
"max_drawdown": max_drawdown, "max_drawdown": max_drawdown,
"avg_trade": avg_trade, "avg_trade": avg_trade,
"trade_log": self.trade_log, "trade_log": trade_log,
"trades": trades, "trades": trades,
"total_fees_usd": total_fees_usd, "total_fees_usd": total_fees_usd,
} }
if n_trades > 0: if n_trades > 0:
results["first_trade"] = { results["first_trade"] = {
"entry_time": self.trade_log[0]['entry_time'], "entry_time": trade_log[0]['entry_time'],
"entry": self.trade_log[0]['entry'] "entry": trade_log[0]['entry']
} }
results["last_trade"] = { results["last_trade"] = {
"exit_time": self.trade_log[-1]['exit_time'], "exit_time": trade_log[-1]['exit_time'],
"exit": self.trade_log[-1]['exit'] "exit": trade_log[-1]['exit']
} }
return results return results
def handle_entry(self): @staticmethod
entry_fee = MarketFees.calculate_okx_taker_maker_fee(self.usd, is_maker=False) def check_stop_loss(min1_df, entry_time, date, entry_price, stop_loss_pct, coin, usd, debug, current_trade_min1_start_idx):
usd_after_fee = self.usd - entry_fee stop_price = entry_price * (1 - stop_loss_pct)
self.coin = usd_after_fee / self.price_open if current_trade_min1_start_idx is None:
self.entry_price = self.price_open current_trade_min1_start_idx = min1_df.index[min1_df.index >= entry_time][0]
self.entry_time = self.current_date current_min1_end_idx = min1_df.index[min1_df.index <= date][-1]
self.usd = 0
self.position = 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 = MarketFees.calculate_okx_taker_maker_fee(usd_gross, is_maker=False)
trade_log_entry = {
'type': 'STOP',
'entry': entry_price,
'exit': sell_price,
'entry_time': entry_time,
'exit_time': stop_candle.name,
'fee_usd': exit_fee
}
# After stop loss, reset position and entry
return trade_log_entry, None, 0, 0, 0
return None
@staticmethod
def handle_entry(usd, price_open, date):
entry_fee = MarketFees.calculate_okx_taker_maker_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
trade_log_entry = { trade_log_entry = {
'type': 'BUY', 'type': 'BUY',
'entry': self.entry_price, 'entry': entry_price,
'exit': None, 'exit': None,
'entry_time': self.entry_time, 'entry_time': entry_time,
'exit_time': None, 'exit_time': None,
'fee_usd': entry_fee 'fee_usd': entry_fee
} }
self.trade_log.append(trade_log_entry) return coin, entry_price, entry_time, usd, position, trade_log_entry
def handle_exit(self, exit_reason, sell_price): @staticmethod
btc_to_sell = self.coin def handle_exit(coin, price_open, entry_price, entry_time, date):
exit_price = sell_price if sell_price is not None else self.price_open btc_to_sell = coin
usd_gross = btc_to_sell * exit_price usd_gross = btc_to_sell * price_open
exit_fee = MarketFees.calculate_okx_taker_maker_fee(usd_gross, is_maker=False) exit_fee = MarketFees.calculate_okx_taker_maker_fee(usd_gross, is_maker=False)
usd = usd_gross - exit_fee
self.usd = usd_gross - exit_fee trade_log_entry = {
'type': 'SELL',
exit_log_entry = { 'entry': entry_price,
'type': exit_reason, 'exit': price_open,
'entry': self.entry_price, 'entry_time': entry_time,
'exit': exit_price, 'exit_time': date,
'entry_time': self.entry_time,
'exit_time': self.current_date,
'fee_usd': exit_fee 'fee_usd': exit_fee
} }
self.coin = 0 coin = 0
self.position = 0 position = 0
self.entry_price = 0 entry_price = 0
return usd, coin, position, entry_price, trade_log_entry
self.trade_log.append(exit_log_entry)

517
cycles/charts.py
View File

@@ -1,453 +1,86 @@
import os import os
import matplotlib.pyplot as plt import matplotlib.pyplot as plt
import seaborn as sns
import pandas as pd
import numpy as np
class BacktestCharts: class BacktestCharts:
@staticmethod def __init__(self, charts_dir="charts"):
def plot(df, meta_trend): self.charts_dir = charts_dir
os.makedirs(self.charts_dir, exist_ok=True)
def plot_profit_ratio_vs_stop_loss(self, results, filename="profit_ratio_vs_stop_loss.png"):
""" """
Plot close price line chart with a bar at the bottom: green when trend is 1, red when trend is 0. Plots profit ratio vs stop loss percentage for each timeframe.
The bar stays at the bottom even when zooming/panning.
- df: DataFrame with columns ['close', ...] and a datetime index or 'timestamp' column. Parameters:
- meta_trend: array-like, same length as df, values 1 (green) or 0 (red). - results: list of dicts, each with keys: 'timeframe', 'stop_loss_pct', 'profit_ratio'
- filename: output filename (will be saved in charts_dir)
""" """
fig, (ax_price, ax_bar) = plt.subplots( # Organize data by timeframe
nrows=2, ncols=1, figsize=(16, 8), sharex=True, from collections import defaultdict
gridspec_kw={'height_ratios': [12, 1]} data = defaultdict(lambda: {"stop_loss_pct": [], "profit_ratio": []})
) for row in results:
tf = row["timeframe"]
sns.lineplot(x=df.index, y=df['close'], label='Close Price', color='blue', ax=ax_price) data[tf]["stop_loss_pct"].append(row["stop_loss_pct"])
ax_price.set_title('Close Price with Trend Bar (Green=1, Red=0)') data[tf]["profit_ratio"].append(row["profit_ratio"])
ax_price.set_ylabel('Price')
ax_price.grid(True, alpha=0.3) plt.figure(figsize=(10, 6))
ax_price.legend() for tf, vals in data.items():
# Sort by stop_loss_pct for smooth lines
# Clean meta_trend: ensure only 0/1, handle NaNs by forward-fill then fill remaining with 0 sorted_pairs = sorted(zip(vals["stop_loss_pct"], vals["profit_ratio"]))
meta_trend_arr = np.asarray(meta_trend) stop_loss, profit_ratio = zip(*sorted_pairs)
if not np.issubdtype(meta_trend_arr.dtype, np.number): plt.plot(
meta_trend_arr = pd.Series(meta_trend_arr).astype(float).to_numpy() [s * 100 for s in stop_loss], # Convert to percent
if np.isnan(meta_trend_arr).any(): profit_ratio,
meta_trend_arr = pd.Series(meta_trend_arr).fillna(method='ffill').fillna(0).astype(int).to_numpy() marker="o",
else: label=tf
meta_trend_arr = meta_trend_arr.astype(int) )
meta_trend_arr = np.where(meta_trend_arr != 1, 0, 1) # force only 0 or 1
if hasattr(df.index, 'to_numpy'): plt.xlabel("Stop Loss (%)")
x_vals = df.index.to_numpy() plt.ylabel("Profit Ratio")
else: plt.title("Profit Ratio vs Stop Loss (%) per Timeframe")
x_vals = np.array(df.index) plt.legend(title="Timeframe")
plt.grid(True, linestyle="--", alpha=0.5)
# Find contiguous regions
regions = []
start = 0
for i in range(1, len(meta_trend_arr)):
if meta_trend_arr[i] != meta_trend_arr[i-1]:
regions.append((start, i-1, meta_trend_arr[i-1]))
start = i
regions.append((start, len(meta_trend_arr)-1, meta_trend_arr[-1]))
# Draw red vertical lines at the start of each new region (except the first)
for region_idx in range(1, len(regions)):
region_start = regions[region_idx][0]
ax_price.axvline(x=x_vals[region_start], color='black', linestyle='--', alpha=0.7, linewidth=1)
for start, end, trend in regions:
color = '#089981' if trend == 1 else '#F23645'
# Offset by 1 on x: span from x_vals[start] to x_vals[end+1] if possible
x_start = x_vals[start]
x_end = x_vals[end+1] if end+1 < len(x_vals) else x_vals[end]
ax_bar.axvspan(x_start, x_end, color=color, alpha=1, ymin=0, ymax=1)
ax_bar.set_ylim(0, 1)
ax_bar.set_yticks([])
ax_bar.set_ylabel('Trend')
ax_bar.set_xlabel('Time')
ax_bar.grid(False)
ax_bar.set_title('Meta Trend')
plt.tight_layout(h_pad=0.1)
plt.show()
@staticmethod
def format_strategy_data_with_trades(strategy_data, backtest_results):
"""
Format strategy data for universal plotting with actual executed trades.
Converts strategy output into the expected column format: "x_type_name"
Args:
strategy_data (DataFrame): Output from strategy with columns like 'close', 'UpperBand', 'LowerBand', 'RSI'
backtest_results (dict): Results from backtest.run() containing actual executed trades
Returns:
DataFrame: Formatted data ready for plot_data function
"""
formatted_df = pd.DataFrame(index=strategy_data.index)
# Plot 1: Price data with Bollinger Bands and actual trade signals
if 'close' in strategy_data.columns:
formatted_df['1_line_close'] = strategy_data['close']
# Bollinger Bands area (prefer standard names, fallback to timeframe-specific)
upper_band_col = None
lower_band_col = None
sma_col = None
# Check for standard BB columns first
if 'UpperBand' in strategy_data.columns and 'LowerBand' in strategy_data.columns:
upper_band_col = 'UpperBand'
lower_band_col = 'LowerBand'
# Check for 15m BB columns
elif 'UpperBand_15m' in strategy_data.columns and 'LowerBand_15m' in strategy_data.columns:
upper_band_col = 'UpperBand_15m'
lower_band_col = 'LowerBand_15m'
if upper_band_col and lower_band_col:
formatted_df['1_area_bb_upper'] = strategy_data[upper_band_col]
formatted_df['1_area_bb_lower'] = strategy_data[lower_band_col]
# SMA/Moving Average line
if 'SMA' in strategy_data.columns:
sma_col = 'SMA'
elif 'SMA_15m' in strategy_data.columns:
sma_col = 'SMA_15m'
if sma_col:
formatted_df['1_line_sma'] = strategy_data[sma_col]
# Strategy buy/sell signals (all signals from strategy) as smaller scatter points
if 'BuySignal' in strategy_data.columns and 'close' in strategy_data.columns:
strategy_buy_points = strategy_data['close'].where(strategy_data['BuySignal'], np.nan)
formatted_df['1_scatter_strategy_buy'] = strategy_buy_points
if 'SellSignal' in strategy_data.columns and 'close' in strategy_data.columns:
strategy_sell_points = strategy_data['close'].where(strategy_data['SellSignal'], np.nan)
formatted_df['1_scatter_strategy_sell'] = strategy_sell_points
# Actual executed trades from backtest results (larger, more prominent)
if 'trades' in backtest_results and backtest_results['trades']:
# Create series for buy and sell points
buy_points = pd.Series(np.nan, index=strategy_data.index)
sell_points = pd.Series(np.nan, index=strategy_data.index)
for trade in backtest_results['trades']:
entry_time = trade.get('entry_time')
exit_time = trade.get('exit_time')
entry_price = trade.get('entry')
exit_price = trade.get('exit')
# Find closest index for entry time
if entry_time is not None and entry_price is not None:
try:
if isinstance(entry_time, str):
entry_time = pd.to_datetime(entry_time)
# Find the closest index to entry_time
closest_entry_idx = strategy_data.index.get_indexer([entry_time], method='nearest')[0]
if closest_entry_idx >= 0:
buy_points.iloc[closest_entry_idx] = entry_price
except (ValueError, IndexError, TypeError):
pass # Skip if can't find matching time
# Find closest index for exit time
if exit_time is not None and exit_price is not None:
try:
if isinstance(exit_time, str):
exit_time = pd.to_datetime(exit_time)
# Find the closest index to exit_time
closest_exit_idx = strategy_data.index.get_indexer([exit_time], method='nearest')[0]
if closest_exit_idx >= 0:
sell_points.iloc[closest_exit_idx] = exit_price
except (ValueError, IndexError, TypeError):
pass # Skip if can't find matching time
formatted_df['1_scatter_actual_buy'] = buy_points
formatted_df['1_scatter_actual_sell'] = sell_points
# Stop Loss and Take Profit levels
if 'StopLoss' in strategy_data.columns:
formatted_df['1_line_stop_loss'] = strategy_data['StopLoss']
if 'TakeProfit' in strategy_data.columns:
formatted_df['1_line_take_profit'] = strategy_data['TakeProfit']
# Plot 2: RSI
rsi_col = None
if 'RSI' in strategy_data.columns:
rsi_col = 'RSI'
elif 'RSI_15m' in strategy_data.columns:
rsi_col = 'RSI_15m'
if rsi_col:
formatted_df['2_line_rsi'] = strategy_data[rsi_col]
# Add RSI overbought/oversold levels
formatted_df['2_line_rsi_overbought'] = 70
formatted_df['2_line_rsi_oversold'] = 30
# Plot 3: Volume (if available)
if 'volume' in strategy_data.columns:
formatted_df['3_bar_volume'] = strategy_data['volume']
# Add volume moving average if available
if 'VolumeMA_15m' in strategy_data.columns:
formatted_df['3_line_volume_ma'] = strategy_data['VolumeMA_15m']
return formatted_df
@staticmethod
def format_strategy_data(strategy_data):
"""
Format strategy data for universal plotting (without trade signals).
Converts strategy output into the expected column format: "x_type_name"
Args:
strategy_data (DataFrame): Output from strategy with columns like 'close', 'UpperBand', 'LowerBand', 'RSI'
Returns:
DataFrame: Formatted data ready for plot_data function
"""
formatted_df = pd.DataFrame(index=strategy_data.index)
# Plot 1: Price data with Bollinger Bands
if 'close' in strategy_data.columns:
formatted_df['1_line_close'] = strategy_data['close']
# Bollinger Bands area (prefer standard names, fallback to timeframe-specific)
upper_band_col = None
lower_band_col = None
sma_col = None
# Check for standard BB columns first
if 'UpperBand' in strategy_data.columns and 'LowerBand' in strategy_data.columns:
upper_band_col = 'UpperBand'
lower_band_col = 'LowerBand'
# Check for 15m BB columns
elif 'UpperBand_15m' in strategy_data.columns and 'LowerBand_15m' in strategy_data.columns:
upper_band_col = 'UpperBand_15m'
lower_band_col = 'LowerBand_15m'
if upper_band_col and lower_band_col:
formatted_df['1_area_bb_upper'] = strategy_data[upper_band_col]
formatted_df['1_area_bb_lower'] = strategy_data[lower_band_col]
# SMA/Moving Average line
if 'SMA' in strategy_data.columns:
sma_col = 'SMA'
elif 'SMA_15m' in strategy_data.columns:
sma_col = 'SMA_15m'
if sma_col:
formatted_df['1_line_sma'] = strategy_data[sma_col]
# Stop Loss and Take Profit levels
if 'StopLoss' in strategy_data.columns:
formatted_df['1_line_stop_loss'] = strategy_data['StopLoss']
if 'TakeProfit' in strategy_data.columns:
formatted_df['1_line_take_profit'] = strategy_data['TakeProfit']
# Plot 2: RSI
rsi_col = None
if 'RSI' in strategy_data.columns:
rsi_col = 'RSI'
elif 'RSI_15m' in strategy_data.columns:
rsi_col = 'RSI_15m'
if rsi_col:
formatted_df['2_line_rsi'] = strategy_data[rsi_col]
# Add RSI overbought/oversold levels
formatted_df['2_line_rsi_overbought'] = 70
formatted_df['2_line_rsi_oversold'] = 30
# Plot 3: Volume (if available)
if 'volume' in strategy_data.columns:
formatted_df['3_bar_volume'] = strategy_data['volume']
# Add volume moving average if available
if 'VolumeMA_15m' in strategy_data.columns:
formatted_df['3_line_volume_ma'] = strategy_data['VolumeMA_15m']
return formatted_df
@staticmethod
def plot_data(df):
"""
Universal plot function for any formatted data.
- df: DataFrame with column names in format "x_type_name" where:
x = plot number (subplot)
type = plot type (line, area, scatter, bar, etc.)
name = descriptive name for the data series
"""
if df.empty:
print("No data to plot")
return
# Parse all columns
plot_info = []
for column in df.columns:
parts = column.split('_', 2) # Split into max 3 parts
if len(parts) < 3:
print(f"Warning: Skipping column '{column}' - invalid format. Expected 'x_type_name'")
continue
try:
plot_number = int(parts[0])
plot_type = parts[1].lower()
plot_name = parts[2]
plot_info.append((plot_number, plot_type, plot_name, column))
except ValueError:
print(f"Warning: Skipping column '{column}' - invalid plot number")
continue
if not plot_info:
print("No valid columns found for plotting")
return
# Group by plot number
plots = {}
for plot_num, plot_type, plot_name, column in plot_info:
if plot_num not in plots:
plots[plot_num] = []
plots[plot_num].append((plot_type, plot_name, column))
# Sort plot numbers
plot_numbers = sorted(plots.keys())
n_plots = len(plot_numbers)
# Create subplots
fig, axs = plt.subplots(n_plots, 1, figsize=(16, 6 * n_plots), sharex=True)
if n_plots == 1:
axs = [axs] # Ensure axs is always a list
# Plot each subplot
for i, plot_num in enumerate(plot_numbers):
ax = axs[i]
plot_items = plots[plot_num]
# Handle Bollinger Bands area first (needs special handling)
bb_upper = None
bb_lower = None
for plot_type, plot_name, column in plot_items:
if plot_type == 'area' and 'bb_upper' in plot_name:
bb_upper = df[column]
elif plot_type == 'area' and 'bb_lower' in plot_name:
bb_lower = df[column]
# Plot Bollinger Bands area if both bounds exist
if bb_upper is not None and bb_lower is not None:
ax.fill_between(df.index, bb_upper, bb_lower, alpha=0.2, color='gray', label='Bollinger Bands')
# Plot other items
for plot_type, plot_name, column in plot_items:
if plot_type == 'area' and ('bb_upper' in plot_name or 'bb_lower' in plot_name):
continue # Already handled above
data = df[column].dropna() # Remove NaN values for cleaner plots
if plot_type == 'line':
color = None
linestyle = '-'
alpha = 1.0
# Special styling for different line types
if 'overbought' in plot_name:
color = 'red'
linestyle = '--'
alpha = 0.7
elif 'oversold' in plot_name:
color = 'green'
linestyle = '--'
alpha = 0.7
elif 'stop_loss' in plot_name:
color = 'red'
linestyle = ':'
alpha = 0.8
elif 'take_profit' in plot_name:
color = 'green'
linestyle = ':'
alpha = 0.8
elif 'sma' in plot_name:
color = 'orange'
alpha = 0.8
elif 'volume_ma' in plot_name:
color = 'purple'
alpha = 0.7
ax.plot(data.index, data, label=plot_name.replace('_', ' ').title(),
color=color, linestyle=linestyle, alpha=alpha)
elif plot_type == 'scatter':
color = 'green' if 'buy' in plot_name else 'red' if 'sell' in plot_name else 'blue'
marker = '^' if 'buy' in plot_name else 'v' if 'sell' in plot_name else 'o'
size = 100 if 'buy' in plot_name or 'sell' in plot_name else 50
alpha = 0.8
zorder = 5
label_name = plot_name.replace('_', ' ').title()
# Special styling for different signal types
if 'actual_buy' in plot_name:
color = 'darkgreen'
marker = '^'
size = 120
alpha = 1.0
zorder = 10 # Higher z-order to appear on top
label_name = 'Actual Buy Trades'
elif 'actual_sell' in plot_name:
color = 'darkred'
marker = 'v'
size = 120
alpha = 1.0
zorder = 10 # Higher z-order to appear on top
label_name = 'Actual Sell Trades'
elif 'strategy_buy' in plot_name:
color = 'lightgreen'
marker = '^'
size = 60
alpha = 0.6
zorder = 3 # Lower z-order to appear behind actual trades
label_name = 'Strategy Buy Signals'
elif 'strategy_sell' in plot_name:
color = 'lightcoral'
marker = 'v'
size = 60
alpha = 0.6
zorder = 3 # Lower z-order to appear behind actual trades
label_name = 'Strategy Sell Signals'
ax.scatter(data.index, data, label=label_name,
color=color, marker=marker, s=size, alpha=alpha, zorder=zorder)
elif plot_type == 'area':
ax.fill_between(data.index, data, alpha=0.5, label=plot_name.replace('_', ' ').title())
elif plot_type == 'bar':
ax.bar(data.index, data, alpha=0.7, label=plot_name.replace('_', ' ').title())
else:
print(f"Warning: Plot type '{plot_type}' not supported for column '{column}'")
# Customize subplot
ax.grid(True, alpha=0.3)
ax.legend()
# Set titles and labels
if plot_num == 1:
ax.set_title('Price Chart with Bollinger Bands and Signals')
ax.set_ylabel('Price')
elif plot_num == 2:
ax.set_title('RSI Indicator')
ax.set_ylabel('RSI')
ax.set_ylim(0, 100)
elif plot_num == 3:
ax.set_title('Volume')
ax.set_ylabel('Volume')
else:
ax.set_title(f'Plot {plot_num}')
# Set x-axis label only on the bottom subplot
axs[-1].set_xlabel('Time')
plt.tight_layout() plt.tight_layout()
plt.show()
output_path = os.path.join(self.charts_dir, filename)
plt.savefig(output_path)
plt.close()
def plot_average_trade_vs_stop_loss(self, results, filename="average_trade_vs_stop_loss.png"):
"""
Plots average trade vs stop loss percentage for each timeframe.
Parameters:
- results: list of dicts, each with keys: 'timeframe', 'stop_loss_pct', 'average_trade'
- filename: output filename (will be saved in charts_dir)
"""
from collections import defaultdict
data = defaultdict(lambda: {"stop_loss_pct": [], "average_trade": []})
for row in results:
tf = row["timeframe"]
if "average_trade" not in row:
continue # Skip rows without average_trade
data[tf]["stop_loss_pct"].append(row["stop_loss_pct"])
data[tf]["average_trade"].append(row["average_trade"])
plt.figure(figsize=(10, 6))
for tf, vals in data.items():
# Sort by stop_loss_pct for smooth lines
sorted_pairs = sorted(zip(vals["stop_loss_pct"], vals["average_trade"]))
stop_loss, average_trade = zip(*sorted_pairs)
plt.plot(
[s * 100 for s in stop_loss], # Convert to percent
average_trade,
marker="o",
label=tf
)
plt.xlabel("Stop Loss (%)")
plt.ylabel("Average Trade")
plt.title("Average Trade vs Stop Loss (%) per Timeframe")
plt.legend(title="Timeframe")
plt.grid(True, linestyle="--", alpha=0.5)
plt.tight_layout()
output_path = os.path.join(self.charts_dir, filename)
plt.savefig(output_path)
plt.close()

