30 Commits

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
Simon Moisy
2fd73085b8 Refactor backtest logic for improved index retrieval
- Updated the method for determining the start index of the current trade to directly use the DataFrame index, enhancing clarity and performance.
- Removed the deprecated get_current_min1_end_idx method to streamline the codebase.
2025-05-21 17:06:16 +08:00
Simon Moisy
806697116d Refactor backtesting logic and introduce new components
- Replaced TrendDetectorSimple with a new Backtest class for improved backtesting functionality.
- Integrated argparse for configuration file input, allowing dynamic parameter setting.
- Added MarketFees and Supertrends classes to handle fee calculations and trend detection, respectively.
- Removed deprecated main_debug.py and trend_detector_simple.py files to streamline the codebase.
- Enhanced process_timeframe_data to utilize the new Backtest class for executing trades and calculating results.
- Updated Storage class to support writing backtest results with metadata.
2025-05-21 17:03:34 +08:00
Simon Moisy
14905017c8 Add total fees calculation to storage results
- Included total_fees_usd in the results dictionary of the Storage class to enhance fee tracking in the output.
- removed plots from TrendDetectorSimple
2025-05-21 15:35:12 +08:00
Simon Moisy
ec1a86e098 Fixing last merge 2025-05-21 15:14:00 +08:00
Simon Moisy
0a919f825e Merge branch 'main' of ssh://dep.sokaris.link:2222/Simon/Cycles 2025-05-21 15:06:56 +08:00
Simon Moisy
c2886a2aab Enhance trading logic and fee calculations in main.py and trend_detector_simple.py
- Added total fees calculation to process_timeframe_data and aggregate_results functions in main.py.
- Updated trade logging in TrendDetectorSimple to include transaction fees in USD.
- Introduced calculate_okx_fee function for consistent fee calculations based on maker/taker status.
- Adjusted backtesting logic to account for fees when buying and selling, ensuring accurate profit calculations.
- Expanded stop loss percentages and timeframes for broader analysis in main.py.
2025-05-21 14:54:44 +08:00
Ajasra
10cc047975 Merge branch 'main' with resolved conflicts 2025-05-20 18:44:24 +08:00
Ajasra
955a340d02 docs 2025-05-20 18:40:16 +08:00
Ajasra
07b9824b69 docs 2025-05-20 18:36:59 +08:00
Ajasra
369b3c1daf added seaborn to plot ( a bit simpler and more features than matplotlib) 2025-05-20 18:29:12 +08:00
Ajasra
08c871e05a Boilinger Band and RSI implementation 2025-05-20 18:28:53 +08:00
Ajasra
837c505828 Refactor 2025-05-20 16:59:17 +08:00
Ajasra
1cdfe3973a Uv package manager 2025-05-20 16:22:11 +08:00
Simon Moisy
8ff86339d6 Add taxes functionality and refactor trading logic
- Introduced Taxes class in taxes.py to calculate and apply taxes on profits in backtest results.
- Updated main.py to include tax calculations in the results processing flow.
- Refactored trade logging in TrendDetectorSimple to account for transaction fees and ensure accurate profit calculations.
- Added a utility script (apply_taxes_to_file.py) for applying taxes to existing CSV files.
- Adjusted date range and timeframe settings in main.py for broader analysis.
2025-05-20 16:14:40 +08:00
Simon Moisy
7f788a4d4e Update .gitignore to include JSON files for version control, ensuring proper handling of data formats in the project. 2025-05-19 18:04:24 +08:00
Simon Moisy
0eb7fc77f9 Enhance data loading in main.py to support both CSV and JSON formats, improving flexibility for input data. Update date filtering and logging for better traceability. Refactor trade collection logic to ensure all trades are captured and written to separate CSV files by timeframe and stop loss percentage. Adjusted main execution parameters for broader timeframe analysis. 2025-05-19 17:35:17 +08:00
Simon Moisy
170751db0e Implement Google Sheets integration in main.py for batch updates of backtest results
- Added GSheetBatchPusher class to handle background updates to Google Sheets.
- Refactored write_results_per_combination function to write results directly to Google Sheets instead of CSV files.
- Updated process_timeframe function to handle single stop loss percentages.
- Introduced a global queue for batching results and trades for efficient updates.
- Enhanced error handling for Google Sheets API quota limits.
- Adjusted main execution flow to start the batch pusher and ensure all results are pushed after processing.
2025-05-19 02:02:03 +08:00
Simon Moisy
f7f0fc6dd5 Cleanup 2025-05-17 14:48:30 +08:00
Simon Moisy
e4ded694b1 Update .gitignore to exclude PNG files from version control 2025-05-17 14:48:13 +08:00
Simon Moisy
fa12bcb61a Update .gitignore to exclude CSV files from version control 2025-05-17 14:47:51 +08:00
Simon Moisy
125d4f7d52 Add BacktestCharts class for visualizing backtest results and update main.py for enhanced data processing
- Introduced BacktestCharts class in charts.py to plot profit ratio vs stop loss and average trade vs stop loss for different timeframes.
- Updated main.py to integrate new charting functionality and streamline data processing without monthly splits.
- Enhanced backtesting logic in TrendDetectorSimple to include transaction costs and improved stop loss handling using 1-minute data for accuracy.
- Added functionality to write results to individual CSV files for better organization and analysis.
2025-05-17 13:07:40 +08:00
Simon Moisy
ec8b1a7cf2 Enhance main.py with optimized data loading, logging setup, and concurrent processing for backtesting. Introduce new functions for data handling and results aggregation. Update TrendDetectorSimple to support meta supertrend backtesting and improve SuperTrend calculations with caching and parallel execution. Refactor TrendDetectorMACD for better performance in trend detection. 2025-05-16 02:44:22 +08:00
Simon Moisy
7c4db08b1b Refactor main.py to remove commented-out cycle detection code and streamline trend plotting. Update TrendDetectorSimple by eliminating unnecessary logging statements for improved clarity during trend detection. 2025-05-09 15:24:10 +08:00
Simon Moisy
f316571a3c Update date filtering in main.py and enhance TrendDetectorSimple with SuperTrend calculations and improved plotting functionality. Introduce color configurations for better visualization and streamline trend analysis methods. 2025-05-09 15:17:30 +08:00
Simon Moisy
c7732881c5 Refactor TrendDetectorSimple by removing redundant method definitions for trend detection and plotting, streamlining the code for better readability. 2025-05-09 12:27:40 +08:00
Simon Moisy
b0ffedc6af Update .gitignore to include additional files and modify README header 2025-05-09 12:26:42 +08:00
Simon Moisy
e9bfcd03eb Refactor cycle detection and trend analysis; enhance trend detection with linear regression and moving averages. Update main script for improved data handling and visualization. 2025-05-09 12:26:42 +08:00
28 changed files with 2600 additions and 754 deletions