2
cycles/market_fees.py
View File

@@ -2,6 +2,6 @@ import pandas as pd
class MarketFees: class MarketFees:
@staticmethod @staticmethod
def calculate_okx_taker_maker_fee(amount, is_maker=True) -> float: def calculate_okx_taker_maker_fee(amount, is_maker=True):
fee_rate = 0.0008 if is_maker else 0.0010 fee_rate = 0.0008 if is_maker else 0.0010
return amount * fee_rate return amount * fee_rate

40
cycles/strategies/__init__.py
View File

@@ -1,40 +0,0 @@
"""
Strategies Module
This module contains the strategy management system for trading strategies.
It provides a flexible framework for implementing, combining, and managing multiple trading strategies.
Components:
- StrategyBase: Abstract base class for all strategies
- DefaultStrategy: Meta-trend based strategy
- BBRSStrategy: Bollinger Bands + RSI strategy
- StrategyManager: Orchestrates multiple strategies
- StrategySignal: Represents trading signals with confidence levels
Usage:
from cycles.strategies import StrategyManager, create_strategy_manager
# Create strategy manager from config
strategy_manager = create_strategy_manager(config)
# Or create individual strategies
from cycles.strategies import DefaultStrategy, BBRSStrategy
default_strategy = DefaultStrategy(weight=1.0, params={})
"""
from .base import StrategyBase, StrategySignal
from .default_strategy import DefaultStrategy
from .bbrs_strategy import BBRSStrategy
from .manager import StrategyManager, create_strategy_manager
__all__ = [
'StrategyBase',
'StrategySignal',
'DefaultStrategy',
'BBRSStrategy',
'StrategyManager',
'create_strategy_manager'
]
__version__ = '1.0.0'
__author__ = 'TCP Cycles Team'

250
cycles/strategies/base.py
View File

@@ -1,250 +0,0 @@
"""
Base classes for the strategy management system.
This module contains the fundamental building blocks for all trading strategies:
- StrategySignal: Represents trading signals with confidence and metadata
- StrategyBase: Abstract base class that all strategies must inherit from
"""
import pandas as pd
from abc import ABC, abstractmethod
from typing import Dict, Optional, List, Union
class StrategySignal:
"""
Represents a trading signal from a strategy.
A signal encapsulates the strategy's recommendation along with confidence
level, optional price target, and additional metadata.
Attributes:
signal_type (str): Type of signal - "ENTRY", "EXIT", or "HOLD"
confidence (float): Confidence level from 0.0 to 1.0
price (Optional[float]): Optional specific price for the signal
metadata (Dict): Additional signal data and context
Example:
# Entry signal with high confidence
signal = StrategySignal("ENTRY", confidence=0.8)
# Exit signal with stop loss price
signal = StrategySignal("EXIT", confidence=1.0, price=50000,
metadata={"type": "STOP_LOSS"})
"""
def __init__(self, signal_type: str, confidence: float = 1.0,
price: Optional[float] = None, metadata: Optional[Dict] = None):
"""
Initialize a strategy signal.
Args:
signal_type: Type of signal ("ENTRY", "EXIT", "HOLD")
confidence: Confidence level (0.0 to 1.0)
price: Optional specific price for the signal
metadata: Additional signal data and context
"""
self.signal_type = signal_type
self.confidence = max(0.0, min(1.0, confidence)) # Clamp to [0,1]
self.price = price
self.metadata = metadata or {}
def __repr__(self) -> str:
"""String representation of the signal."""
return (f"StrategySignal(type={self.signal_type}, "
f"confidence={self.confidence:.2f}, "
f"price={self.price}, metadata={self.metadata})")
class StrategyBase(ABC):
"""
Abstract base class for all trading strategies.
This class defines the interface that all strategies must implement:
- get_timeframes(): Specify required timeframes for the strategy
- initialize(): Setup strategy with backtester data
- get_entry_signal(): Generate entry signals
- get_exit_signal(): Generate exit signals
- get_confidence(): Optional confidence calculation
Attributes:
name (str): Strategy name
weight (float): Strategy weight for combination
params (Dict): Strategy parameters
initialized (bool): Whether strategy has been initialized
timeframes_data (Dict): Resampled data for different timeframes
Example:
class MyStrategy(StrategyBase):
def get_timeframes(self):
return ["15min"] # This strategy works on 15-minute data
def initialize(self, backtester):
# Setup strategy indicators using self.timeframes_data["15min"]
self.initialized = True
def get_entry_signal(self, backtester, df_index):
# Return StrategySignal based on analysis
if should_enter:
return StrategySignal("ENTRY", confidence=0.7)
return StrategySignal("HOLD", confidence=0.0)
"""
def __init__(self, name: str, weight: float = 1.0, params: Optional[Dict] = None):
"""
Initialize the strategy base.
Args:
name: Strategy name/identifier
weight: Strategy weight for combination (default: 1.0)
params: Strategy-specific parameters
"""
self.name = name
self.weight = weight
self.params = params or {}
self.initialized = False
self.timeframes_data = {} # Will store resampled data for each timeframe
def get_timeframes(self) -> List[str]:
"""
Get the list of timeframes required by this strategy.
Override this method to specify which timeframes your strategy needs.
The base class will automatically resample the 1-minute data to these timeframes
and make them available in self.timeframes_data.
Returns:
List[str]: List of timeframe strings (e.g., ["1min", "15min", "1h"])
Example:
def get_timeframes(self):
return ["15min"] # Strategy needs 15-minute data
def get_timeframes(self):
return ["5min", "15min", "1h"] # Multi-timeframe strategy
"""
return ["1min"] # Default to 1-minute data
def _resample_data(self, original_data: pd.DataFrame) -> None:
"""
Resample the original 1-minute data to all required timeframes.
This method is called automatically during initialization to create
resampled versions of the data for each timeframe the strategy needs.
Args:
original_data: Original 1-minute OHLCV data with DatetimeIndex
"""
self.timeframes_data = {}
for timeframe in self.get_timeframes():
if timeframe == "1min":
# For 1-minute data, just use the original
self.timeframes_data[timeframe] = original_data.copy()
else:
# Resample to the specified timeframe
resampled = original_data.resample(timeframe).agg({
'open': 'first',
'high': 'max',
'low': 'min',
'close': 'last',
'volume': 'sum'
}).dropna()
self.timeframes_data[timeframe] = resampled
def get_data_for_timeframe(self, timeframe: str) -> Optional[pd.DataFrame]:
"""
Get resampled data for a specific timeframe.
Args:
timeframe: Timeframe string (e.g., "15min", "1h")
Returns:
pd.DataFrame: Resampled OHLCV data or None if timeframe not available
"""
return self.timeframes_data.get(timeframe)
def get_primary_timeframe_data(self) -> pd.DataFrame:
"""
Get data for the primary (first) timeframe.
Returns:
pd.DataFrame: Data for the first timeframe in get_timeframes() list
"""
primary_timeframe = self.get_timeframes()[0]
return self.timeframes_data[primary_timeframe]
@abstractmethod
def initialize(self, backtester) -> None:
"""
Initialize strategy with backtester data.
This method is called once before backtesting begins.
The original 1-minute data will already be resampled to all required timeframes
and available in self.timeframes_data.
Strategies should setup indicators, validate data, and
set self.initialized = True when complete.
Args:
backtester: Backtest instance with data and configuration
"""
pass
@abstractmethod
def get_entry_signal(self, backtester, df_index: int) -> StrategySignal:
"""
Generate entry signal for the given data index.
The df_index refers to the index in the backtester's working dataframe,
which corresponds to the primary timeframe data.
Args:
backtester: Backtest instance with current state
df_index: Current index in the primary timeframe dataframe
Returns:
StrategySignal: Entry signal with confidence level
"""
pass
@abstractmethod
def get_exit_signal(self, backtester, df_index: int) -> StrategySignal:
"""
Generate exit signal for the given data index.
The df_index refers to the index in the backtester's working dataframe,
which corresponds to the primary timeframe data.
Args:
backtester: Backtest instance with current state
df_index: Current index in the primary timeframe dataframe
Returns:
StrategySignal: Exit signal with confidence level
"""
pass
def get_confidence(self, backtester, df_index: int) -> float:
"""
Get strategy confidence for the current market state.
Default implementation returns 1.0. Strategies can override
this to provide dynamic confidence based on market conditions.
Args:
backtester: Backtest instance with current state
df_index: Current index in the primary timeframe dataframe
Returns:
float: Confidence level (0.0 to 1.0)
"""
return 1.0
def __repr__(self) -> str:
"""String representation of the strategy."""
timeframes = self.get_timeframes()
return (f"{self.__class__.__name__}(name={self.name}, "
f"weight={self.weight}, timeframes={timeframes}, "
f"initialized={self.initialized})")