9
.gitignore vendored
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# ---> Python
*.json
*.csv
*.png
# Byte-compiled / optimized / DLL files
__pycache__/
*.py[cod]
@@ -168,3 +171,9 @@ cython_debug/
# option (not recommended) you can uncomment the following to ignore the entire idea folder.
#.idea/
An introduction to trading cycles.pdf
An introduction to trading cycles.txt
README.md
.vscode/launch.json
data/btcusd_1-day_data.csv
data/btcusd_1-min_data.csv

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.python-version Normal file
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3.10

44
Dockerfile Normal file
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# Use the base image with CUDA and PyTorch
FROM kom4cr0/cuda11.7-pytorch1.13-mamba1.1.1:1.1.1
# Install NVIDIA Container Toolkit (necessary for GPU support)
RUN apt-get update && apt-get install -y \
nvidia-container-runtime \
python3 \
python3-pip \
&& rm -rf /var/lib/apt/lists/*
# Install necessary dependencies and configure NVIDIA repository
RUN apt-get update && apt-get install -y \
curl \
gnupg \
lsb-release \
sudo \
&& curl -fsSL https://nvidia.github.io/libnvidia-container/gpgkey | gpg --dearmor -o /usr/share/keyrings/nvidia-container-toolkit-keyring.gpg \
&& curl -s -L https://nvidia.github.io/libnvidia-container/stable/deb/nvidia-container-toolkit.list | \
sed 's#deb https://#deb [signed-by=/usr/share/keyrings/nvidia-container-toolkit-keyring.gpg] https://#g' | \
tee /etc/apt/sources.list.d/nvidia-container-toolkit.list \
&& sed -i -e '/experimental/ s/^#//g' /etc/apt/sources.list.d/nvidia-container-toolkit.list \
&& apt-get update
# Install NVIDIA Container Toolkit
RUN apt-get install -y nvidia-container-toolkit
# Set the environment variables for CUDA
ENV PATH=/usr/local/cuda-11.7/bin:$PATH
ENV LD_LIBRARY_PATH=/usr/local/cuda-11.7/lib64:$LD_LIBRARY_PATH
# Set the runtime for GPU (requires NVIDIA runtime to be installed on the host machine)
ENV NVIDIA_VISIBLE_DEVICES=all
ENV NVIDIA_DRIVER_CAPABILITIES=compute,utility
# Set working directory to /projects
WORKDIR /project
# Install necessary Python dependencies
# Uncomment and modify the next lines as per your project requirements
COPY requirements.txt requirements.txt
RUN pip3 install -r requirements.txt
# Run your Python script
CMD ["python3", "main.py"]

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# Cycles
# Cycles

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import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
from scipy.signal import argrelextrema
class CycleDetector:
def __init__(self, data, timeframe='daily'):
"""
Initialize the CycleDetector with price data.
Parameters:
- data: DataFrame with at least 'date' or 'datetime' and 'close' columns
- timeframe: 'daily', 'weekly', or 'monthly'
"""
self.data = data.copy()
self.timeframe = timeframe
# Ensure we have a consistent date column name
if 'datetime' in self.data.columns and 'date' not in self.data.columns:
self.data.rename(columns={'datetime': 'date'}, inplace=True)
# Convert data to specified timeframe if needed
if timeframe == 'weekly' and 'date' in self.data.columns:
self.data = self._convert_data(self.data, 'W')
elif timeframe == 'monthly' and 'date' in self.data.columns:
self.data = self._convert_data(self.data, 'M')
# Add columns for local minima and maxima detection
self._add_swing_points()
def _convert_data(self, data, timeframe):
"""Convert daily data to 'timeframe' timeframe."""
data['date'] = pd.to_datetime(data['date'])
data.set_index('date', inplace=True)
weekly = data.resample(timeframe).agg({
'open': 'first',
'high': 'max',
'low': 'min',
'close': 'last',
'volume': 'sum'
})
return weekly.reset_index()
def _add_swing_points(self, window=5):
"""
Identify swing points (local minima and maxima).
Parameters:
- window: The window size for local minima/maxima detection
"""
# Set the index to make calculations easier
if 'date' in self.data.columns:
self.data.set_index('date', inplace=True)
# Detect local minima (swing lows)
min_idx = argrelextrema(self.data['low'].values, np.less, order=window)[0]
self.data['swing_low'] = False
self.data.iloc[min_idx, self.data.columns.get_loc('swing_low')] = True
# Detect local maxima (swing highs)
max_idx = argrelextrema(self.data['high'].values, np.greater, order=window)[0]
self.data['swing_high'] = False
self.data.iloc[max_idx, self.data.columns.get_loc('swing_high')] = True
# Reset index
self.data.reset_index(inplace=True)
def find_cycle_lows(self):
"""Find all swing lows which represent cycle lows."""
swing_low_dates = self.data[self.data['swing_low']]['date'].values
return swing_low_dates
def calculate_cycle_lengths(self):
"""Calculate the lengths of each cycle between consecutive lows."""
swing_low_indices = np.where(self.data['swing_low'])[0]
cycle_lengths = np.diff(swing_low_indices)
return cycle_lengths
def get_average_cycle_length(self):
"""Calculate the average cycle length."""
cycle_lengths = self.calculate_cycle_lengths()
if len(cycle_lengths) > 0:
return np.mean(cycle_lengths)
return None
def get_cycle_window(self, tolerance=0.10):
"""
Get the cycle window with the specified tolerance.
Parameters:
- tolerance: The tolerance as a percentage (default: 10%)
Returns:
- tuple: (min_cycle_length, avg_cycle_length, max_cycle_length)
"""
avg_length = self.get_average_cycle_length()
if avg_length is not None:
min_length = avg_length * (1 - tolerance)
max_length = avg_length * (1 + tolerance)
return (min_length, avg_length, max_length)
return None
def detect_two_drives_pattern(self, lookback=10):
"""
Detect 2-drives pattern: a swing low, counter trend bounce, and a lower low.
Parameters:
- lookback: Number of periods to look back
Returns:
- list: Indices where 2-drives patterns are detected
"""
patterns = []
for i in range(lookback, len(self.data) - 1):
if not self.data.iloc[i]['swing_low']:
continue
# Get the segment of data to check for pattern
segment = self.data.iloc[i-lookback:i+1]
swing_lows = segment[segment['swing_low']]['low'].values
if len(swing_lows) >= 2 and swing_lows[-1] < swing_lows[-2]:
# Check if there was a bounce between the two lows
between_lows = segment.iloc[-len(swing_lows):-1]
if len(between_lows) > 0 and max(between_lows['high']) > swing_lows[-2]:
patterns.append(i)
return patterns