344
cycles/strategies/bbrs_strategy.py
View File

@@ -1,344 +0,0 @@
"""
Bollinger Bands + RSI Strategy (BBRS)
This module implements a sophisticated trading strategy that combines Bollinger Bands
and RSI indicators with market regime detection. The strategy adapts its parameters
based on whether the market is trending or moving sideways.
Key Features:
- Dynamic parameter adjustment based on market regime
- Bollinger Band squeeze detection
- RSI overbought/oversold conditions
- Market regime-specific thresholds
- Multi-timeframe analysis support
"""
import pandas as pd
import numpy as np
import logging
from typing import Tuple, Optional, List
from .base import StrategyBase, StrategySignal
class BBRSStrategy(StrategyBase):
"""
Bollinger Bands + RSI Strategy implementation.
This strategy uses Bollinger Bands and RSI indicators with market regime detection
to generate trading signals. It adapts its parameters based on whether the market
is in a trending or sideways regime.
The strategy works with 1-minute data as input and lets the underlying Strategy class
handle internal resampling to the timeframes it needs (typically 15min and 1h).
Stop-loss execution uses 1-minute precision.
Parameters:
bb_width (float): Bollinger Band width threshold (default: 0.05)
bb_period (int): Bollinger Band period (default: 20)
rsi_period (int): RSI calculation period (default: 14)
trending_rsi_threshold (list): RSI thresholds for trending market [low, high]
trending_bb_multiplier (float): BB multiplier for trending market
sideways_rsi_threshold (list): RSI thresholds for sideways market [low, high]
sideways_bb_multiplier (float): BB multiplier for sideways market
strategy_name (str): Strategy implementation name ("MarketRegimeStrategy" or "CryptoTradingStrategy")
SqueezeStrategy (bool): Enable squeeze strategy
stop_loss_pct (float): Stop loss percentage (default: 0.05)
Example:
params = {
"bb_width": 0.05,
"bb_period": 20,
"rsi_period": 14,
"strategy_name": "MarketRegimeStrategy",
"SqueezeStrategy": true
}
strategy = BBRSStrategy(weight=1.0, params=params)
"""
def __init__(self, weight: float = 1.0, params: Optional[dict] = None):
"""
Initialize the BBRS strategy.
Args:
weight: Strategy weight for combination (default: 1.0)
params: Strategy parameters for Bollinger Bands and RSI
"""
super().__init__("bbrs", weight, params)
def get_timeframes(self) -> List[str]:
"""
Get the timeframes required by the BBRS strategy.
BBRS strategy uses 1-minute data as input and lets the Strategy class
handle internal resampling to the timeframes it needs (15min, 1h, etc.).
We still include 1min for stop-loss precision.
Returns:
List[str]: List of timeframes needed for the strategy
"""
# BBRS strategy works with 1-minute data and lets Strategy class handle resampling
return ["1min"]
def initialize(self, backtester) -> None:
"""
Initialize BBRS strategy with signal processing.
Sets up the strategy by:
1. Using 1-minute data directly (Strategy class handles internal resampling)
2. Running the BBRS strategy processing on 1-minute data
3. Creating signals aligned with backtester expectations
Args:
backtester: Backtest instance with OHLCV data
"""
# Resample to get 1-minute data (which should be the original data)
self._resample_data(backtester.original_df)
# Get 1-minute data for strategy processing - Strategy class will handle internal resampling
min1_data = self.get_data_for_timeframe("1min")
# Initialize empty signal series for backtester compatibility
# Note: These will be populated after strategy processing
backtester.strategies["buy_signals"] = pd.Series(False, index=range(len(min1_data)))
backtester.strategies["sell_signals"] = pd.Series(False, index=range(len(min1_data)))
backtester.strategies["stop_loss_pct"] = self.params.get("stop_loss_pct", 0.05)
backtester.strategies["primary_timeframe"] = "1min"
# Run strategy processing on 1-minute data
self._run_strategy_processing(backtester)
self.initialized = True
def _run_strategy_processing(self, backtester) -> None:
"""
Run the actual BBRS strategy processing.
Uses the Strategy class from cycles.Analysis.strategies to process
the 1-minute data. The Strategy class will handle internal resampling
to the timeframes it needs (15min, 1h, etc.) and generate buy/sell signals.
Args:
backtester: Backtest instance with timeframes_data available
"""
from cycles.Analysis.strategies import Strategy
# Get 1-minute data for strategy processing - let Strategy class handle resampling
strategy_data = self.get_data_for_timeframe("1min")
# Configure strategy parameters with defaults
config_strategy = {
"bb_width": self.params.get("bb_width", 0.05),
"bb_period": self.params.get("bb_period", 20),
"rsi_period": self.params.get("rsi_period", 14),
"trending": {
"rsi_threshold": self.params.get("trending_rsi_threshold", [30, 70]),
"bb_std_dev_multiplier": self.params.get("trending_bb_multiplier", 2.5),
},
"sideways": {
"rsi_threshold": self.params.get("sideways_rsi_threshold", [40, 60]),
"bb_std_dev_multiplier": self.params.get("sideways_bb_multiplier", 1.8),
},
"strategy_name": self.params.get("strategy_name", "MarketRegimeStrategy"),
"SqueezeStrategy": self.params.get("SqueezeStrategy", True)
}
# Run strategy processing on 1-minute data - Strategy class handles internal resampling
strategy = Strategy(config=config_strategy, logging=logging)
processed_data = strategy.run(strategy_data, config_strategy["strategy_name"])
# Store processed data for plotting and analysis
backtester.processed_data = processed_data
if processed_data.empty:
# If strategy processing failed, keep empty signals
return
# Extract signals from processed data
buy_signals_raw = processed_data.get('BuySignal', pd.Series(False, index=processed_data.index)).astype(bool)
sell_signals_raw = processed_data.get('SellSignal', pd.Series(False, index=processed_data.index)).astype(bool)
# The processed_data will be on whatever timeframe the Strategy class outputs
# We need to map these signals back to 1-minute resolution for backtesting
original_1min_data = self.get_data_for_timeframe("1min")
# Reindex signals to 1-minute resolution using forward-fill
buy_signals_1min = buy_signals_raw.reindex(original_1min_data.index, method='ffill').fillna(False)
sell_signals_1min = sell_signals_raw.reindex(original_1min_data.index, method='ffill').fillna(False)
# Convert to integer index to match backtester expectations
backtester.strategies["buy_signals"] = pd.Series(buy_signals_1min.values, index=range(len(buy_signals_1min)))
backtester.strategies["sell_signals"] = pd.Series(sell_signals_1min.values, index=range(len(sell_signals_1min)))
def get_entry_signal(self, backtester, df_index: int) -> StrategySignal:
"""
Generate entry signal based on BBRS buy signals.
Entry occurs when the BBRS strategy processing has generated
a buy signal based on Bollinger Bands and RSI conditions on
the primary timeframe.
Args:
backtester: Backtest instance with current state
df_index: Current index in the primary timeframe dataframe
Returns:
StrategySignal: Entry signal if buy condition met, hold otherwise
"""
if not self.initialized:
return StrategySignal("HOLD", confidence=0.0)
if df_index >= len(backtester.strategies["buy_signals"]):
return StrategySignal("HOLD", confidence=0.0)
if backtester.strategies["buy_signals"].iloc[df_index]:
# High confidence for BBRS buy signals
confidence = self._calculate_signal_confidence(backtester, df_index, "entry")
return StrategySignal("ENTRY", confidence=confidence)
return StrategySignal("HOLD", confidence=0.0)
def get_exit_signal(self, backtester, df_index: int) -> StrategySignal:
"""
Generate exit signal based on BBRS sell signals or stop loss.
Exit occurs when:
1. BBRS strategy generates a sell signal
2. Stop loss is triggered based on price movement
Args:
backtester: Backtest instance with current state
df_index: Current index in the primary timeframe dataframe
Returns:
StrategySignal: Exit signal with type and price, or hold signal
"""
if not self.initialized:
return StrategySignal("HOLD", confidence=0.0)
if df_index >= len(backtester.strategies["sell_signals"]):
return StrategySignal("HOLD", confidence=0.0)
# Check for sell signal
if backtester.strategies["sell_signals"].iloc[df_index]:
confidence = self._calculate_signal_confidence(backtester, df_index, "exit")
return StrategySignal("EXIT", confidence=confidence,
metadata={"type": "SELL_SIGNAL"})
# Check for stop loss using 1-minute data for precision
stop_loss_result, sell_price = self._check_stop_loss(backtester)
if stop_loss_result:
return StrategySignal("EXIT", confidence=1.0, price=sell_price,
metadata={"type": "STOP_LOSS"})
return StrategySignal("HOLD", confidence=0.0)
def get_confidence(self, backtester, df_index: int) -> float:
"""
Get strategy confidence based on signal strength and market conditions.
Confidence can be enhanced by analyzing multiple timeframes and
market regime consistency.
Args:
backtester: Backtest instance with current state
df_index: Current index in the primary timeframe dataframe
Returns:
float: Confidence level (0.0 to 1.0)
"""
if not self.initialized:
return 0.0
# Check for active signals
has_buy_signal = (df_index < len(backtester.strategies["buy_signals"]) and
backtester.strategies["buy_signals"].iloc[df_index])
has_sell_signal = (df_index < len(backtester.strategies["sell_signals"]) and
backtester.strategies["sell_signals"].iloc[df_index])
if has_buy_signal or has_sell_signal:
signal_type = "entry" if has_buy_signal else "exit"
return self._calculate_signal_confidence(backtester, df_index, signal_type)
# Moderate confidence during neutral periods
return 0.5
def _calculate_signal_confidence(self, backtester, df_index: int, signal_type: str) -> float:
"""
Calculate confidence level for a signal based on multiple factors.
Can consider multiple timeframes, market regime, volatility, etc.
Args:
backtester: Backtest instance
df_index: Current index
signal_type: "entry" or "exit"
Returns:
float: Confidence level (0.0 to 1.0)
"""
base_confidence = 1.0
# TODO: Implement multi-timeframe confirmation
# For now, return high confidence for primary signals
# Future enhancements could include:
# - Checking confirmation from additional timeframes
# - Analyzing market regime consistency
# - Considering volatility levels
# - RSI and BB position analysis
return base_confidence
def _check_stop_loss(self, backtester) -> Tuple[bool, Optional[float]]:
"""
Check if stop loss is triggered using 1-minute data for precision.
Uses 1-minute data regardless of primary timeframe to ensure
accurate stop loss execution.
Args:
backtester: Backtest instance with current trade state
Returns:
Tuple[bool, Optional[float]]: (stop_loss_triggered, sell_price)
"""
# Calculate stop loss price
stop_price = backtester.entry_price * (1 - backtester.strategies["stop_loss_pct"])
# Use 1-minute data for precise stop loss checking
min1_data = self.get_data_for_timeframe("1min")
if min1_data is None:
# Fallback to original_df if 1min timeframe not available
min1_data = backtester.original_df if hasattr(backtester, 'original_df') else backtester.min1_df
min1_index = min1_data.index
# Find data range from entry to current time
start_candidates = min1_index[min1_index >= backtester.entry_time]
if len(start_candidates) == 0:
return False, None
backtester.current_trade_min1_start_idx = start_candidates[0]
end_candidates = min1_index[min1_index <= backtester.current_date]
if len(end_candidates) == 0:
return False, None
backtester.current_min1_end_idx = end_candidates[-1]
# Check if any candle in the range triggered stop loss
min1_slice = min1_data.loc[backtester.current_trade_min1_start_idx:backtester.current_min1_end_idx]
if (min1_slice['low'] <= stop_price).any():
# Find the first candle that triggered stop loss
stop_candle = min1_slice[min1_slice['low'] <= stop_price].iloc[0]
# Use open price if it gapped below stop, otherwise use stop price
if stop_candle['open'] < stop_price:
sell_price = stop_candle['open']
else:
sell_price = stop_price
return True, sell_price
return False, None

254
cycles/strategies/default_strategy.py
View File

@@ -1,254 +0,0 @@
"""
Default Meta-Trend Strategy
This module implements the default trading strategy based on meta-trend analysis
using multiple Supertrend indicators. The strategy enters when trends align
and exits on trend reversal or stop loss.
The meta-trend is calculated by comparing three Supertrend indicators:
- Entry: When meta-trend changes from != 1 to == 1
- Exit: When meta-trend changes to -1 or stop loss is triggered
"""
import numpy as np
from typing import Tuple, Optional, List
from .base import StrategyBase, StrategySignal
class DefaultStrategy(StrategyBase):
"""
Default meta-trend strategy implementation.
This strategy uses multiple Supertrend indicators to determine market direction.
It generates entry signals when all three Supertrend indicators align in an
upward direction, and exit signals when they reverse or stop loss is triggered.
The strategy works best on 15-minute timeframes but can be configured for other timeframes.
Parameters:
stop_loss_pct (float): Stop loss percentage (default: 0.03)
timeframe (str): Preferred timeframe for analysis (default: "15min")
Example:
strategy = DefaultStrategy(weight=1.0, params={"stop_loss_pct": 0.05, "timeframe": "15min"})
"""
def __init__(self, weight: float = 1.0, params: Optional[dict] = None):
"""
Initialize the default strategy.
Args:
weight: Strategy weight for combination (default: 1.0)
params: Strategy parameters including stop_loss_pct and timeframe
"""
super().__init__("default", weight, params)
def get_timeframes(self) -> List[str]:
"""
Get the timeframes required by the default strategy.
The default strategy works on a single timeframe (typically 15min)
but also needs 1min data for precise stop-loss execution.
Returns:
List[str]: List containing primary timeframe and 1min for stop-loss
"""
primary_timeframe = self.params.get("timeframe", "15min")
# Always include 1min for stop-loss precision, avoid duplicates
timeframes = [primary_timeframe]
if primary_timeframe != "1min":
timeframes.append("1min")
return timeframes
def initialize(self, backtester) -> None:
"""
Initialize meta trend calculation using Supertrend indicators.
Calculates the meta-trend by comparing three Supertrend indicators.
When all three agree on direction, meta-trend follows that direction.
Otherwise, meta-trend is neutral (0).
Args:
backtester: Backtest instance with OHLCV data
"""
from cycles.Analysis.supertrend import Supertrends
# First, resample the original 1-minute data to required timeframes
self._resample_data(backtester.original_df)
# Get the primary timeframe data for strategy calculations
primary_timeframe = self.get_timeframes()[0]
strategy_data = self.get_data_for_timeframe(primary_timeframe)
# Calculate Supertrend indicators on the primary timeframe
supertrends = Supertrends(strategy_data, verbose=False)
supertrend_results_list = supertrends.calculate_supertrend_indicators()
# Extract trend arrays from each Supertrend
trends = [st['results']['trend'] for st in supertrend_results_list]
trends_arr = np.stack(trends, axis=1)
# Calculate meta-trend: all three must agree for direction signal
meta_trend = np.where(
(trends_arr[:,0] == trends_arr[:,1]) & (trends_arr[:,1] == trends_arr[:,2]),
trends_arr[:,0],
0 # Neutral when trends don't agree
)
# Store in backtester for access during trading
# Note: backtester.df should now be using our primary timeframe
backtester.strategies["meta_trend"] = meta_trend
backtester.strategies["stop_loss_pct"] = self.params.get("stop_loss_pct", 0.03)
backtester.strategies["primary_timeframe"] = primary_timeframe
self.initialized = True
def get_entry_signal(self, backtester, df_index: int) -> StrategySignal:
"""
Generate entry signal based on meta-trend direction change.
Entry occurs when meta-trend changes from != 1 to == 1, indicating
all Supertrend indicators now agree on upward direction.
Args:
backtester: Backtest instance with current state
df_index: Current index in the primary timeframe dataframe
Returns:
StrategySignal: Entry signal if trend aligns, hold signal otherwise
"""
if not self.initialized:
return StrategySignal("HOLD", 0.0)
if df_index < 1:
return StrategySignal("HOLD", 0.0)
# Check for meta-trend entry condition
prev_trend = backtester.strategies["meta_trend"][df_index - 1]
curr_trend = backtester.strategies["meta_trend"][df_index]
if prev_trend != 1 and curr_trend == 1:
# Strong confidence when all indicators align for entry
return StrategySignal("ENTRY", confidence=1.0)
return StrategySignal("HOLD", confidence=0.0)
def get_exit_signal(self, backtester, df_index: int) -> StrategySignal:
"""
Generate exit signal based on meta-trend reversal or stop loss.
Exit occurs when:
1. Meta-trend changes to -1 (trend reversal)
2. Stop loss is triggered based on price movement
Args:
backtester: Backtest instance with current state
df_index: Current index in the primary timeframe dataframe
Returns:
StrategySignal: Exit signal with type and price, or hold signal
"""
if not self.initialized:
return StrategySignal("HOLD", 0.0)
if df_index < 1:
return StrategySignal("HOLD", 0.0)
# Check for meta-trend exit signal
prev_trend = backtester.strategies["meta_trend"][df_index - 1]
curr_trend = backtester.strategies["meta_trend"][df_index]
if prev_trend != 1 and curr_trend == -1:
return StrategySignal("EXIT", confidence=1.0,
metadata={"type": "META_TREND_EXIT_SIGNAL"})
# Check for stop loss using 1-minute data for precision
stop_loss_result, sell_price = self._check_stop_loss(backtester)
if stop_loss_result:
return StrategySignal("EXIT", confidence=1.0, price=sell_price,
metadata={"type": "STOP_LOSS"})
return StrategySignal("HOLD", confidence=0.0)
def get_confidence(self, backtester, df_index: int) -> float:
"""
Get strategy confidence based on meta-trend strength.
Higher confidence when meta-trend is strongly directional,
lower confidence during neutral periods.
Args:
backtester: Backtest instance with current state
df_index: Current index in the primary timeframe dataframe
Returns:
float: Confidence level (0.0 to 1.0)
"""
if not self.initialized or df_index >= len(backtester.strategies["meta_trend"]):
return 0.0
curr_trend = backtester.strategies["meta_trend"][df_index]
# High confidence for strong directional signals
if curr_trend == 1 or curr_trend == -1:
return 1.0
# Low confidence for neutral trend
return 0.3
def _check_stop_loss(self, backtester) -> Tuple[bool, Optional[float]]:
"""
Check if stop loss is triggered based on price movement.
Uses 1-minute data for precise stop loss checking regardless of
the primary timeframe used for strategy signals.
Args:
backtester: Backtest instance with current trade state
Returns:
Tuple[bool, Optional[float]]: (stop_loss_triggered, sell_price)
"""
# Calculate stop loss price
stop_price = backtester.entry_price * (1 - backtester.strategies["stop_loss_pct"])
# Use 1-minute data for precise stop loss checking
min1_data = self.get_data_for_timeframe("1min")
if min1_data is None:
# Fallback to original_df if 1min timeframe not available
min1_data = backtester.original_df if hasattr(backtester, 'original_df') else backtester.min1_df
min1_index = min1_data.index
# Find data range from entry to current time
start_candidates = min1_index[min1_index >= backtester.entry_time]
if len(start_candidates) == 0:
return False, None
backtester.current_trade_min1_start_idx = start_candidates[0]
end_candidates = min1_index[min1_index <= backtester.current_date]
if len(end_candidates) == 0:
return False, None
backtester.current_min1_end_idx = end_candidates[-1]
# Check if any candle in the range triggered stop loss
min1_slice = min1_data.loc[backtester.current_trade_min1_start_idx:backtester.current_min1_end_idx]
if (min1_slice['low'] <= stop_price).any():
# Find the first candle that triggered stop loss
stop_candle = min1_slice[min1_slice['low'] <= stop_price].iloc[0]
# Use open price if it gapped below stop, otherwise use stop price
if stop_candle['open'] < stop_price:
sell_price = stop_candle['open']
else:
sell_price = stop_price
return True, sell_price
return False, None