def detect_v_shaped_lows(self, window=5, threshold=0.02):
"""
Detect V-shaped cycle lows (sharp decline followed by sharp rise).
Parameters:
- window: Window to look for sharp price changes
- threshold: Percentage change threshold to consider 'sharp'
Returns:
- list: Indices where V-shaped patterns are detected
"""
patterns = []
# Find all swing lows
swing_low_indices = np.where(self.data['swing_low'])[0]
for idx in swing_low_indices:
# Need enough data points before and after
if idx < window or idx + window >= len(self.data):
continue
# Get the low price at this swing low
low_price = self.data.iloc[idx]['low']
# Check for sharp decline before low (at least window bars before)
before_segment = self.data.iloc[max(0, idx-window):idx]
if len(before_segment) > 0:
max_before = before_segment['high'].max()
decline = (max_before - low_price) / max_before
# Check for sharp rise after low (at least window bars after)
after_segment = self.data.iloc[idx+1:min(len(self.data), idx+window+1)]
if len(after_segment) > 0:
max_after = after_segment['high'].max()
rise = (max_after - low_price) / low_price
# Both decline and rise must exceed threshold to be considered V-shaped
if decline > threshold and rise > threshold:
patterns.append(idx)
return patterns
def plot_cycles(self, pattern_detection=None, title_suffix=''):
"""
Plot the price data with cycle lows and detected patterns.
Parameters:
- pattern_detection: 'two_drives', 'v_shape', or None
- title_suffix: Optional suffix for the plot title
"""
plt.figure(figsize=(14, 7))
# Determine the date column name (could be 'date' or 'datetime')
date_col = 'date' if 'date' in self.data.columns else 'datetime'
# Plot price data
plt.plot(self.data[date_col], self.data['close'], label='Close Price')
# Calculate a consistent vertical position for indicators based on price range
price_range = self.data['close'].max() - self.data['close'].min()
indicator_offset = price_range * 0.01 # 1% of price range
# Plot cycle lows (now at a fixed offset below the low price)
swing_lows = self.data[self.data['swing_low']]
plt.scatter(swing_lows[date_col], swing_lows['low'] - indicator_offset,
color='green', marker='^', s=100, label='Cycle Lows')
# Plot specific patterns if requested
if 'two_drives' in pattern_detection:
pattern_indices = self.detect_two_drives_pattern()
if pattern_indices:
patterns = self.data.iloc[pattern_indices]
plt.scatter(patterns[date_col], patterns['low'] - indicator_offset * 2,
color='red', marker='o', s=150, label='Two Drives Pattern')
elif 'v_shape' in pattern_detection:
pattern_indices = self.detect_v_shaped_lows()
if pattern_indices:
patterns = self.data.iloc[pattern_indices]
plt.scatter(patterns[date_col], patterns['low'] - indicator_offset * 2,
color='purple', marker='o', s=150, label='V-Shape Pattern')
# Add cycle lengths and averages
cycle_lengths = self.calculate_cycle_lengths()
avg_cycle = self.get_average_cycle_length()
cycle_window = self.get_cycle_window()
window_text = ""
if cycle_window:
window_text = f"Tolerance Window: [{cycle_window[0]:.2f} - {cycle_window[2]:.2f}]"
plt.title(f"Detected Cycles - {self.timeframe.capitalize()} Timeframe {title_suffix}\n"
f"Average Cycle Length: {avg_cycle:.2f} periods, {window_text}")
plt.legend()
plt.grid(True)
plt.show()
# Usage example:
# 1. Load your data
# data = pd.read_csv('your_price_data.csv')
# 2. Create cycle detector instances for different timeframes
# weekly_detector = CycleDetector(data, timeframe='weekly')
# daily_detector = CycleDetector(data, timeframe='daily')
# 3. Analyze cycles
# weekly_cycle_length = weekly_detector.get_average_cycle_length()
# daily_cycle_length = daily_detector.get_average_cycle_length()
# 4. Detect patterns
# two_drives = weekly_detector.detect_two_drives_pattern()
# v_shapes = daily_detector.detect_v_shaped_lows()
# 5. Visualize
# weekly_detector.plot_cycles(pattern_detection='two_drives')
# daily_detector.plot_cycles(pattern_detection='v_shape')

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

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

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cycles/__init__.py Normal file
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cycles/backtest.py Normal file
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import pandas as pd
import numpy as np
import time
from cycles.supertrend import Supertrends
from cycles.market_fees import MarketFees
class Backtest:
@staticmethod
def run(min1_df, df, initial_usd, stop_loss_pct, debug=False):
"""
Backtest a simple strategy using the meta supertrend (all three supertrends agree).
Buys when meta supertrend is positive, sells when negative, applies a percentage stop loss.
Parameters:
- min1_df: pandas DataFrame, 1-minute timeframe data for more accurate stop loss checking (optional)
- initial_usd: float, starting USD amount
- stop_loss_pct: float, stop loss as a fraction (e.g. 0.05 for 5%)
- debug: bool, whether to print debug info
"""
_df = df.copy().reset_index(drop=True)
_df['timestamp'] = pd.to_datetime(_df['timestamp'])
supertrends = Supertrends(_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)
# 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
position = 0 # 0 = no position, 1 = long
entry_price = 0
usd = initial_usd
coin = 0
trade_log = []
max_balance = initial_usd
drawdowns = []
trades = []
entry_time = None
current_trade_min1_start_idx = None
min1_df.index = pd.to_datetime(min1_df.index)
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
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)
print("\rProgress: 100%\r\n", end="", flush=True)
# If still in position at end, sell at last close
if position == 1:
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
final_balance = usd
n_trades = len(trade_log)
wins = [1 for t in trade_log if t['exit'] is not None and t['exit'] > t['entry']]
win_rate = len(wins) / n_trades if n_trades > 0 else 0
max_drawdown = max(drawdowns) if drawdowns else 0
avg_trade = np.mean([t['exit']/t['entry']-1 for t in trade_log if t['exit'] is not None]) if trade_log else 0
trades = []
total_fees_usd = 0.0
for trade in trade_log:
if trade['exit'] is not None:
profit_pct = (trade['exit'] - trade['entry']) / trade['entry']
else:
profit_pct = 0.0
trades.append({
'entry_time': trade['entry_time'],
'exit_time': trade['exit_time'],
'entry': trade['entry'],
'exit': trade['exit'],
'profit_pct': profit_pct,
'type': trade.get('type', 'SELL'),
'fee_usd': trade.get('fee_usd')
})
fee_usd = trade.get('fee_usd')
total_fees_usd += fee_usd
results = {
"initial_usd": initial_usd,
"final_usd": final_balance,
"n_trades": n_trades,
"win_rate": win_rate,
"max_drawdown": max_drawdown,
"avg_trade": avg_trade,
"trade_log": trade_log,
"trades": trades,
"total_fees_usd": total_fees_usd,
}
if n_trades > 0:
results["first_trade"] = {
"entry_time": trade_log[0]['entry_time'],
"entry": trade_log[0]['entry']
}
results["last_trade"] = {
"exit_time": trade_log[-1]['exit_time'],
"exit": trade_log[-1]['exit']
}
return results
@staticmethod
def check_stop_loss(min1_df, entry_time, date, entry_price, stop_loss_pct, coin, usd, debug, current_trade_min1_start_idx):
stop_price = entry_price * (1 - stop_loss_pct)
if current_trade_min1_start_idx is None:
current_trade_min1_start_idx = min1_df.index[min1_df.index >= entry_time][0]
current_min1_end_idx = min1_df.index[min1_df.index <= date][-1]
# Check all 1-minute candles in between for stop loss
min1_slice = min1_df.loc[current_trade_min1_start_idx:current_min1_end_idx]
if (min1_slice['low'] <= stop_price).any():
# Stop loss triggered, find the exact candle
stop_candle = min1_slice[min1_slice['low'] <= stop_price].iloc[0]
# More realistic fill: if open < stop, fill at open, else at stop
if stop_candle['open'] < stop_price:
sell_price = stop_candle['open']
else:
sell_price = stop_price
if debug:
print(f"STOP LOSS triggered: entry={entry_price}, stop={stop_price}, sell_price={sell_price}, entry_time={entry_time}, stop_time={stop_candle.name}")
btc_to_sell = coin
usd_gross = btc_to_sell * sell_price
exit_fee = 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 = {
'type': 'BUY',
'entry': entry_price,
'exit': None,
'entry_time': entry_time,
'exit_time': None,
'fee_usd': entry_fee
}
return coin, entry_price, entry_time, usd, position, trade_log_entry
@staticmethod
def handle_exit(coin, price_open, entry_price, entry_time, date):
btc_to_sell = coin
usd_gross = btc_to_sell * price_open
exit_fee = MarketFees.calculate_okx_taker_maker_fee(usd_gross, is_maker=False)
usd = usd_gross - exit_fee
trade_log_entry = {
'type': 'SELL',
'entry': entry_price,
'exit': price_open,
'entry_time': entry_time,
'exit_time': date,
'fee_usd': exit_fee
}
coin = 0
position = 0
entry_price = 0
return usd, coin, position, entry_price, trade_log_entry