394
cycles/strategies/manager.py
View File

@@ -1,394 +0,0 @@
"""
Strategy Manager
This module contains the StrategyManager class that orchestrates multiple trading strategies
and combines their signals using configurable aggregation rules.
The StrategyManager supports various combination methods for entry and exit signals:
- Entry: any, all, majority, weighted_consensus
- Exit: any, all, priority (with stop loss prioritization)
"""
from typing import Dict, List, Tuple, Optional
import logging
from .base import StrategyBase, StrategySignal
from .default_strategy import DefaultStrategy
from .bbrs_strategy import BBRSStrategy
class StrategyManager:
"""
Manages multiple strategies and combines their signals.
The StrategyManager loads multiple strategies from configuration,
initializes them with backtester data, and combines their signals
using configurable aggregation rules.
Attributes:
strategies (List[StrategyBase]): List of loaded strategies
combination_rules (Dict): Rules for combining signals
initialized (bool): Whether manager has been initialized
Example:
config = {
"strategies": [
{"name": "default", "weight": 0.6, "params": {}},
{"name": "bbrs", "weight": 0.4, "params": {"bb_width": 0.05}}
],
"combination_rules": {
"entry": "weighted_consensus",
"exit": "any",
"min_confidence": 0.6
}
}
manager = StrategyManager(config["strategies"], config["combination_rules"])
"""
def __init__(self, strategies_config: List[Dict], combination_rules: Optional[Dict] = None):
"""
Initialize the strategy manager.
Args:
strategies_config: List of strategy configurations
combination_rules: Rules for combining signals
"""
self.strategies = self._load_strategies(strategies_config)
self.combination_rules = combination_rules or {
"entry": "weighted_consensus",
"exit": "any",
"min_confidence": 0.5
}
self.initialized = False
def _load_strategies(self, strategies_config: List[Dict]) -> List[StrategyBase]:
"""
Load strategies from configuration.
Creates strategy instances based on configuration and registers
them with the manager. Supports extensible strategy registration.
Args:
strategies_config: List of strategy configurations
Returns:
List[StrategyBase]: List of instantiated strategies
Raises:
ValueError: If unknown strategy name is specified
"""
strategies = []
for config in strategies_config:
name = config.get("name", "").lower()
weight = config.get("weight", 1.0)
params = config.get("params", {})
if name == "default":
strategies.append(DefaultStrategy(weight, params))
elif name == "bbrs":
strategies.append(BBRSStrategy(weight, params))
else:
raise ValueError(f"Unknown strategy: {name}. "
f"Available strategies: default, bbrs")
return strategies
def initialize(self, backtester) -> None:
"""
Initialize all strategies with backtester data.
Calls the initialize method on each strategy, allowing them
to set up indicators, validate data, and prepare for trading.
Each strategy will handle its own timeframe resampling.
Args:
backtester: Backtest instance with OHLCV data
"""
for strategy in self.strategies:
try:
strategy.initialize(backtester)
# Log strategy timeframe information
timeframes = strategy.get_timeframes()
logging.info(f"Initialized strategy: {strategy.name} with timeframes: {timeframes}")
except Exception as e:
logging.error(f"Failed to initialize strategy {strategy.name}: {e}")
raise
self.initialized = True
logging.info(f"Strategy manager initialized with {len(self.strategies)} strategies")
# Log summary of all timeframes being used
all_timeframes = set()
for strategy in self.strategies:
all_timeframes.update(strategy.get_timeframes())
logging.info(f"Total unique timeframes in use: {sorted(all_timeframes)}")
def get_entry_signal(self, backtester, df_index: int) -> bool:
"""
Get combined entry signal from all strategies.
Collects entry signals from all strategies and combines them
according to the configured combination rules.
Args:
backtester: Backtest instance with current state
df_index: Current index in the dataframe
Returns:
bool: True if combined signal suggests entry, False otherwise
"""
if not self.initialized:
return False
# Collect signals from all strategies
signals = {}
for strategy in self.strategies:
try:
signal = strategy.get_entry_signal(backtester, df_index)
signals[strategy.name] = {
"signal": signal,
"weight": strategy.weight,
"confidence": signal.confidence
}
except Exception as e:
logging.warning(f"Strategy {strategy.name} entry signal failed: {e}")
signals[strategy.name] = {
"signal": StrategySignal("HOLD", 0.0),
"weight": strategy.weight,
"confidence": 0.0
}
return self._combine_entry_signals(signals)
def get_exit_signal(self, backtester, df_index: int) -> Tuple[Optional[str], Optional[float]]:
"""
Get combined exit signal from all strategies.
Collects exit signals from all strategies and combines them
according to the configured combination rules.
Args:
backtester: Backtest instance with current state
df_index: Current index in the dataframe
Returns:
Tuple[Optional[str], Optional[float]]: (exit_type, exit_price) or (None, None)
"""
if not self.initialized:
return None, None
# Collect signals from all strategies
signals = {}
for strategy in self.strategies:
try:
signal = strategy.get_exit_signal(backtester, df_index)
signals[strategy.name] = {
"signal": signal,
"weight": strategy.weight,
"confidence": signal.confidence
}
except Exception as e:
logging.warning(f"Strategy {strategy.name} exit signal failed: {e}")
signals[strategy.name] = {
"signal": StrategySignal("HOLD", 0.0),
"weight": strategy.weight,
"confidence": 0.0
}
return self._combine_exit_signals(signals)
def _combine_entry_signals(self, signals: Dict) -> bool:
"""
Combine entry signals based on combination rules.
Supports multiple combination methods:
- any: Enter if ANY strategy signals entry
- all: Enter only if ALL strategies signal entry
- majority: Enter if majority of strategies signal entry
- weighted_consensus: Enter based on weighted average confidence
Args:
signals: Dictionary of strategy signals with weights and confidence
Returns:
bool: Combined entry decision
"""
method = self.combination_rules.get("entry", "weighted_consensus")
min_confidence = self.combination_rules.get("min_confidence", 0.5)
# Filter for entry signals above minimum confidence
entry_signals = [
s for s in signals.values()
if s["signal"].signal_type == "ENTRY" and s["signal"].confidence >= min_confidence
]
if not entry_signals:
return False
if method == "any":
# Enter if any strategy signals entry
return len(entry_signals) > 0
elif method == "all":
# Enter only if all strategies signal entry
return len(entry_signals) == len(self.strategies)
elif method == "majority":
# Enter if majority of strategies signal entry
return len(entry_signals) > len(self.strategies) / 2
elif method == "weighted_consensus":
# Enter based on weighted average confidence
total_weight = sum(s["weight"] for s in entry_signals)
if total_weight == 0:
return False
weighted_confidence = sum(
s["signal"].confidence * s["weight"]
for s in entry_signals
) / total_weight
return weighted_confidence >= min_confidence
else:
logging.warning(f"Unknown entry combination method: {method}, using 'any'")
return len(entry_signals) > 0
def _combine_exit_signals(self, signals: Dict) -> Tuple[Optional[str], Optional[float]]:
"""
Combine exit signals based on combination rules.
Supports multiple combination methods:
- any: Exit if ANY strategy signals exit (recommended for risk management)
- all: Exit only if ALL strategies agree on exit
- priority: Exit based on priority order (STOP_LOSS > SELL_SIGNAL > others)
Args:
signals: Dictionary of strategy signals with weights and confidence
Returns:
Tuple[Optional[str], Optional[float]]: (exit_type, exit_price) or (None, None)
"""
method = self.combination_rules.get("exit", "any")
# Filter for exit signals
exit_signals = [
s for s in signals.values()
if s["signal"].signal_type == "EXIT"
]
if not exit_signals:
return None, None
if method == "any":
# Exit if any strategy signals exit (first one found)
for signal_data in exit_signals:
signal = signal_data["signal"]
exit_type = signal.metadata.get("type", "EXIT")
return exit_type, signal.price
elif method == "all":
# Exit only if all strategies agree on exit
if len(exit_signals) == len(self.strategies):
signal = exit_signals[0]["signal"]
exit_type = signal.metadata.get("type", "EXIT")
return exit_type, signal.price
elif method == "priority":
# Priority order: STOP_LOSS > SELL_SIGNAL > others
stop_loss_signals = [
s for s in exit_signals
if s["signal"].metadata.get("type") == "STOP_LOSS"
]
if stop_loss_signals:
signal = stop_loss_signals[0]["signal"]
return "STOP_LOSS", signal.price
sell_signals = [
s for s in exit_signals
if s["signal"].metadata.get("type") == "SELL_SIGNAL"
]
if sell_signals:
signal = sell_signals[0]["signal"]
return "SELL_SIGNAL", signal.price
# Return first available exit signal
signal = exit_signals[0]["signal"]
exit_type = signal.metadata.get("type", "EXIT")
return exit_type, signal.price
else:
logging.warning(f"Unknown exit combination method: {method}, using 'any'")
# Fallback to 'any' method
signal = exit_signals[0]["signal"]
exit_type = signal.metadata.get("type", "EXIT")
return exit_type, signal.price
return None, None
def get_strategy_summary(self) -> Dict:
"""
Get summary of loaded strategies and their configuration.
Returns:
Dict: Summary of strategies, weights, combination rules, and timeframes
"""
return {
"strategies": [
{
"name": strategy.name,
"weight": strategy.weight,
"params": strategy.params,
"timeframes": strategy.get_timeframes(),
"initialized": strategy.initialized
}
for strategy in self.strategies
],
"combination_rules": self.combination_rules,
"total_strategies": len(self.strategies),
"initialized": self.initialized,
"all_timeframes": list(set().union(*[strategy.get_timeframes() for strategy in self.strategies]))
}
def __repr__(self) -> str:
"""String representation of the strategy manager."""
strategy_names = [s.name for s in self.strategies]
return (f"StrategyManager(strategies={strategy_names}, "
f"initialized={self.initialized})")
def create_strategy_manager(config: Dict) -> StrategyManager:
"""
Factory function to create StrategyManager from configuration.
Provides a convenient way to create a StrategyManager instance
from a configuration dictionary.
Args:
config: Configuration dictionary with strategies and combination_rules
Returns:
StrategyManager: Configured strategy manager instance
Example:
config = {
"strategies": [
{"name": "default", "weight": 1.0, "params": {}}
],
"combination_rules": {
"entry": "any",
"exit": "any"
}
}
manager = create_strategy_manager(config)
"""
strategies_config = config.get("strategies", [])
combination_rules = config.get("combination_rules", {})
if not strategies_config:
raise ValueError("No strategies specified in configuration")
return StrategyManager(strategies_config, combination_rules)

185
cycles/supertrend.py Normal file
View File

@@ -0,0 +1,185 @@
import pandas as pd
import numpy as np
import logging
from functools import lru_cache
@lru_cache(maxsize=32)
def cached_supertrend_calculation(period, multiplier, data_tuple):
high = np.array(data_tuple[0])
low = np.array(data_tuple[1])
close = np.array(data_tuple[2])
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])
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))
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):
high_tuple = tuple(data['high'])
low_tuple = tuple(data['low'])
close_tuple = tuple(data['close'])
return cached_supertrend_calculation(period, multiplier, (high_tuple, low_tuple, close_tuple))
class Supertrends:
def __init__(self, data, verbose=False, display=False):
self.data = data
self.verbose = verbose
logging.basicConfig(level=logging.INFO if verbose else logging.WARNING,
format='%(asctime)s - %(levelname)s - %(message)s')
self.logger = logging.getLogger('TrendDetectorSimple')
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):
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]
for i in range(1, len(close)):
hl_range = high[i] - low[i]
hc_range = abs(high[i] - close[i-1])
lc_range = abs(low[i] - close[i-1])
tr[i] = max(hl_range, hc_range, lc_range)
return tr
def calculate_atr(self, period=14):
tr = self.calculate_tr()
atr = np.zeros_like(tr)
atr[0] = tr[0]
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 calculate_supertrend(self, period=10, multiplier=3.0):
"""
Calculate SuperTrend indicator for the price data.
SuperTrend is a trend-following indicator that uses ATR to determine the trend direction.
Parameters:
- period: int, the period for the ATR calculation (default: 10)
- multiplier: float, the multiplier for the ATR (default: 3.0)
Returns:
- Dictionary containing SuperTrend values, trend direction, and upper/lower bands
"""
df = self.data.copy()
high = df['high'].values
low = df['low'].values
close = df['close'].values
atr = self.calculate_atr(period)
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
supertrend_results = {
'supertrend': supertrend,
'trend': trend,
'upper_band': final_upper,
'lower_band': final_lower
}
return supertrend_results
def calculate_supertrend_indicators(self):
supertrend_params = [
{"period": 12, "multiplier": 3.0},
{"period": 10, "multiplier": 1.0},
{"period": 11, "multiplier": 2.0}
]
results = []
for p in supertrend_params:
result = self.calculate_supertrend(period=p["period"], multiplier=p["multiplier"])
results.append({
"results": result,
"params": p
})
return results

169
cycles/utils/data_utils.py
View File

@@ -1,80 +1,5 @@
import pandas as pd import pandas as pd
def check_data(data_df: pd.DataFrame) -> bool:
"""
Checks if the input DataFrame has a DatetimeIndex.
Args:
data_df (pd.DataFrame): DataFrame to check.
Returns:
bool: True if the DataFrame has a DatetimeIndex, False otherwise.
"""
if not isinstance(data_df.index, pd.DatetimeIndex):
print("Warning: Input DataFrame must have a DatetimeIndex.")
return False
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:
print("Warning: No standard OHLCV columns (open, high, low, close, volume) found for daily aggregation.")
return False
return agg_rules
def aggregate_to_weekly(data_df: pd.DataFrame, weeks: int = 1) -> pd.DataFrame:
"""
Aggregates time-series financial data to weekly OHLCV format.
The input DataFrame is expected to have a DatetimeIndex.
'open' will be the first 'open' price of the week.
'close' will be the last 'close' price of the week.
'high' will be the maximum 'high' price of the week.
'low' will be the minimum 'low' price of the week.
'volume' (if present) will be the sum of volumes for the week.
Args:
data_df (pd.DataFrame): DataFrame with a DatetimeIndex and columns
like 'open', 'high', 'low', 'close', and optionally 'volume'.
weeks (int): The number of weeks to aggregate to. Default is 1.
Returns:
pd.DataFrame: DataFrame aggregated to weekly OHLCV data.
The index will be a DatetimeIndex with the time set to the start of the week.
Returns an empty DataFrame if no relevant OHLCV columns are found.
"""
agg_rules = check_data(data_df)
if not agg_rules:
print("Warning: No standard OHLCV columns (open, high, low, close, volume) found for weekly aggregation.")
return pd.DataFrame(index=pd.to_datetime([]))
# Resample to weekly frequency and apply aggregation rules
weekly_data = data_df.resample(f'{weeks}W').agg(agg_rules)
weekly_data.dropna(how='all', inplace=True)
# Adjust timestamps to the start of the week
if not weekly_data.empty and isinstance(weekly_data.index, pd.DatetimeIndex):
weekly_data.index = weekly_data.index.floor('W')
return weekly_data
def aggregate_to_daily(data_df: pd.DataFrame) -> pd.DataFrame: def aggregate_to_daily(data_df: pd.DataFrame) -> pd.DataFrame:
""" """
Aggregates time-series financial data to daily OHLCV format. Aggregates time-series financial data to daily OHLCV format.
@@ -99,8 +24,22 @@ def aggregate_to_daily(data_df: pd.DataFrame) -> pd.DataFrame:
Raises: Raises:
ValueError: If the input DataFrame does not have a DatetimeIndex. 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 = check_data(data_df) 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: if not agg_rules:
# Log a warning or raise an error if no relevant columns are found # Log a warning or raise an error if no relevant columns are found
@@ -119,81 +58,3 @@ def aggregate_to_daily(data_df: pd.DataFrame) -> pd.DataFrame:
daily_data.dropna(how='all', inplace=True) daily_data.dropna(how='all', inplace=True)
return daily_data return daily_data
def aggregate_to_hourly(data_df: pd.DataFrame, hours: int = 1) -> pd.DataFrame:
"""
Aggregates time-series financial data to hourly OHLCV format.
The input DataFrame is expected to have a DatetimeIndex.
'open' will be the first 'open' price of the hour.
'close' will be the last 'close' price of the hour.
'high' will be the maximum 'high' price of the hour.
'low' will be the minimum 'low' price of the hour.
'volume' (if present) will be the sum of volumes for the hour.
Args:
data_df (pd.DataFrame): DataFrame with a DatetimeIndex and columns
like 'open', 'high', 'low', 'close', and optionally 'volume'.
hours (int): The number of hours to aggregate to. Default is 1.
Returns:
pd.DataFrame: DataFrame aggregated to hourly OHLCV data.
The index will be a DatetimeIndex with the time set to the start of the hour.
Returns an empty DataFrame if no relevant OHLCV columns are found.
"""
agg_rules = check_data(data_df)
if not agg_rules:
print("Warning: No standard OHLCV columns (open, high, low, close, volume) found for hourly aggregation.")
return pd.DataFrame(index=pd.to_datetime([]))
# Resample to hourly frequency and apply aggregation rules
hourly_data = data_df.resample(f'{hours}h').agg(agg_rules)
hourly_data.dropna(how='all', inplace=True)
# Adjust timestamps to the start of the hour
if not hourly_data.empty and isinstance(hourly_data.index, pd.DatetimeIndex):
hourly_data.index = hourly_data.index.floor('h')
return hourly_data
def aggregate_to_minutes(data_df: pd.DataFrame, minutes: int) -> pd.DataFrame:
"""
Aggregates time-series financial data to N-minute OHLCV format.
The input DataFrame is expected to have a DatetimeIndex.
'open' will be the first 'open' price of the N-minute interval.
'close' will be the last 'close' price of the N-minute interval.
'high' will be the maximum 'high' price of the N-minute interval.
'low' will be the minimum 'low' price of the N-minute interval.
'volume' (if present) will be the sum of volumes for the N-minute interval.
Args:
data_df (pd.DataFrame): DataFrame with a DatetimeIndex and columns
like 'open', 'high', 'low', 'close', and optionally 'volume'.
minutes (int): The number of minutes to aggregate to.
Returns:
pd.DataFrame: DataFrame aggregated to N-minute OHLCV data.
The index will be a DatetimeIndex.
Returns an empty DataFrame if no relevant OHLCV columns are found or
if the input DataFrame does not have a DatetimeIndex.
"""
agg_rules_obj = check_data(data_df) # check_data returns rules or False
if not agg_rules_obj:
# check_data already prints a warning if index is not DatetimeIndex or no OHLCV columns
# Ensure an empty DataFrame with a DatetimeIndex is returned for consistency
return pd.DataFrame(index=pd.to_datetime([]))
# Resample to N-minute frequency and apply aggregation rules
# Using .agg(agg_rules_obj) where agg_rules_obj is the dict from check_data
resampled_data = data_df.resample(f'{minutes}min').agg(agg_rules_obj)
resampled_data.dropna(how='all', inplace=True)
return resampled_data

96
docs/analysis.md
View File

@@ -8,7 +8,6 @@ The `Analysis` module includes classes for calculating common technical indicato
- **Relative Strength Index (RSI)**: Implemented in `cycles/Analysis/rsi.py`. - **Relative Strength Index (RSI)**: Implemented in `cycles/Analysis/rsi.py`.
- **Bollinger Bands**: Implemented in `cycles/Analysis/boillinger_band.py`. - **Bollinger Bands**: Implemented in `cycles/Analysis/boillinger_band.py`.
- Note: Trading strategies are detailed in `strategies.md`.
## Class: `RSI` ## Class: `RSI`
@@ -16,91 +15,64 @@ Found in `cycles/Analysis/rsi.py`.
Calculates the Relative Strength Index. Calculates the Relative Strength Index.
### Mathematical Model ### Mathematical Model
The standard RSI calculation typically involves Wilder's smoothing for average gains and losses. 1. **Average Gain (AvgU)** and **Average Loss (AvgD)** over 14 periods:
1. **Price Change (Delta)**: Difference between consecutive closing prices.
2. **Gain and Loss**: Separate positive (gain) and negative (loss, expressed as positive) price changes.
3. **Average Gain (AvgU)** and **Average Loss (AvgD)**: Smoothed averages of gains and losses over the RSI period. Wilder's smoothing is a specific type of exponential moving average (EMA):
- Initial AvgU/AvgD: Simple Moving Average (SMA) over the first `period` values.
- Subsequent AvgU: `(Previous AvgU * (period - 1) + Current Gain) / period`
- Subsequent AvgD: `(Previous AvgD * (period - 1) + Current Loss) / period`
4. **Relative Strength (RS)**:
$$ $$
RS = \\frac{\\text{AvgU}}{\\text{AvgD}} \text{AvgU} = \frac{\sum \text{Upward Price Changes}}{14}, \quad \text{AvgD} = \frac{\sum \text{Downward Price Changes}}{14}
$$ $$
5. **RSI**: 2. **Relative Strength (RS)**:
$$ $$
RSI = 100 - \\frac{100}{1 + RS} RS = \frac{\text{AvgU}}{\text{AvgD}}
$$
3. **RSI**:
$$
RSI = 100 - \frac{100}{1 + RS}
$$ $$
Special conditions:
- If AvgD is 0: RSI is 100 if AvgU > 0, or 50 if AvgU is also 0 (neutral).
### `__init__(self, config: dict)` ### `__init__(self, period: int = 14)`
- **Description**: Initializes the RSI calculator. - **Description**: Initializes the RSI calculator.
- **Parameters**:\n - `config` (dict): Configuration dictionary. Must contain an `'rsi_period'` key with a positive integer value (e.g., `{'rsi_period': 14}`). - **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` ### `calculate(self, data_df: pd.DataFrame, price_column: str = 'close') -> pd.DataFrame`
- **Description**: Calculates the RSI (using Wilder's smoothing by default) and adds it as an 'RSI' column to the input DataFrame. This method utilizes `calculate_custom_rsi` internally with `smoothing='EMA'`. - **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**:\n - `data_df` (pd.DataFrame): DataFrame with historical price data. Must contain the `price_column`.\n - `price_column` (str, optional): The name of the column containing price data. Defaults to 'close'.
- **Returns**: `pd.DataFrame` - A copy of the input DataFrame with an added 'RSI' column. If data length is insufficient for the period, the 'RSI' column will contain `np.nan`.
### `calculate_custom_rsi(price_series: pd.Series, window: int = 14, smoothing: str = 'SMA') -> pd.Series` (Static Method)
- **Description**: Calculates RSI with a specified window and smoothing method (SMA or EMA). This is the core calculation engine.
- **Parameters**: - **Parameters**:
- `price_series` (pd.Series): Series of prices. - `data_df` (pd.DataFrame): DataFrame with historical price data. Must contain the `price_column`.
- `window` (int, optional): The period for RSI calculation. Defaults to 14. Must be a positive integer. - `price_column` (str, optional): The name of the column containing price data. Defaults to 'close'.
- `smoothing` (str, optional): Smoothing method, can be 'SMA' (Simple Moving Average) or 'EMA' (Exponential Moving Average, specifically Wilder's smoothing when `alpha = 1/window`). Defaults to 'SMA'. - **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.
- **Returns**: `pd.Series` - Series containing the RSI values. Returns a series of NaNs if data length is insufficient.
## Class: `BollingerBands` ## Class: `BollingerBands`
Found in `cycles/Analysis/boillinger_band.py`. Found in `cycles/Analysis/boillinger_band.py`.
Calculates Bollinger Bands. ## **Bollinger Bands**
### Mathematical Model ### Mathematical Model
1. **Middle Band**: Simple Moving Average (SMA) over `period`. 1. **Middle Band**: 20-day Simple Moving Average (SMA)
$$ $$
\\text{Middle Band} = \\text{SMA}(\\text{price}, \\text{period}) \text{Middle Band} = \frac{1}{20} \sum_{i=1}^{20} \text{Close}_{t-i}
$$ $$
2. **Standard Deviation (σ)**: Standard deviation of price over `period`. 2. **Upper Band**: Middle Band + 2 × 20-day Standard Deviation (σ)
3. **Upper Band**: Middle Band + `num_std` × σ
$$ $$
\\text{Upper Band} = \\text{Middle Band} + \\text{num_std} \\times \\sigma_{\\text{period}} \text{Upper Band} = \text{Middle Band} + 2 \times \sigma_{20}
$$ $$
4. **Lower Band**: Middle Band − `num_std` × σ 3. **Lower Band**: Middle Band − 2 × 20-day Standard Deviation (σ)
$$ $$
\\text{Lower Band} = \\text{Middle Band} - \\text{num_std} \\times \\sigma_{\\text{period}} \text{Lower Band} = \text{Middle Band} - 2 \times \sigma_{20}
$$ $$
For the adaptive calculation in the `calculate` method (when `squeeze=False`):
- **BBWidth**: `(Reference Upper Band - Reference Lower Band) / SMA`, where reference bands are typically calculated using a 2.0 standard deviation multiplier.
- **MarketRegime**: Determined by comparing `BBWidth` to a threshold from the configuration. `1` for sideways, `0` for trending.
- The `num_std` used for the final Upper and Lower Bands then varies based on this `MarketRegime` and the `bb_std_dev_multiplier` values for "trending" and "sideways" markets from the configuration, applied row-wise.
### `__init__(self, config: dict)`
### `__init__(self, period: int = 20, std_dev_multiplier: float = 2.0)`
- **Description**: Initializes the BollingerBands calculator. - **Description**: Initializes the BollingerBands calculator.
- **Parameters**:\n - `config` (dict): Configuration dictionary. It must contain:
- `'bb_period'` (int): Positive integer for the moving average and standard deviation period.
- `'trending'` (dict): Containing `'bb_std_dev_multiplier'` (float, positive) for trending markets.
- `'sideways'` (dict): Containing `'bb_std_dev_multiplier'` (float, positive) for sideways markets.
- `'bb_width'` (float): Positive float threshold for determining market regime.
### `calculate(self, data_df: pd.DataFrame, price_column: str = 'close', squeeze: bool = False) -> pd.DataFrame`
- **Description**: Calculates Bollinger Bands and adds relevant columns to the DataFrame.
- If `squeeze` is `False` (default): Calculates adaptive Bollinger Bands. It determines the market regime (trending/sideways) based on `BBWidth` and applies different standard deviation multipliers (from the `config`) on a row-by-row basis. Adds 'SMA', 'UpperBand', 'LowerBand', 'BBWidth', and 'MarketRegime' columns.
- If `squeeze` is `True`: Calculates simpler Bollinger Bands with a fixed window of 14 and a standard deviation multiplier of 1.5 by calling `calculate_custom_bands`. Adds 'SMA', 'UpperBand', 'LowerBand' columns; 'BBWidth' and 'MarketRegime' will be `NaN`.
- **Parameters**:\n - `data_df` (pd.DataFrame): DataFrame with price data. Must include the `price_column`.\n - `price_column` (str, optional): The name of the column containing the price data. Defaults to 'close'.\n - `squeeze` (bool, optional): If `True`, calculates bands with fixed parameters (window 14, std 1.5). Defaults to `False`.
- **Returns**: `pd.DataFrame` - A copy of the original DataFrame with added Bollinger Band related columns.
### `calculate_custom_bands(price_series: pd.Series, window: int = 20, num_std: float = 2.0, min_periods: int = None) -> tuple[pd.Series, pd.Series, pd.Series]` (Static Method)
- **Description**: Calculates Bollinger Bands with a specified window, standard deviation multiplier, and minimum periods.
- **Parameters**: - **Parameters**:
- `price_series` (pd.Series): Series of prices. - `period` (int, optional): The period for the moving average and standard deviation. Defaults to 20. Must be a positive integer.
- `window` (int, optional): The period for the moving average and standard deviation. Defaults to 20. - `std_dev_multiplier` (float, optional): The number of standard deviations for the upper and lower bands. Defaults to 2.0. Must be positive.
- `num_std` (float, optional): The number of standard deviations for the upper and lower bands. Defaults to 2.0.
- `min_periods` (int, optional): Minimum number of observations in window required to have a value. Defaults to `window` if `None`. ### `calculate(self, data_df: pd.DataFrame, price_column: str = 'close') -> pd.DataFrame`
- **Returns**: `tuple[pd.Series, pd.Series, pd.Series]` - A tuple containing the Upper band, SMA, and Lower band series.
- **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'.

405
docs/strategies.md
View File

@@ -1,405 +0,0 @@
# Strategies Documentation
## Overview
The Cycles framework implements advanced trading strategies with sophisticated timeframe management, signal processing, and multi-strategy combination capabilities. Each strategy can operate on its preferred timeframes while maintaining precise execution control.
## Architecture
### Strategy System Components
1. **StrategyBase**: Abstract base class with timeframe management
2. **Individual Strategies**: DefaultStrategy, BBRSStrategy implementations
3. **StrategyManager**: Multi-strategy orchestration and signal combination
4. **Timeframe System**: Automatic data resampling and signal mapping
### New Timeframe Management
Each strategy now controls its own timeframe requirements:
```python
class MyStrategy(StrategyBase):
def get_timeframes(self):
return ["15min", "1h"] # Strategy specifies needed timeframes
def initialize(self, backtester):
# Framework automatically resamples data
self._resample_data(backtester.original_df)
# Access resampled data
data_15m = self.get_data_for_timeframe("15min")
data_1h = self.get_data_for_timeframe("1h")
```
## Available Strategies
### 1. Default Strategy (Meta-Trend Analysis)
**Purpose**: Meta-trend analysis using multiple Supertrend indicators
**Timeframe Behavior**:
- **Configurable Primary Timeframe**: Set via `params["timeframe"]` (default: "15min")
- **1-Minute Precision**: Always includes 1min data for precise stop-loss execution
- **Example Timeframes**: `["15min", "1min"]` or `["5min", "1min"]`
**Configuration**:
```json
{
"name": "default",
"weight": 1.0,
"params": {
"timeframe": "15min", // Configurable: "5min", "15min", "1h", etc.
"stop_loss_pct": 0.03 // Stop loss percentage
}
}
```
**Algorithm**:
1. Calculate 3 Supertrend indicators with different parameters on primary timeframe
2. Determine meta-trend: all three must agree for directional signal
3. **Entry**: Meta-trend changes from != 1 to == 1 (all trends align upward)
4. **Exit**: Meta-trend changes to -1 (trend reversal) or stop-loss triggered
5. **Stop-Loss**: 1-minute precision using percentage-based threshold
**Strengths**:
- Robust trend following with multiple confirmations
- Configurable for different market timeframes
- Precise risk management
- Low false signals in trending markets
**Best Use Cases**:
- Medium to long-term trend following
- Markets with clear directional movements
- Risk-conscious trading with defined exits
### 2. BBRS Strategy (Bollinger Bands + RSI)
**Purpose**: Market regime-adaptive strategy combining Bollinger Bands and RSI
**Timeframe Behavior**:
- **1-Minute Input**: Strategy receives 1-minute data
- **Internal Resampling**: Underlying Strategy class handles resampling to 15min/1h
- **No Double-Resampling**: Avoids conflicts with existing resampling logic
- **Signal Mapping**: Results mapped back to 1-minute resolution
**Configuration**:
```json
{
"name": "bbrs",
"weight": 1.0,
"params": {
"bb_width": 0.05, // Bollinger Band width threshold
"bb_period": 20, // Bollinger Band period
"rsi_period": 14, // RSI calculation period
"trending_rsi_threshold": [30, 70], // RSI thresholds for trending market
"trending_bb_multiplier": 2.5, // BB multiplier for trending market
"sideways_rsi_threshold": [40, 60], // RSI thresholds for sideways market
"sideways_bb_multiplier": 1.8, // BB multiplier for sideways market
"strategy_name": "MarketRegimeStrategy", // Implementation variant
"SqueezeStrategy": true, // Enable squeeze detection
"stop_loss_pct": 0.05 // Stop loss percentage
}
}
```
**Algorithm**:
**MarketRegimeStrategy** (Primary Implementation):
1. **Market Regime Detection**: Determines if market is trending or sideways
2. **Adaptive Parameters**: Adjusts BB/RSI thresholds based on market regime
3. **Trending Market Entry**: Price < Lower Band ∧ RSI < 50 ∧ Volume Spike
4. **Sideways Market Entry**: Price ≤ Lower Band ∧ RSI ≤ 40
5. **Exit Conditions**: Opposite band touch, RSI reversal, or stop-loss
6. **Volume Confirmation**: Requires 1.5× average volume for trending signals
**CryptoTradingStrategy** (Alternative Implementation):
1. **Multi-Timeframe Analysis**: Combines 15-minute and 1-hour Bollinger Bands
2. **Entry**: Price ≤ both 15m & 1h lower bands + RSI < 35 + Volume surge
3. **Exit**: 2:1 risk-reward ratio with ATR-based stops
4. **Adaptive Volatility**: Uses ATR for dynamic stop-loss/take-profit
**Strengths**:
- Adapts to different market regimes
- Multiple timeframe confirmation (internal)
- Volume analysis for signal quality
- Sophisticated entry/exit conditions
**Best Use Cases**:
- Volatile cryptocurrency markets
- Markets with alternating trending/sideways periods
- Short to medium-term trading
## Strategy Combination
### Multi-Strategy Architecture
The StrategyManager allows combining multiple strategies with configurable rules:
```json
{
"strategies": [
{
"name": "default",
"weight": 0.6,
"params": {"timeframe": "15min"}
},
{
"name": "bbrs",
"weight": 0.4,
"params": {"strategy_name": "MarketRegimeStrategy"}
}
],
"combination_rules": {
"entry": "weighted_consensus",
"exit": "any",
"min_confidence": 0.6
}
}
```
### Signal Combination Methods
**Entry Combinations**:
- **`any`**: Enter if ANY strategy signals entry
- **`all`**: Enter only if ALL strategies signal entry
- **`majority`**: Enter if majority of strategies signal entry
- **`weighted_consensus`**: Enter based on weighted confidence average
**Exit Combinations**:
- **`any`**: Exit if ANY strategy signals exit (recommended for risk management)
- **`all`**: Exit only if ALL strategies agree
- **`priority`**: Prioritized exit (STOP_LOSS > SELL_SIGNAL > others)
## Performance Characteristics
### Default Strategy Performance
**Strengths**:
- **Trend Accuracy**: High accuracy in strong trending markets
- **Risk Management**: Defined stop-losses with 1-minute precision
- **Low Noise**: Multiple Supertrend confirmation reduces false signals
- **Adaptable**: Works across different timeframes
**Weaknesses**:
- **Sideways Markets**: May generate false signals in ranging markets
- **Lag**: Multiple confirmations can delay entry/exit signals
- **Whipsaws**: Vulnerable to rapid trend reversals
**Optimal Conditions**:
- Clear trending markets
- Medium to low volatility trending
- Sufficient data history for Supertrend calculation
### BBRS Strategy Performance
**Strengths**:
- **Market Adaptation**: Automatically adjusts to market regime
- **Volume Confirmation**: Reduces false signals with volume analysis
- **Multi-Timeframe**: Internal analysis across multiple timeframes
- **Volatility Handling**: Designed for cryptocurrency volatility
**Weaknesses**:
- **Complexity**: More parameters to optimize
- **Market Noise**: Can be sensitive to short-term noise
- **Volume Dependency**: Requires reliable volume data
**Optimal Conditions**:
- High-volume cryptocurrency markets
- Markets with clear regime shifts
- Sufficient data for regime detection
## Usage Examples
### Single Strategy Backtests
```bash
# Default strategy on 15-minute timeframe
uv run .\main.py .\configs\config_default.json
# Default strategy on 5-minute timeframe
uv run .\main.py .\configs\config_default_5min.json
# BBRS strategy with market regime detection
uv run .\main.py .\configs\config_bbrs.json
```
### Multi-Strategy Backtests
```bash
# Combined strategies with weighted consensus
uv run .\main.py .\configs\config_combined.json
```
### Custom Configurations
**Aggressive Default Strategy**:
```json
{
"name": "default",
"params": {
"timeframe": "5min", // Faster signals
"stop_loss_pct": 0.02 // Tighter stop-loss
}
}
```
**Conservative BBRS Strategy**:
```json
{
"name": "bbrs",
"params": {
"bb_width": 0.03, // Tighter BB width
"stop_loss_pct": 0.07, // Wider stop-loss
"SqueezeStrategy": false // Disable squeeze for simplicity
}
}
```
## Development Guidelines
### Creating New Strategies
1. **Inherit from StrategyBase**:
```python
from cycles.strategies.base import StrategyBase, StrategySignal
class NewStrategy(StrategyBase):
def __init__(self, weight=1.0, params=None):
super().__init__("new_strategy", weight, params)
```
2. **Specify Timeframes**:
```python
def get_timeframes(self):
return ["1h"] # Specify required timeframes
```
3. **Implement Core Methods**:
```python
def initialize(self, backtester):
self._resample_data(backtester.original_df)
# Calculate indicators...
self.initialized = True
def get_entry_signal(self, backtester, df_index):
# Entry logic...
return StrategySignal("ENTRY", confidence=0.8)
def get_exit_signal(self, backtester, df_index):
# Exit logic...
return StrategySignal("EXIT", confidence=1.0)
```
4. **Register Strategy**:
```python
# In StrategyManager._load_strategies()
elif name == "new_strategy":
strategies.append(NewStrategy(weight, params))
```
### Timeframe Best Practices
1. **Minimize Timeframe Requirements**:
```python
def get_timeframes(self):
return ["15min"] # Only what's needed
```
2. **Include 1min for Stop-Loss**:
```python
def get_timeframes(self):
primary_tf = self.params.get("timeframe", "15min")
timeframes = [primary_tf]
if "1min" not in timeframes:
timeframes.append("1min")
return timeframes
```
3. **Handle Multi-Timeframe Synchronization**:
```python
def get_entry_signal(self, backtester, df_index):
# Get current timestamp from primary timeframe
primary_data = self.get_primary_timeframe_data()
current_time = primary_data.index[df_index]
# Map to other timeframes
hourly_data = self.get_data_for_timeframe("1h")
h1_idx = hourly_data.index.get_indexer([current_time], method='ffill')[0]
```
## Testing and Validation
### Strategy Testing Workflow
1. **Individual Strategy Testing**:
- Test each strategy independently
- Validate on different timeframes
- Check edge cases and data sufficiency
2. **Multi-Strategy Testing**:
- Test strategy combinations
- Validate combination rules
- Monitor for signal conflicts
3. **Timeframe Validation**:
- Ensure consistent behavior across timeframes
- Validate data alignment
- Check memory usage with large datasets
### Performance Monitoring
```python
# Get strategy summary
summary = strategy_manager.get_strategy_summary()
print(f"Strategies: {[s['name'] for s in summary['strategies']]}")
print(f"Timeframes: {summary['all_timeframes']}")
# Monitor individual strategy performance
for strategy in strategy_manager.strategies:
print(f"{strategy.name}: {strategy.get_timeframes()}")
```
## Advanced Topics
### Multi-Timeframe Strategy Development
For strategies requiring multiple timeframes:
```python
class MultiTimeframeStrategy(StrategyBase):
def get_timeframes(self):
return ["5min", "15min", "1h"]
def get_entry_signal(self, backtester, df_index):
# Analyze multiple timeframes
data_5m = self.get_data_for_timeframe("5min")
data_15m = self.get_data_for_timeframe("15min")
data_1h = self.get_data_for_timeframe("1h")
# Synchronize across timeframes
current_time = data_5m.index[df_index]
idx_15m = data_15m.index.get_indexer([current_time], method='ffill')[0]
idx_1h = data_1h.index.get_indexer([current_time], method='ffill')[0]
# Multi-timeframe logic
short_signal = self._analyze_5min(data_5m, df_index)
medium_signal = self._analyze_15min(data_15m, idx_15m)
long_signal = self._analyze_1h(data_1h, idx_1h)
# Combine signals with appropriate confidence
if short_signal and medium_signal and long_signal:
return StrategySignal("ENTRY", confidence=0.9)
elif short_signal and medium_signal:
return StrategySignal("ENTRY", confidence=0.7)
else:
return StrategySignal("HOLD", confidence=0.0)
```
### Strategy Optimization
1. **Parameter Optimization**: Systematic testing of strategy parameters
2. **Timeframe Optimization**: Finding optimal timeframes for each strategy
3. **Combination Optimization**: Optimizing weights and combination rules
4. **Market Regime Adaptation**: Adapting strategies to different market conditions
For detailed timeframe system documentation, see [Timeframe System](./timeframe_system.md).