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import os
import matplotlib.pyplot as plt
class BacktestCharts:
def __init__(self, charts_dir="charts"):
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"):
"""
Plots profit ratio vs stop loss percentage for each timeframe.
Parameters:
- results: list of dicts, each with keys: 'timeframe', 'stop_loss_pct', 'profit_ratio'
- filename: output filename (will be saved in charts_dir)
"""
# Organize data by timeframe
from collections import defaultdict
data = defaultdict(lambda: {"stop_loss_pct": [], "profit_ratio": []})
for row in results:
tf = row["timeframe"]
data[tf]["stop_loss_pct"].append(row["stop_loss_pct"])
data[tf]["profit_ratio"].append(row["profit_ratio"])
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["profit_ratio"]))
stop_loss, profit_ratio = zip(*sorted_pairs)
plt.plot(
[s * 100 for s in stop_loss], # Convert to percent
profit_ratio,
marker="o",
label=tf
)
plt.xlabel("Stop Loss (%)")
plt.ylabel("Profit Ratio")
plt.title("Profit Ratio 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()
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()

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

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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

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

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

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cycles/utils/storage.py Normal file
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import os
import json
import pandas as pd
import csv
from collections import defaultdict
RESULTS_DIR = "results"
DATA_DIR = "data"
class Storage:
"""Storage class for storing and loading results and data"""
def __init__(self, logging=None, results_dir=RESULTS_DIR, data_dir=DATA_DIR):
self.results_dir = results_dir
self.data_dir = data_dir
self.logging = logging
# Create directories if they don't exist
os.makedirs(self.results_dir, exist_ok=True)
os.makedirs(self.data_dir, exist_ok=True)
def load_data(self, file_path, start_date, stop_date):
"""Load data with optimized dtypes and filtering, supporting CSV and JSON input
Args:
file_path: path to the data file
start_date: start date
stop_date: stop date
Returns:
pandas DataFrame
"""
# Determine file type
_, ext = os.path.splitext(file_path)
ext = ext.lower()
try:
if ext == ".json":
with open(os.path.join(self.data_dir, file_path), 'r') as f:
raw = json.load(f)
data = pd.DataFrame(raw["Data"])
# Convert columns to lowercase
data.columns = data.columns.str.lower()
# Convert timestamp to datetime
data["timestamp"] = pd.to_datetime(data["timestamp"], unit="s")
# Filter by date range
data = data[(data["timestamp"] >= start_date) & (data["timestamp"] <= stop_date)]
if self.logging is not None:
self.logging.info(f"Data loaded from {file_path} for date range {start_date} to {stop_date}")
return data.set_index("timestamp")
else:
# Define optimized dtypes
dtypes = {
'Open': 'float32',
'High': 'float32',
'Low': 'float32',
'Close': 'float32',
'Volume': 'float32'
}
# Read data with original capitalized column names
data = pd.read_csv(os.path.join(self.data_dir, file_path), dtype=dtypes)
# Convert timestamp to datetime
if 'Timestamp' in data.columns:
data['Timestamp'] = pd.to_datetime(data['Timestamp'], unit='s')
# Filter by date range
data = data[(data['Timestamp'] >= start_date) & (data['Timestamp'] <= stop_date)]
# Now convert column names to lowercase
data.columns = data.columns.str.lower()
if self.logging is not None:
self.logging.info(f"Data loaded from {file_path} for date range {start_date} to {stop_date}")
return data.set_index('timestamp')
else: # Attempt to use the first column if 'Timestamp' is not present
data.rename(columns={data.columns[0]: 'timestamp'}, inplace=True)
data['timestamp'] = pd.to_datetime(data['timestamp'], unit='s')
data = data[(data['timestamp'] >= start_date) & (data['timestamp'] <= stop_date)]
data.columns = data.columns.str.lower() # Ensure all other columns are lower
if self.logging is not None:
self.logging.info(f"Data loaded from {file_path} (using first column as timestamp) for date range {start_date} to {stop_date}")
return data.set_index('timestamp')
except Exception as e:
if self.logging is not None:
self.logging.error(f"Error loading data from {file_path}: {e}")
# Return an empty DataFrame with a DatetimeIndex
return pd.DataFrame(index=pd.to_datetime([]))
def save_data(self, data: pd.DataFrame, file_path: str):
"""Save processed data to a CSV file.
If the DataFrame has a DatetimeIndex, it's converted to float Unix timestamps
(seconds since epoch) before saving. The index is saved as a column named 'timestamp'.
Args:
data (pd.DataFrame): data to save.