390
docs/strategy_manager.md
View File

@@ -1,390 +0,0 @@
# Strategy Manager Documentation
## Overview
The Strategy Manager is a sophisticated orchestration system that enables the combination of multiple trading strategies with configurable signal aggregation rules. It supports multi-timeframe analysis, weighted consensus voting, and flexible signal combination methods.
## Architecture
### Core Components
1. **StrategyBase**: Abstract base class defining the strategy interface
2. **StrategySignal**: Encapsulates trading signals with confidence levels
3. **StrategyManager**: Orchestrates multiple strategies and combines signals
4. **Strategy Implementations**: DefaultStrategy, BBRSStrategy, etc.
### New Timeframe System
The framework now supports strategy-level timeframe management:
- **Strategy-Controlled Timeframes**: Each strategy specifies its required timeframes
- **Automatic Data Resampling**: Framework automatically resamples 1-minute data to strategy needs
- **Multi-Timeframe Support**: Strategies can use multiple timeframes simultaneously
- **Precision Stop-Loss**: All strategies maintain 1-minute data for precise execution
```python
class MyStrategy(StrategyBase):
def get_timeframes(self):
return ["15min", "1h"] # Strategy needs both timeframes
def initialize(self, backtester):
# Access resampled data
data_15m = self.get_data_for_timeframe("15min")
data_1h = self.get_data_for_timeframe("1h")
# Setup indicators...
```
## Strategy Interface
### StrategyBase Class
All strategies must inherit from `StrategyBase` and implement:
```python
from cycles.strategies.base import StrategyBase, StrategySignal
class MyStrategy(StrategyBase):
def get_timeframes(self) -> List[str]:
"""Specify required timeframes"""
return ["15min"]
def initialize(self, backtester) -> None:
"""Setup strategy with data"""
self._resample_data(backtester.original_df)
# Calculate indicators...
self.initialized = True
def get_entry_signal(self, backtester, df_index: int) -> StrategySignal:
"""Generate entry signals"""
if condition_met:
return StrategySignal("ENTRY", confidence=0.8)
return StrategySignal("HOLD", confidence=0.0)
def get_exit_signal(self, backtester, df_index: int) -> StrategySignal:
"""Generate exit signals"""
if exit_condition:
return StrategySignal("EXIT", confidence=1.0,
metadata={"type": "SELL_SIGNAL"})
return StrategySignal("HOLD", confidence=0.0)
```
### StrategySignal Class
Encapsulates trading signals with metadata:
```python
# Entry signal with high confidence
entry_signal = StrategySignal("ENTRY", confidence=0.9)
# Exit signal with specific price
exit_signal = StrategySignal("EXIT", confidence=1.0, price=50000,
metadata={"type": "STOP_LOSS"})
# Hold signal
hold_signal = StrategySignal("HOLD", confidence=0.0)
```
## Available Strategies
### 1. Default Strategy
Meta-trend analysis using multiple Supertrend indicators.
**Features:**
- Uses 3 Supertrend indicators with different parameters
- Configurable timeframe (default: 15min)
- Entry when all trends align upward
- Exit on trend reversal or stop-loss
**Configuration:**
```json
{
"name": "default",
"weight": 1.0,
"params": {
"timeframe": "15min",
"stop_loss_pct": 0.03
}
}
```
**Timeframes:**
- Primary: Configurable (default 15min)
- Stop-loss: Always includes 1min for precision
### 2. BBRS Strategy
Bollinger Bands + RSI with market regime detection.
**Features:**
- Market regime detection (trending vs sideways)
- Adaptive parameters based on market conditions
- Volume analysis and confirmation
- Multi-timeframe internal analysis (1min → 15min/1h)
**Configuration:**
```json
{
"name": "bbrs",
"weight": 1.0,
"params": {
"bb_width": 0.05,
"bb_period": 20,
"rsi_period": 14,
"strategy_name": "MarketRegimeStrategy",
"stop_loss_pct": 0.05
}
}
```
**Timeframes:**
- Input: 1min (Strategy class handles internal resampling)
- Internal: 15min, 1h (handled by underlying Strategy class)
- Output: Mapped back to 1min for backtesting
## Signal Combination
### Entry Signal Combination
```python
combination_rules = {
"entry": "weighted_consensus", # or "any", "all", "majority"
"min_confidence": 0.6
}
```
**Methods:**
- **`any`**: Enter if ANY strategy signals entry
- **`all`**: Enter only if ALL strategies signal entry
- **`majority`**: Enter if majority of strategies signal entry
- **`weighted_consensus`**: Enter based on weighted average confidence
### Exit Signal Combination
```python
combination_rules = {
"exit": "priority" # or "any", "all"
}
```
**Methods:**
- **`any`**: Exit if ANY strategy signals exit (recommended for risk management)
- **`all`**: Exit only if ALL strategies agree
- **`priority`**: Prioritized exit (STOP_LOSS > SELL_SIGNAL > others)
## Configuration
### Basic Strategy Manager Setup
```json
{
"strategies": [
{
"name": "default",
"weight": 0.6,
"params": {
"timeframe": "15min",
"stop_loss_pct": 0.03
}
},
{
"name": "bbrs",
"weight": 0.4,
"params": {
"bb_width": 0.05,
"strategy_name": "MarketRegimeStrategy"
}
}
],
"combination_rules": {
"entry": "weighted_consensus",
"exit": "any",
"min_confidence": 0.5
}
}
```
### Timeframe Examples
**Single Timeframe Strategy:**
```json
{
"name": "default",
"params": {
"timeframe": "5min" # Strategy works on 5-minute data
}
}
```
**Multi-Timeframe Strategy (Future Enhancement):**
```json
{
"name": "multi_tf_strategy",
"params": {
"timeframes": ["5min", "15min", "1h"], # Multiple timeframes
"primary_timeframe": "15min"
}
}
```
## Usage Examples
### Create Strategy Manager
```python
from cycles.strategies import create_strategy_manager
config = {
"strategies": [
{"name": "default", "weight": 1.0, "params": {"timeframe": "15min"}}
],
"combination_rules": {
"entry": "any",
"exit": "any"
}
}
strategy_manager = create_strategy_manager(config)
```
### Initialize and Use
```python
# Initialize with backtester
strategy_manager.initialize(backtester)
# Get signals during backtesting
entry_signal = strategy_manager.get_entry_signal(backtester, df_index)
exit_signal, exit_price = strategy_manager.get_exit_signal(backtester, df_index)
# Get strategy summary
summary = strategy_manager.get_strategy_summary()
print(f"Loaded strategies: {[s['name'] for s in summary['strategies']]}")
print(f"All timeframes: {summary['all_timeframes']}")
```
## Extending the System
### Adding New Strategies
1. **Create Strategy Class:**
```python
class NewStrategy(StrategyBase):
def get_timeframes(self):
return ["1h"] # Specify required timeframes
def initialize(self, backtester):
self._resample_data(backtester.original_df)
# Setup indicators...
self.initialized = True
def get_entry_signal(self, backtester, df_index):
# Implement entry logic
pass
def get_exit_signal(self, backtester, df_index):
# Implement exit logic
pass
```
2. **Register in StrategyManager:**
```python
# In StrategyManager._load_strategies()
elif name == "new_strategy":
strategies.append(NewStrategy(weight, params))
```
### Multi-Timeframe Strategy Development
For strategies requiring multiple timeframes:
```python
class MultiTimeframeStrategy(StrategyBase):
def get_timeframes(self):
return ["5min", "15min", "1h"]
def initialize(self, backtester):
self._resample_data(backtester.original_df)
# Access different timeframes
data_5m = self.get_data_for_timeframe("5min")
data_15m = self.get_data_for_timeframe("15min")
data_1h = self.get_data_for_timeframe("1h")
# Calculate indicators on each timeframe
# ...
def _calculate_signal_confidence(self, backtester, df_index):
# Analyze multiple timeframes for confidence
primary_signal = self._get_primary_signal(df_index)
confirmation = self._get_timeframe_confirmation(df_index)
return primary_signal * confirmation
```
## Performance Considerations
### Timeframe Management
- **Efficient Resampling**: Each strategy resamples data once during initialization
- **Memory Usage**: Only required timeframes are kept in memory
- **Signal Mapping**: Efficient mapping between timeframes using pandas reindex
### Strategy Combination
- **Lazy Evaluation**: Signals calculated only when needed
- **Error Handling**: Individual strategy failures don't crash the system
- **Logging**: Comprehensive logging for debugging and monitoring
## Best Practices
1. **Strategy Design:**
- Specify minimal required timeframes
- Include 1min for stop-loss precision
- Use confidence levels effectively
2. **Signal Combination:**
- Use `any` for exits (risk management)
- Use `weighted_consensus` for entries
- Set appropriate minimum confidence levels
3. **Error Handling:**
- Implement robust initialization checks
- Handle missing data gracefully
- Log strategy-specific warnings
4. **Testing:**
- Test strategies individually before combining
- Validate timeframe requirements
- Monitor memory usage with large datasets
## Troubleshooting
### Common Issues
1. **Timeframe Mismatches:**
- Ensure strategy specifies correct timeframes
- Check data availability for all timeframes
2. **Signal Conflicts:**
- Review combination rules
- Adjust confidence thresholds
- Monitor strategy weights
3. **Performance Issues:**
- Minimize timeframe requirements
- Optimize indicator calculations
- Use efficient pandas operations
### Debugging Tips
- Enable detailed logging: `logging.basicConfig(level=logging.DEBUG)`
- Use strategy summary: `manager.get_strategy_summary()`
- Test individual strategies before combining
- Monitor signal confidence levels
---
**Version**: 1.0.0
**Last Updated**: January 2025
**TCP Cycles Project**

488
docs/timeframe_system.md
View File

@@ -1,488 +0,0 @@
# Timeframe System Documentation
## Overview
The Cycles framework features a sophisticated timeframe management system that allows strategies to operate on their preferred timeframes while maintaining precise execution control. This system supports both single-timeframe and multi-timeframe strategies with automatic data resampling and intelligent signal mapping.
## Architecture
### Core Concepts
1. **Strategy-Controlled Timeframes**: Each strategy specifies its required timeframes
2. **Automatic Resampling**: Framework resamples 1-minute data to strategy needs
3. **Precision Execution**: All strategies maintain 1-minute data for accurate stop-loss execution
4. **Signal Mapping**: Intelligent mapping between different timeframe resolutions
### Data Flow
```
Original 1min Data
↓
Strategy.get_timeframes() → ["15min", "1h"]
↓
Automatic Resampling
↓
Strategy Logic (15min + 1h analysis)
↓
Signal Generation
↓
Map to Working Timeframe
↓
Backtesting Engine
```
## Strategy Timeframe Interface
### StrategyBase Methods
All strategies inherit timeframe capabilities from `StrategyBase`:
```python
class MyStrategy(StrategyBase):
def get_timeframes(self) -> List[str]:
"""Specify required timeframes for this strategy"""
return ["15min", "1h"] # Strategy needs both timeframes
def initialize(self, backtester) -> None:
# Automatic resampling happens here
self._resample_data(backtester.original_df)
# Access resampled data
data_15m = self.get_data_for_timeframe("15min")
data_1h = self.get_data_for_timeframe("1h")
# Calculate indicators on each timeframe
self.indicators_15m = self._calculate_indicators(data_15m)
self.indicators_1h = self._calculate_indicators(data_1h)
self.initialized = True
```
### Data Access Methods
```python
# Get data for specific timeframe
data_15m = strategy.get_data_for_timeframe("15min")
# Get primary timeframe data (first in list)
primary_data = strategy.get_primary_timeframe_data()
# Check available timeframes
timeframes = strategy.get_timeframes()
```
## Supported Timeframes
### Standard Timeframes
- **`"1min"`**: 1-minute bars (original resolution)
- **`"5min"`**: 5-minute bars
- **`"15min"`**: 15-minute bars
- **`"30min"`**: 30-minute bars
- **`"1h"`**: 1-hour bars
- **`"4h"`**: 4-hour bars
- **`"1d"`**: Daily bars
### Custom Timeframes
Any pandas-compatible frequency string is supported:
- **`"2min"`**: 2-minute bars
- **`"10min"`**: 10-minute bars
- **`"2h"`**: 2-hour bars
- **`"12h"`**: 12-hour bars
## Strategy Examples
### Single Timeframe Strategy
```python
class SingleTimeframeStrategy(StrategyBase):
def get_timeframes(self):
return ["15min"] # Only needs 15-minute data
def initialize(self, backtester):
self._resample_data(backtester.original_df)
# Work with 15-minute data
data = self.get_primary_timeframe_data()
self.indicators = self._calculate_indicators(data)
self.initialized = True
def get_entry_signal(self, backtester, df_index):
# df_index refers to 15-minute data
if self.indicators['signal'][df_index]:
return StrategySignal("ENTRY", confidence=0.8)
return StrategySignal("HOLD", confidence=0.0)
```
### Multi-Timeframe Strategy
```python
class MultiTimeframeStrategy(StrategyBase):
def get_timeframes(self):
return ["15min", "1h", "4h"] # Multiple timeframes
def initialize(self, backtester):
self._resample_data(backtester.original_df)
# Access different timeframes
self.data_15m = self.get_data_for_timeframe("15min")
self.data_1h = self.get_data_for_timeframe("1h")
self.data_4h = self.get_data_for_timeframe("4h")
# Calculate indicators on each timeframe
self.trend_4h = self._calculate_trend(self.data_4h)
self.momentum_1h = self._calculate_momentum(self.data_1h)
self.entry_signals_15m = self._calculate_entries(self.data_15m)
self.initialized = True
def get_entry_signal(self, backtester, df_index):
# Primary timeframe is 15min (first in list)
# Map df_index to other timeframes for confirmation
# Get current 15min timestamp
current_time = self.data_15m.index[df_index]
# Find corresponding indices in other timeframes
h1_idx = self.data_1h.index.get_indexer([current_time], method='ffill')[0]
h4_idx = self.data_4h.index.get_indexer([current_time], method='ffill')[0]
# Multi-timeframe confirmation
trend_ok = self.trend_4h[h4_idx] > 0
momentum_ok = self.momentum_1h[h1_idx] > 0.5
entry_signal = self.entry_signals_15m[df_index]
if trend_ok and momentum_ok and entry_signal:
confidence = 0.9 # High confidence with all timeframes aligned
return StrategySignal("ENTRY", confidence=confidence)
return StrategySignal("HOLD", confidence=0.0)
```
### Configurable Timeframe Strategy
```python
class ConfigurableStrategy(StrategyBase):
def get_timeframes(self):
# Strategy timeframe configurable via parameters
primary_tf = self.params.get("timeframe", "15min")
return [primary_tf, "1min"] # Primary + 1min for stop-loss
def initialize(self, backtester):
self._resample_data(backtester.original_df)
primary_tf = self.get_timeframes()[0]
self.data = self.get_data_for_timeframe(primary_tf)
# Indicator parameters can also be timeframe-dependent
if primary_tf == "5min":
self.ma_period = 20
elif primary_tf == "15min":
self.ma_period = 14
else:
self.ma_period = 10
self.indicators = self._calculate_indicators(self.data)
self.initialized = True
```
## Built-in Strategy Timeframe Behavior
### Default Strategy
**Timeframes**: Configurable primary + 1min for stop-loss
```python
# Configuration
{
"name": "default",
"params": {
"timeframe": "5min" # Configurable timeframe
}
}
# Resulting timeframes: ["5min", "1min"]
```
**Features**:
- Supertrend analysis on configured timeframe
- 1-minute precision for stop-loss execution
- Optimized for 15-minute default, but works on any timeframe
### BBRS Strategy
**Timeframes**: 1min input (internal resampling)
```python
# Configuration
{
"name": "bbrs",
"params": {
"strategy_name": "MarketRegimeStrategy"
}
}
# Resulting timeframes: ["1min"]
```
**Features**:
- Uses 1-minute data as input
- Internal resampling to 15min/1h by Strategy class
- Signals mapped back to 1-minute resolution
- No double-resampling issues
## Advanced Features
### Timeframe Synchronization
When working with multiple timeframes, synchronization is crucial:
```python
def _get_synchronized_signals(self, df_index, primary_timeframe="15min"):
"""Get signals synchronized across timeframes"""
# Get timestamp from primary timeframe
primary_data = self.get_data_for_timeframe(primary_timeframe)
current_time = primary_data.index[df_index]
signals = {}
for tf in self.get_timeframes():
if tf == primary_timeframe:
signals[tf] = df_index
else:
# Find corresponding index in other timeframe
tf_data = self.get_data_for_timeframe(tf)
tf_idx = tf_data.index.get_indexer([current_time], method='ffill')[0]
signals[tf] = tf_idx
return signals
```
### Dynamic Timeframe Selection
Strategies can adapt timeframes based on market conditions:
```python
class AdaptiveStrategy(StrategyBase):
def get_timeframes(self):
# Fixed set of timeframes strategy might need
return ["5min", "15min", "1h"]
def _select_active_timeframe(self, market_volatility):
"""Select timeframe based on market conditions"""
if market_volatility > 0.8:
return "5min" # High volatility -> shorter timeframe
elif market_volatility > 0.4:
return "15min" # Medium volatility -> medium timeframe
else:
return "1h" # Low volatility -> longer timeframe
def get_entry_signal(self, backtester, df_index):
# Calculate market volatility
volatility = self._calculate_volatility(df_index)
# Select appropriate timeframe
active_tf = self._select_active_timeframe(volatility)
# Generate signal on selected timeframe
return self._generate_signal_for_timeframe(active_tf, df_index)
```
## Configuration Examples
### Single Timeframe Configuration
```json
{
"strategies": [
{
"name": "default",
"weight": 1.0,
"params": {
"timeframe": "15min",
"stop_loss_pct": 0.03
}
}
]
}
```
### Multi-Timeframe Configuration
```json
{
"strategies": [
{
"name": "multi_timeframe_strategy",
"weight": 1.0,
"params": {
"primary_timeframe": "15min",
"confirmation_timeframes": ["1h", "4h"],
"signal_timeframe": "5min"
}
}
]
}
```
### Mixed Strategy Configuration
```json
{
"strategies": [
{
"name": "default",
"weight": 0.6,
"params": {
"timeframe": "15min"
}
},
{
"name": "bbrs",
"weight": 0.4,
"params": {
"strategy_name": "MarketRegimeStrategy"
}
}
]
}
```
## Performance Considerations
### Memory Usage
- Only required timeframes are resampled and stored
- Original 1-minute data shared across all strategies
- Efficient pandas resampling with minimal memory overhead
### Processing Speed
- Resampling happens once during initialization
- No repeated resampling during backtesting
- Vectorized operations on pre-computed timeframes
### Data Alignment
- All timeframes aligned to original 1-minute timestamps
- Forward-fill resampling ensures data availability
- Intelligent handling of missing data points
## Best Practices
### 1. Minimize Timeframe Requirements
```python
# Good - minimal timeframes
def get_timeframes(self):
return ["15min"]
# Less optimal - unnecessary timeframes
def get_timeframes(self):
return ["1min", "5min", "15min", "1h", "4h", "1d"]
```
### 2. Use Appropriate Timeframes for Strategy Logic
```python
# Good - timeframe matches strategy logic
class TrendStrategy(StrategyBase):
def get_timeframes(self):
return ["1h"] # Trend analysis works well on hourly data
class ScalpingStrategy(StrategyBase):
def get_timeframes(self):
return ["1min", "5min"] # Scalping needs fine-grained data
```
### 3. Include 1min for Stop-Loss Precision
```python
def get_timeframes(self):
primary_tf = self.params.get("timeframe", "15min")
timeframes = [primary_tf]
# Always include 1min for precise stop-loss
if "1min" not in timeframes:
timeframes.append("1min")
return timeframes
```
### 4. Handle Timeframe Edge Cases
```python
def get_entry_signal(self, backtester, df_index):
# Check bounds for all timeframes
if df_index >= len(self.get_primary_timeframe_data()):
return StrategySignal("HOLD", confidence=0.0)
# Robust timeframe indexing
try:
signal = self._calculate_signal(df_index)
return signal
except IndexError:
return StrategySignal("HOLD", confidence=0.0)
```
## Troubleshooting
### Common Issues
1. **Index Out of Bounds**
```python
# Problem: Different timeframes have different lengths
# Solution: Always check bounds
if df_index < len(self.data_1h):
signal = self.data_1h[df_index]
```
2. **Timeframe Misalignment**
```python
# Problem: Assuming same index across timeframes
# Solution: Use timestamp-based alignment
current_time = primary_data.index[df_index]
h1_idx = hourly_data.index.get_indexer([current_time], method='ffill')[0]
```
3. **Memory Issues with Large Datasets**
```python
# Solution: Only include necessary timeframes
def get_timeframes(self):
# Return minimal set
return ["15min"] # Not ["1min", "5min", "15min", "1h"]
```
### Debugging Tips
```python
# Log timeframe information
def initialize(self, backtester):
self._resample_data(backtester.original_df)
for tf in self.get_timeframes():
data = self.get_data_for_timeframe(tf)
print(f"Timeframe {tf}: {len(data)} bars, "
f"from {data.index[0]} to {data.index[-1]}")
self.initialized = True
```
## Future Enhancements
### Planned Features
1. **Dynamic Timeframe Switching**: Strategies adapt timeframes based on market conditions
2. **Timeframe Confidence Weighting**: Different confidence levels per timeframe
3. **Cross-Timeframe Signal Validation**: Automatic signal confirmation across timeframes
4. **Optimized Memory Management**: Lazy loading and caching for large datasets
### Extension Points
The timeframe system is designed for easy extension:
- Custom resampling methods
- Alternative timeframe synchronization strategies
- Market-specific timeframe preferences
- Real-time timeframe adaptation