file_path (str): path to the data file relative to the data_dir.
"""
data_to_save = data.copy()
if isinstance(data_to_save.index, pd.DatetimeIndex):
# Convert DatetimeIndex to Unix timestamp (float seconds since epoch)
# and make it a column named 'timestamp'.
data_to_save['timestamp'] = data_to_save.index.astype('int64') / 1e9
# Reset index so 'timestamp' column is saved and old DatetimeIndex is not saved as a column.
# We want the 'timestamp' column to be the first one.
data_to_save.reset_index(drop=True, inplace=True)
# Ensure 'timestamp' is the first column if other columns exist
if 'timestamp' in data_to_save.columns and len(data_to_save.columns) > 1:
cols = ['timestamp'] + [col for col in data_to_save.columns if col != 'timestamp']
data_to_save = data_to_save[cols]
elif pd.api.types.is_numeric_dtype(data_to_save.index.dtype):
# If index is already numeric (e.g. float Unix timestamps from a previous save/load cycle),
# make it a column named 'timestamp'.
data_to_save['timestamp'] = data_to_save.index
data_to_save.reset_index(drop=True, inplace=True)
if 'timestamp' in data_to_save.columns and len(data_to_save.columns) > 1:
cols = ['timestamp'] + [col for col in data_to_save.columns if col != 'timestamp']
data_to_save = data_to_save[cols]
else:
# For other index types, or if no index that we want to specifically handle,
# save with the current index. pandas to_csv will handle it.
# This branch might be removed if we strictly expect either DatetimeIndex or a numeric one from previous save.
pass # data_to_save remains as is, to_csv will write its index if index=True
# Save to CSV, ensuring the 'timestamp' column (if created) is written, and not the DataFrame's active index.
full_path = os.path.join(self.data_dir, file_path)
data_to_save.to_csv(full_path, index=False) # index=False because timestamp is now a column
if self.logging is not None:
self.logging.info(f"Data saved to {full_path} with Unix timestamp column.")
def format_row(self, row):
"""Format a row for a combined results CSV file
Args:
row: row to format
Returns:
formatted row
"""
return {
"timeframe": row["timeframe"],
"stop_loss_pct": f"{row['stop_loss_pct']*100:.2f}%",
"n_trades": row["n_trades"],
"n_stop_loss": row["n_stop_loss"],
"win_rate": f"{row['win_rate']*100:.2f}%",
"max_drawdown": f"{row['max_drawdown']*100:.2f}%",
"avg_trade": f"{row['avg_trade']*100:.2f}%",
"profit_ratio": f"{row['profit_ratio']*100:.2f}%",
"final_usd": f"{row['final_usd']:.2f}",
"total_fees_usd": f"{row['total_fees_usd']:.2f}",
}
def write_results_chunk(self, filename, fieldnames, rows, write_header=False, initial_usd=None):
"""Write a chunk of results to a CSV file
Args:
filename: filename to write to
fieldnames: list of fieldnames
rows: list of rows
write_header: whether to write the header
initial_usd: initial USD
"""
mode = 'w' if write_header else 'a'
with open(filename, mode, newline="") as csvfile:
writer = csv.DictWriter(csvfile, fieldnames=fieldnames)
if write_header:
csvfile.write(f"# initial_usd: {initial_usd}\n")
writer.writeheader()
for row in rows:
# Only keep keys that are in fieldnames
filtered_row = {k: v for k, v in row.items() if k in fieldnames}
writer.writerow(filtered_row)
def write_backtest_results(self, filename, fieldnames, rows, metadata_lines=None):
"""Write a combined results to a CSV file
Args:
filename: filename to write to
fieldnames: list of fieldnames
rows: list of rows
metadata_lines: optional list of strings to write as header comments
"""
fname = os.path.join(self.results_dir, filename)
with open(fname, "w", newline="") as csvfile:
if metadata_lines:
for line in metadata_lines:
csvfile.write(f"{line}\n")
writer = csv.DictWriter(csvfile, fieldnames=fieldnames, delimiter='\t')
writer.writeheader()
for row in rows:
writer.writerow(self.format_row(row))
if self.logging is not None:
self.logging.info(f"Combined results written to {fname}")
def write_trades(self, all_trade_rows, trades_fieldnames):
"""Write trades to a CSV file
Args:
all_trade_rows: list of trade rows
trades_fieldnames: list of trade fieldnames
logging: logging object
"""
trades_by_combo = defaultdict(list)
for trade in all_trade_rows:
tf = trade.get("timeframe")
sl = trade.get("stop_loss_pct")
trades_by_combo[(tf, sl)].append(trade)
for (tf, sl), trades in trades_by_combo.items():
sl_percent = int(round(sl * 100))
trades_filename = os.path.join(self.results_dir, f"trades_{tf}_ST{sl_percent}pct.csv")
with open(trades_filename, "w", newline="") as csvfile:
writer = csv.DictWriter(csvfile, fieldnames=trades_fieldnames)
writer.writeheader()
for trade in trades:
writer.writerow({k: trade.get(k, "") for k in trades_fieldnames})
if self.logging is not None:
self.logging.info(f"Trades written to {trades_filename}")