442
main.py
View File

@@ -10,10 +10,6 @@ import json
from cycles.utils.storage import Storage from cycles.utils.storage import Storage
from cycles.utils.system import SystemUtils from cycles.utils.system import SystemUtils
from cycles.backtest import Backtest from cycles.backtest import Backtest
from cycles.Analysis.supertrend import Supertrends
from cycles.charts import BacktestCharts
from cycles.Analysis.strategies import Strategy
from cycles.strategies import StrategyManager, create_strategy_manager
logging.basicConfig( logging.basicConfig(
level=logging.INFO, level=logging.INFO,
@@ -24,302 +20,21 @@ logging.basicConfig(
] ]
) )
def default_init_strategy(backtester: Backtest): def process_timeframe_data(min1_df, df, stop_loss_pcts, rule_name, initial_usd, debug=False):
"""Calculate meta trend """Process the entire timeframe with all stop loss values (no monthly split)"""
""" df = df.copy().reset_index(drop=True)
supertrends = Supertrends(backtester.df, verbose=False)
supertrend_results_list = supertrends.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)
backtester.strategies["meta_trend"] = meta_trend
def bbrs_init_strategy(backtester: Backtest):
"""BBRs entry strategy initialization - just setup basic structure"""
# Initialize empty strategies
backtester.strategies["buy_signals"] = pd.Series(False, index=range(len(backtester.df)))
backtester.strategies["sell_signals"] = pd.Series(False, index=range(len(backtester.df)))
return backtester
def run_bbrs_strategy_processing(backtester: Backtest, original_df):
"""Run the actual strategy processing after backtest is initialized"""
config_strategy = {
"bb_width": 0.05,
"bb_period": 20,
"rsi_period": 14,
"trending": {
"rsi_threshold": [30, 70],
"bb_std_dev_multiplier": 2.5,
},
"sideways": {
"rsi_threshold": [40, 60],
"bb_std_dev_multiplier": 1.8,
},
"strategy_name": "MarketRegimeStrategy", # "MarketRegimeStrategy", # CryptoTradingStrategy
"SqueezeStrategy": True
}
strategy = Strategy(config=config_strategy, logging=logging)
processed_data = strategy.run(original_df, config_strategy["strategy_name"])
print(f"processed_data: {processed_data.head()}")
# Store processed data for plotting
backtester.processed_data = processed_data
if processed_data.empty:
# If strategy processing failed, create empty signals aligned with backtest DataFrame
buy_condition = pd.Series(False, index=range(len(backtester.df)))
sell_condition = pd.Series(False, index=range(len(backtester.df)))
else:
# Get original signals from processed data
buy_signals_raw = processed_data.get('BuySignal', pd.Series(False, index=processed_data.index)).astype(bool)
sell_signals_raw = processed_data.get('SellSignal', pd.Series(False, index=processed_data.index)).astype(bool)
# Get the DatetimeIndex from the original 1-minute data
original_datetime_index = original_df.index
# Reindex signals from 15-minute to 1-minute resolution using forward-fill
# This maps each 15-minute signal to the corresponding 1-minute timestamps
buy_signals_1min = buy_signals_raw.reindex(original_datetime_index, method='ffill').fillna(False)
sell_signals_1min = sell_signals_raw.reindex(original_datetime_index, method='ffill').fillna(False)
# Convert to integer index to match backtest DataFrame
buy_condition = pd.Series(buy_signals_1min.values, index=range(len(buy_signals_1min)))
sell_condition = pd.Series(sell_signals_1min.values, index=range(len(sell_signals_1min)))
# Ensure same length as backtest DataFrame (should be same now, but safety check)
if len(buy_condition) != len(backtester.df):
target_length = len(backtester.df)
if len(buy_condition) > target_length:
buy_condition = buy_condition[:target_length]
sell_condition = sell_condition[:target_length]
else:
# Pad with False if shorter
buy_values = buy_condition.values
sell_values = sell_condition.values
buy_values = np.pad(buy_values, (0, target_length - len(buy_values)), constant_values=False)
sell_values = np.pad(sell_values, (0, target_length - len(sell_values)), constant_values=False)
buy_condition = pd.Series(buy_values, index=range(target_length))
sell_condition = pd.Series(sell_values, index=range(target_length))
backtester.strategies["buy_signals"] = buy_condition
backtester.strategies["sell_signals"] = sell_condition
# backtester.strategies["buy_signals"] = sell_condition
# backtester.strategies["sell_signals"] = buy_condition
print(f"buy_signals length: {len(backtester.strategies['buy_signals'])}, backtest df length: {len(backtester.df)}")
def bbrs_entry_strategy(backtester: Backtest, df_index):
"""BBRs entry strategy
Entry when buy signal is true
"""
return backtester.strategies["buy_signals"].iloc[df_index]
def bbrs_exit_strategy(backtester: Backtest, df_index):
"""BBRs exit strategy
Exit when sell signal is true or stop loss is triggered
"""
if backtester.strategies["sell_signals"].iloc[df_index]:
return "SELL_SIGNAL", backtester.df.iloc[df_index]['close']
# Check for stop loss using BBRs-specific stop loss strategy
stop_loss_result, sell_price = bbrs_stop_loss_strategy(backtester)
if stop_loss_result:
backtester.strategies["current_trade_min1_start_idx"] = \
backtester.current_trade_min1_start_idx
return "STOP_LOSS", sell_price
return None, None
def bbrs_stop_loss_strategy(backtester: Backtest):
"""BBRs stop loss strategy
Calculate stop loss price based on 5% loss
Find the first min1 candle that is below the stop loss price
If the stop loss price is below the open price, use the open price as the stop loss price
"""
# Use 5% stop loss as requested
stop_loss_pct = 0.05
stop_price = backtester.entry_price * (1 - stop_loss_pct)
# Use the original min1 dataframe that has datetime index
min1_df = backtester.original_df if hasattr(backtester, 'original_df') else backtester.min1_df
min1_index = min1_df.index
# Find candles from entry time to current time
start_candidates = min1_index[min1_index >= backtester.entry_time]
if len(start_candidates) == 0:
return False, None
backtester.current_trade_min1_start_idx = start_candidates[0]
end_candidates = min1_index[min1_index <= backtester.current_date]
if len(end_candidates) == 0:
print("Warning: no end candidate here. Need to be checked")
return False, None
backtester.current_min1_end_idx = end_candidates[-1]
# Get the slice of data between entry and current time
min1_slice = min1_df.loc[backtester.current_trade_min1_start_idx:backtester.current_min1_end_idx]
# Check if any candle's low price hits the stop loss
if (min1_slice['low'] <= stop_price).any():
stop_candle = min1_slice[min1_slice['low'] <= stop_price].iloc[0]
# If the candle opened below stop price, use open price; otherwise use stop price
if stop_candle['open'] < stop_price:
sell_price = stop_candle['open']
else:
sell_price = stop_price
return True, sell_price
return False, None
def default_entry_strategy(backtester: Backtest, df_index):
"""Entry strategy
Entry when meta trend is 1
"""
return backtester.strategies["meta_trend"][df_index - 1] != 1 and backtester.strategies["meta_trend"][df_index] == 1
def stop_loss_strategy(backtester: Backtest):
"""Stop loss strategy
Calculate stop loss price
Find the first min1 candle that is below the stop loss price
If the stop loss price is below the open price, use the open price as the stop loss price
"""
stop_price = backtester.entry_price * (1 - backtester.strategies["stop_loss_pct"])
min1_index = backtester.min1_df.index
start_candidates = min1_index[min1_index >= backtester.entry_time]
backtester.current_trade_min1_start_idx = start_candidates[0]
end_candidates = min1_index[min1_index <= backtester.current_date]
if len(end_candidates) == 0:
print("Warning: no end candidate here. Need to be checked")
return False, None
backtester.current_min1_end_idx = end_candidates[-1]
min1_slice = backtester.min1_df.loc[backtester.current_trade_min1_start_idx:backtester.current_min1_end_idx]
# print(f"lowest low in that range: {min1_slice['low'].min()}, count: {len(min1_slice)}")
# print(f"slice start: {min1_slice.index[0]}, slice end: {min1_slice.index[-1]}")
if (min1_slice['low'] <= stop_price).any():
stop_candle = min1_slice[min1_slice['low'] <= stop_price].iloc[0]
if stop_candle['open'] < stop_price:
sell_price = stop_candle['open']
else:
sell_price = stop_price
return True, sell_price
return False, None
def default_exit_strategy(backtester: Backtest, df_index):
if backtester.strategies["meta_trend"][df_index - 1] != 1 and \
backtester.strategies["meta_trend"][df_index] == -1:
return "META_TREND_EXIT_SIGNAL", None
stop_loss_result, sell_price = stop_loss_strategy(backtester)
if stop_loss_result:
backtester.strategies["current_trade_min1_start_idx"] = \
backtester.min1_df.index[backtester.min1_df.index <= backtester.current_date][-1]
return "STOP_LOSS", sell_price
return None, None
def strategy_manager_init(backtester: Backtest):
"""Strategy Manager initialization function"""
# This will be called by Backtest.__init__, but actual initialization
# happens in strategy_manager.initialize()
pass
def strategy_manager_entry(backtester: Backtest, df_index: int):
"""Strategy Manager entry function"""
return backtester.strategy_manager.get_entry_signal(backtester, df_index)
def strategy_manager_exit(backtester: Backtest, df_index: int):
"""Strategy Manager exit function"""
return backtester.strategy_manager.get_exit_signal(backtester, df_index)
def process_timeframe_data(min1_df, df, stop_loss_pcts, rule_name, initial_usd, strategy_config=None, debug=False):
"""Process the entire timeframe with all stop loss values using Strategy Manager"""
results_rows = [] results_rows = []
trade_rows = [] trade_rows = []
for stop_loss_pct in stop_loss_pcts: for stop_loss_pct in stop_loss_pcts:
# Create and initialize strategy manager results = Backtest.run(
if strategy_config: min1_df,
# Use provided strategy configuration df,
strategy_manager = create_strategy_manager(strategy_config) initial_usd=initial_usd,
else: stop_loss_pct=stop_loss_pct,
# Default to single default strategy for backward compatibility debug=debug
default_strategy_config = {
"strategies": [
{
"name": "default",
"weight": 1.0,
"params": {"stop_loss_pct": stop_loss_pct}
}
],
"combination_rules": {
"entry": "any",
"exit": "any",
"min_confidence": 0.5
}
}
strategy_manager = create_strategy_manager(default_strategy_config)
# Inject stop_loss_pct into all strategy params if not present
for strategy in strategy_manager.strategies:
if "stop_loss_pct" not in strategy.params:
strategy.params["stop_loss_pct"] = stop_loss_pct
# Get the primary timeframe from the first strategy for backtester setup
primary_strategy = strategy_manager.strategies[0]
primary_timeframe = primary_strategy.get_timeframes()[0]
# For BBRS strategy, it works with 1-minute data directly and handles internal resampling
# For other strategies, use their preferred timeframe
if primary_strategy.name == "bbrs":
# BBRS strategy processes 1-minute data and outputs signals on its internal timeframes
# Use 1-minute data for backtester working dataframe
working_df = min1_df.copy()
else:
# Other strategies specify their preferred timeframe
# Create backtester working data from the primary strategy's primary timeframe
temp_backtester = type('temp', (), {})()
temp_backtester.original_df = min1_df
# Let the primary strategy resample the data to get the working dataframe
primary_strategy._resample_data(min1_df)
working_df = primary_strategy.get_primary_timeframe_data()
# Prepare working dataframe for backtester (ensure timestamp column)
working_df_for_backtest = working_df.copy().reset_index()
if 'index' in working_df_for_backtest.columns:
working_df_for_backtest = working_df_for_backtest.rename(columns={'index': 'timestamp'})
# Initialize backtest with strategy manager initialization
backtester = Backtest(initial_usd, working_df_for_backtest, working_df_for_backtest, strategy_manager_init)
# Store original min1_df for strategy processing
backtester.original_df = min1_df
# Attach strategy manager to backtester and initialize
backtester.strategy_manager = strategy_manager
strategy_manager.initialize(backtester)
# Run backtest with strategy manager functions
results = backtester.run(
strategy_manager_entry,
strategy_manager_exit,
debug
) )
n_trades = results["n_trades"] n_trades = results["n_trades"]
trades = results.get('trades', []) trades = results.get('trades', [])
wins = [1 for t in trades if t['exit'] is not None and t['exit'] > t['entry']] wins = [1 for t in trades if t['exit'] is not None and t['exit'] > t['entry']]
@@ -335,11 +50,9 @@ def process_timeframe_data(min1_df, df, stop_loss_pcts, rule_name, initial_usd,
for trade in trades: for trade in trades:
cumulative_profit += trade['profit_pct'] cumulative_profit += trade['profit_pct']
if cumulative_profit > peak: if cumulative_profit > peak:
peak = cumulative_profit peak = cumulative_profit
drawdown = peak - cumulative_profit drawdown = peak - cumulative_profit
if drawdown > max_drawdown: if drawdown > max_drawdown:
max_drawdown = drawdown max_drawdown = drawdown
@@ -348,14 +61,13 @@ def process_timeframe_data(min1_df, df, stop_loss_pcts, rule_name, initial_usd,
for trade in trades: for trade in trades:
final_usd *= (1 + trade['profit_pct']) final_usd *= (1 + trade['profit_pct'])
total_fees_usd = sum(trade.get('fee_usd', 0.0) for trade in trades) total_fees_usd = sum(trade['fee_usd'] for trade in trades)
# Update row to include timeframe information
row = { row = {
"timeframe": f"{rule_name}({primary_timeframe})", # Show actual timeframe used "timeframe": rule_name,
"stop_loss_pct": stop_loss_pct, "stop_loss_pct": stop_loss_pct,
"n_trades": n_trades, "n_trades": n_trades,
"n_stop_loss": sum(1 for trade in trades if 'type' in trade and trade['type'] == 'STOP_LOSS'), "n_stop_loss": sum(1 for trade in trades if 'type' in trade and trade['type'] == 'STOP'),
"win_rate": win_rate, "win_rate": win_rate,
"max_drawdown": max_drawdown, "max_drawdown": max_drawdown,
"avg_trade": avg_trade, "avg_trade": avg_trade,
@@ -370,7 +82,7 @@ def process_timeframe_data(min1_df, df, stop_loss_pcts, rule_name, initial_usd,
for trade in trades: for trade in trades:
trade_rows.append({ trade_rows.append({
"timeframe": f"{rule_name}({primary_timeframe})", "timeframe": rule_name,
"stop_loss_pct": stop_loss_pct, "stop_loss_pct": stop_loss_pct,
"entry_time": trade.get("entry_time"), "entry_time": trade.get("entry_time"),
"exit_time": trade.get("exit_time"), "exit_time": trade.get("exit_time"),
@@ -381,47 +93,62 @@ def process_timeframe_data(min1_df, df, stop_loss_pcts, rule_name, initial_usd,
"fee_usd": trade.get("fee_usd"), "fee_usd": trade.get("fee_usd"),
}) })
# Log strategy summary logging.info(f"Timeframe: {rule_name}, Stop Loss: {stop_loss_pct}, Trades: {n_trades}")
strategy_summary = strategy_manager.get_strategy_summary()
logging.info(f"Timeframe: {rule_name}({primary_timeframe}), Stop Loss: {stop_loss_pct}, "
f"Trades: {n_trades}, Strategies: {[s['name'] for s in strategy_summary['strategies']]}")
if debug: if debug:
# Plot after each backtest run for trade in trades:
try: if trade['type'] == 'STOP':
# Check if any strategy has processed_data for universal plotting print(trade)
processed_data = None for trade in trades:
for strategy in strategy_manager.strategies: if trade['profit_pct'] < -0.09: # or whatever is close to -0.10
if hasattr(backtester, 'processed_data') and backtester.processed_data is not None: print("Large loss trade:", trade)
processed_data = backtester.processed_data
break
if processed_data is not None and not processed_data.empty:
# Format strategy data with actual executed trades for universal plotting
formatted_data = BacktestCharts.format_strategy_data_with_trades(processed_data, results)
# Plot using universal function
BacktestCharts.plot_data(formatted_data)
else:
# Fallback to meta_trend plot if available
if "meta_trend" in backtester.strategies:
meta_trend = backtester.strategies["meta_trend"]
# Use the working dataframe for plotting
BacktestCharts.plot(working_df, meta_trend)
else:
print("No plotting data available")
except Exception as e:
print(f"Plotting failed: {e}")
return results_rows, trade_rows return results_rows, trade_rows
def process(timeframe_info, debug=False): def process(timeframe_info, debug=False):
"""Process a single (timeframe, stop_loss_pct) combination with strategy config""" from cycles.utils.storage import Storage # import inside function for safety
rule, data_1min, stop_loss_pct, initial_usd, strategy_config = timeframe_info storage = Storage(logging=None) # or pass a logger if you want, but None is safest for multiprocessing
rule, data_1min, stop_loss_pct, initial_usd = timeframe_info
if rule == "1T" or rule == "1min":
df = data_1min.copy()
else:
df = data_1min.resample(rule).agg({
'open': 'first',
'high': 'max',
'low': 'min',
'close': 'last',
'volume': 'sum'
}).dropna()
df = df.reset_index()
results_rows, all_trade_rows = process_timeframe_data(data_1min, df, [stop_loss_pct], rule, initial_usd, debug=debug)
if all_trade_rows:
trades_fieldnames = ["entry_time", "exit_time", "entry_price", "exit_price", "profit_pct", "type", "fee_usd"]
# Prepare header
summary_fields = ["timeframe", "stop_loss_pct", "n_trades", "n_stop_loss", "win_rate", "max_drawdown", "avg_trade", "profit_ratio", "final_usd"]
summary_row = results_rows[0]
header_line = "\t".join(summary_fields) + "\n"
value_line = "\t".join(str(summary_row.get(f, "")) for f in summary_fields) + "\n"
# File name
tf = summary_row["timeframe"]
sl = summary_row["stop_loss_pct"]
sl_percent = int(round(sl * 100))
trades_filename = os.path.join(storage.results_dir, f"trades_{tf}_ST{sl_percent}pct.csv")
# Write header
with open(trades_filename, "w") as f:
f.write(header_line)
f.write(value_line)
# Now write trades (append mode, skip header)
with open(trades_filename, "a", newline="") as f:
import csv
writer = csv.DictWriter(f, fieldnames=trades_fieldnames)
writer.writeheader()
for trade in all_trade_rows:
writer.writerow({k: trade.get(k, "") for k in trades_fieldnames})
# Pass the original 1-minute data - strategies will handle their own timeframe resampling
results_rows, all_trade_rows = process_timeframe_data(
data_1min, data_1min, [stop_loss_pct], rule, initial_usd, strategy_config, debug=debug
)
return results_rows, all_trade_rows return results_rows, all_trade_rows
def aggregate_results(all_rows): def aggregate_results(all_rows):
@@ -435,7 +162,6 @@ def aggregate_results(all_rows):
summary_rows = [] summary_rows = []
for (rule, stop_loss_pct), rows in grouped.items(): for (rule, stop_loss_pct), rows in grouped.items():
n_months = len(rows)
total_trades = sum(r['n_trades'] for r in rows) total_trades = sum(r['n_trades'] for r in rows)
total_stop_loss = sum(r['n_stop_loss'] for r in rows) total_stop_loss = sum(r['n_stop_loss'] for r in rows)
avg_win_rate = np.mean([r['win_rate'] for r in rows]) avg_win_rate = np.mean([r['win_rate'] for r in rows])
@@ -472,7 +198,7 @@ def get_nearest_price(df, target_date):
return nearest_time, price return nearest_time, price
if __name__ == "__main__": if __name__ == "__main__":
debug = True debug = False
parser = argparse.ArgumentParser(description="Run backtest with config file.") parser = argparse.ArgumentParser(description="Run backtest with config file.")
parser.add_argument("config", type=str, nargs="?", help="Path to config JSON file.") parser.add_argument("config", type=str, nargs="?", help="Path to config JSON file.")
@@ -480,29 +206,17 @@ if __name__ == "__main__":
# Default values (from config.json) # Default values (from config.json)
default_config = { default_config = {
"start_date": "2025-03-01", "start_date": "2025-05-01",
"stop_date": datetime.datetime.today().strftime('%Y-%m-%d'), "stop_date": datetime.datetime.today().strftime('%Y-%m-%d'),
"initial_usd": 10000, "initial_usd": 10000,
"timeframes": ["15min"], "timeframes": ["1D", "6h", "3h", "1h", "30m", "15m", "5m", "1m"],
"stop_loss_pcts": [0.03], "stop_loss_pcts": [0.01, 0.02, 0.03, 0.05],
"strategies": [
{
"name": "default",
"weight": 1.0,
"params": {}
}
],
"combination_rules": {
"entry": "any",
"exit": "any",
"min_confidence": 0.5
}
} }
if args.config: if args.config:
with open(args.config, 'r') as f: with open(args.config, 'r') as f:
config = json.load(f) config = json.load(f)
elif not debug: else:
print("No config file provided. Please enter the following values (press Enter to use default):") print("No config file provided. Please enter the following values (press Enter to use default):")
start_date = input(f"Start date [{default_config['start_date']}]: ") or default_config['start_date'] start_date = input(f"Start date [{default_config['start_date']}]: ") or default_config['start_date']
@@ -523,24 +237,15 @@ if __name__ == "__main__":
'initial_usd': initial_usd, 'initial_usd': initial_usd,
'timeframes': timeframes, 'timeframes': timeframes,
'stop_loss_pcts': stop_loss_pcts, 'stop_loss_pcts': stop_loss_pcts,
'strategies': default_config['strategies'],
'combination_rules': default_config['combination_rules']
} }
else:
config = default_config
# Use config values
start_date = config['start_date'] start_date = config['start_date']
stop_date = config['stop_date'] stop_date = config['stop_date']
initial_usd = config['initial_usd'] initial_usd = config['initial_usd']
timeframes = config['timeframes'] timeframes = config['timeframes']
stop_loss_pcts = config['stop_loss_pcts'] stop_loss_pcts = config['stop_loss_pcts']
# Extract strategy configuration
strategy_config = {
"strategies": config.get('strategies', default_config['strategies']),
"combination_rules": config.get('combination_rules', default_config['combination_rules'])
}
timestamp = datetime.datetime.now().strftime("%Y_%m_%d_%H_%M") timestamp = datetime.datetime.now().strftime("%Y_%m_%d_%H_%M")
storage = Storage(logging=logging) storage = Storage(logging=logging)
@@ -557,24 +262,24 @@ if __name__ == "__main__":
f"Initial USD\t{initial_usd}" f"Initial USD\t{initial_usd}"
] ]
# Create tasks for each (timeframe, stop_loss_pct) combination
tasks = [ tasks = [
(name, data_1min, stop_loss_pct, initial_usd, strategy_config) (name, data_1min, stop_loss_pct, initial_usd)
for name in timeframes for name in timeframes
for stop_loss_pct in stop_loss_pcts for stop_loss_pct in stop_loss_pcts
] ]
workers = system_utils.get_optimal_workers()
if debug: if debug:
all_results_rows = [] all_results_rows = []
all_trade_rows = [] all_trade_rows = []
for task in tasks: for task in tasks:
results, trades = process(task, debug) results, trades = process(task, debug)
if results or trades: if results or trades:
all_results_rows.extend(results) all_results_rows.extend(results)
all_trade_rows.extend(trades) all_trade_rows.extend(trades)
else: else:
workers = system_utils.get_optimal_workers()
with concurrent.futures.ProcessPoolExecutor(max_workers=workers) as executor: with concurrent.futures.ProcessPoolExecutor(max_workers=workers) as executor:
futures = {executor.submit(process, task, debug): task for task in tasks} futures = {executor.submit(process, task, debug): task for task in tasks}
all_results_rows = [] all_results_rows = []
@@ -594,7 +299,4 @@ if __name__ == "__main__":
] ]
storage.write_backtest_results(backtest_filename, backtest_fieldnames, all_results_rows, metadata_lines) storage.write_backtest_results(backtest_filename, backtest_fieldnames, all_results_rows, metadata_lines)
trades_fieldnames = ["entry_time", "exit_time", "entry_price", "exit_price", "profit_pct", "type", "fee_usd"]
storage.write_trades(all_trade_rows, trades_fieldnames)

183
test_bbrsi.py
View File

@@ -2,10 +2,11 @@ import logging
import seaborn as sns import seaborn as sns
import matplotlib.pyplot as plt import matplotlib.pyplot as plt
import pandas as pd import pandas as pd
import datetime
from cycles.utils.storage import Storage from cycles.utils.storage import Storage
from cycles.Analysis.strategies import Strategy from cycles.utils.data_utils import aggregate_to_daily
from cycles.Analysis.boillinger_band import BollingerBands
from cycles.Analysis.rsi import RSI
logging.basicConfig( logging.basicConfig(
level=logging.INFO, level=logging.INFO,
@@ -16,145 +17,115 @@ logging.basicConfig(
] ]
) )
config = { config_minute = {
"start_date": "2025-03-01", "start_date": "2022-01-01",
"stop_date": datetime.datetime.today().strftime('%Y-%m-%d'), "stop_date": "2023-01-01",
"data_file": "btcusd_1-min_data.csv" "data_file": "btcusd_1-min_data.csv"
} }
config_strategy = { config_day = {
"bb_width": 0.05, "start_date": "2022-01-01",
"bb_period": 20, "stop_date": "2023-01-01",
"rsi_period": 14, "data_file": "btcusd_1-day_data.csv"
"trending": {
"rsi_threshold": [30, 70],
"bb_std_dev_multiplier": 2.5,
},
"sideways": {
"rsi_threshold": [40, 60],
"bb_std_dev_multiplier": 1.8,
},
"strategy_name": "MarketRegimeStrategy", # CryptoTradingStrategy
"SqueezeStrategy": True
} }
IS_DAY = False 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__": if __name__ == "__main__":
# Load data
storage = Storage(logging=logging) 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"]) data = storage.load_data(config["data_file"], config["start_date"], config["stop_date"])
# Run strategy if not IS_DAY:
strategy = Strategy(config=config_strategy, logging=logging) data_daily = aggregate_to_daily(data)
processed_data = strategy.run(data.copy(), config_strategy["strategy_name"]) storage.save_data(data, "btcusd_1-day_data.csv")
df_to_plot = data_daily
else:
df_to_plot = data
# Get buy and sell signals bb = BollingerBands(period=30, std_dev_multiplier=2.0)
buy_condition = processed_data.get('BuySignal', pd.Series(False, index=processed_data.index)).astype(bool) data_bb = bb.calculate(df_to_plot.copy())
sell_condition = processed_data.get('SellSignal', pd.Series(False, index=processed_data.index)).astype(bool)
buy_signals = processed_data[buy_condition] rsi_calculator = RSI(period=13)
sell_signals = processed_data[sell_condition] data_with_rsi = rsi_calculator.calculate(df_to_plot.copy(), price_column='close')
# Plot the data with seaborn library # Combine BB and RSI data into a single DataFrame for signal generation
if processed_data is not None and not processed_data.empty: # 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 # Create a figure with two subplots, sharing the x-axis
fig, (ax1, ax2, ax3) = plt.subplots(3, 1, figsize=(16, 8), sharex=True) fig, (ax1, ax2) = plt.subplots(2, 1, figsize=(16, 8), sharex=True)
strategy_name = config_strategy["strategy_name"]
# Plot 1: Close Price and Strategy-Specific Bands/Levels
sns.lineplot(x=processed_data.index, y='close', data=processed_data, label='Close Price', ax=ax1)
# Use standardized column names for bands
if 'UpperBand' in processed_data.columns and 'LowerBand' in processed_data.columns:
# Instead of lines, shade the area between upper and lower bands
ax1.fill_between(processed_data.index,
processed_data['LowerBand'],
processed_data['UpperBand'],
alpha=0.1, color='blue', label='Bollinger Bands')
else:
logging.warning(f"{strategy_name}: UpperBand or LowerBand not found for plotting.")
# Add strategy-specific extra indicators if available
if strategy_name == "CryptoTradingStrategy":
if 'StopLoss' in processed_data.columns:
sns.lineplot(x=processed_data.index, y='StopLoss', data=processed_data, label='Stop Loss', ax=ax1, linestyle='--', color='orange')
if 'TakeProfit' in processed_data.columns:
sns.lineplot(x=processed_data.index, y='TakeProfit', data=processed_data, label='Take Profit', ax=ax1, linestyle='--', color='purple')
# 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 # Plot Buy/Sell signals on Price chart
if not buy_signals.empty: if not buy_signals.empty:
ax1.scatter(buy_signals.index, buy_signals['close'], color='green', marker='o', s=20, label='Buy Signal', zorder=5) ax1.scatter(buy_signals.index, buy_signals['close'], color='green', marker='o', s=20, label='Buy Signal', zorder=5)
if not sell_signals.empty: 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.scatter(sell_signals.index, sell_signals['close'], color='red', marker='o', s=20, label='Sell Signal', zorder=5)
ax1.set_title(f'Price and Signals ({strategy_name})') ax1.set_title('Price and Bollinger Bands with Signals')
ax1.set_ylabel('Price') ax1.set_ylabel('Price')
ax1.legend() ax1.legend()
ax1.grid(True) ax1.grid(True)
# Plot 2: RSI and Strategy-Specific Thresholds # Plot 2: RSI
if 'RSI' in processed_data.columns: if 'RSI' in data_bb.columns: # Check data_bb now as it should contain RSI
sns.lineplot(x=processed_data.index, y='RSI', data=processed_data, label=f'RSI (' + str(config_strategy.get("rsi_period", 14)) + ')', ax=ax2, color='purple') sns.lineplot(x=data_bb.index, y='RSI', data=data_bb, label='RSI (14)', ax=ax2, color='purple')
if strategy_name == "MarketRegimeStrategy": ax2.axhline(75, color='red', linestyle='--', linewidth=0.8, label='Overbought (75)')
# Get threshold values ax2.axhline(25, color='green', linestyle='--', linewidth=0.8, label='Oversold (25)')
upper_threshold = config_strategy.get("trending", {}).get("rsi_threshold", [30,70])[1]
lower_threshold = config_strategy.get("trending", {}).get("rsi_threshold", [30,70])[0]
# Shade overbought area (upper)
ax2.fill_between(processed_data.index, upper_threshold, 100,
alpha=0.1, color='red', label=f'Overbought (>{upper_threshold})')
# Shade oversold area (lower)
ax2.fill_between(processed_data.index, 0, lower_threshold,
alpha=0.1, color='green', label=f'Oversold (<{lower_threshold})')
elif strategy_name == "CryptoTradingStrategy":
# Shade overbought area (upper)
ax2.fill_between(processed_data.index, 65, 100,
alpha=0.1, color='red', label='Overbought (>65)')
# Shade oversold area (lower)
ax2.fill_between(processed_data.index, 0, 35,
alpha=0.1, color='green', label='Oversold (<35)')
# Plot Buy/Sell signals on RSI chart # Plot Buy/Sell signals on RSI chart
if not buy_signals.empty and 'RSI' in buy_signals.columns: 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) 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 and 'RSI' in sell_signals.columns: 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.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_title('Relative Strength Index (RSI) with Signals')
ax2.set_ylabel('RSI Value') ax2.set_ylabel('RSI Value')
ax2.set_ylim(0, 100) ax2.set_ylim(0, 100) # RSI is typically bounded between 0 and 100
ax2.legend() ax2.legend()
ax2.grid(True) ax2.grid(True)
else: else:
logging.info("RSI data not available for plotting.") logging.info("RSI data not available for plotting.")
# Plot 3: Strategy-Specific Indicators plt.xlabel('Date') # Common X-axis label
ax3.clear() # Clear previous plot content if any fig.tight_layout() # Adjust layout to prevent overlapping titles/labels
if 'BBWidth' in processed_data.columns:
sns.lineplot(x=processed_data.index, y='BBWidth', data=processed_data, label='BB Width', ax=ax3)
if strategy_name == "MarketRegimeStrategy":
if 'MarketRegime' in processed_data.columns:
sns.lineplot(x=processed_data.index, y='MarketRegime', data=processed_data, label='Market Regime (Sideways: 1, Trending: 0)', ax=ax3)
ax3.set_title('Bollinger Bands Width & Market Regime')
ax3.set_ylabel('Value')
elif strategy_name == "CryptoTradingStrategy":
if 'VolumeMA' in processed_data.columns:
sns.lineplot(x=processed_data.index, y='VolumeMA', data=processed_data, label='Volume MA', ax=ax3)
if 'volume' in processed_data.columns:
sns.lineplot(x=processed_data.index, y='volume', data=processed_data, label='Volume', ax=ax3, alpha=0.5)
ax3.set_title('Volume Analysis')
ax3.set_ylabel('Volume')
ax3.legend()
ax3.grid(True)
plt.xlabel('Date')
fig.tight_layout()
plt.show() plt.show()
else: else:
logging.info("No data to plot.") logging.info("No data to plot.")