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

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

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

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

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import pandas as pd
from trend_detector_macd import TrendDetectorMACD
from trend_detector_simple import TrendDetectorSimple
from cycle_detector import CycleDetector
import numpy as np
import logging
import concurrent.futures
import os
import datetime
import argparse
import json
# Load data from CSV file instead of database
data = pd.read_csv('data/btcusd_1-day_data.csv')
from cycles.utils.storage import Storage
from cycles.utils.system import SystemUtils
from cycles.backtest import Backtest
# Convert datetime column to datetime type
start_date = pd.to_datetime('2025-04-01')
stop_date = pd.to_datetime('2025-05-06')
logging.basicConfig(
level=logging.INFO,
format="%(asctime)s [%(levelname)s] %(message)s",
handlers=[
logging.FileHandler("backtest.log"),
logging.StreamHandler()
]
)
daily_data = data[(pd.to_datetime(data['datetime']) >= start_date) &
(pd.to_datetime(data['datetime']) < stop_date)]
print(f"Number of data points: {len(daily_data)}")
def process_timeframe_data(min1_df, df, stop_loss_pcts, rule_name, initial_usd, debug=False):
"""Process the entire timeframe with all stop loss values (no monthly split)"""
df = df.copy().reset_index(drop=True)
trend_detector = TrendDetectorSimple(daily_data, verbose=True)
trends, analysis_results = trend_detector.detect_trends()
trend_detector.plot_trends(trends, analysis_results)
results_rows = []
trade_rows = []
#trend_detector = TrendDetectorMACD(daily_data, True)
#trends = trend_detector.detect_trends_MACD_signal()
#trend_detector.plot_trends(trends)
for stop_loss_pct in stop_loss_pcts:
results = Backtest.run(
min1_df,
df,
initial_usd=initial_usd,
stop_loss_pct=stop_loss_pct,
debug=debug
)
n_trades = results["n_trades"]
trades = results.get('trades', [])
wins = [1 for t in trades if t['exit'] is not None and t['exit'] > t['entry']]
n_winning_trades = len(wins)
total_profit = sum(trade['profit_pct'] for trade in trades)
total_loss = sum(-trade['profit_pct'] for trade in trades if trade['profit_pct'] < 0)
win_rate = n_winning_trades / n_trades if n_trades > 0 else 0
avg_trade = total_profit / n_trades if n_trades > 0 else 0
profit_ratio = total_profit / total_loss if total_loss > 0 else float('inf')
cumulative_profit = 0
max_drawdown = 0
peak = 0
for trade in trades:
cumulative_profit += trade['profit_pct']
if cumulative_profit > peak:
peak = cumulative_profit
drawdown = peak - cumulative_profit
if drawdown > max_drawdown:
max_drawdown = drawdown
# # Cycle detection (new code)
# print("\n===== CYCLE DETECTION =====")
final_usd = initial_usd
# # Daily cycles
# daily_detector = CycleDetector(daily_data, timeframe='daily')
# daily_avg_cycle = daily_detector.get_average_cycle_length()
# daily_window = daily_detector.get_cycle_window()
for trade in trades:
final_usd *= (1 + trade['profit_pct'])
# print(f"Daily Timeframe: Average Cycle Length = {daily_avg_cycle:.2f} days")
# if daily_window:
# print(f"Daily Cycle Window: {daily_window[0]:.2f} to {daily_window[2]:.2f} days")
total_fees_usd = sum(trade['fee_usd'] for trade in trades)
# weekly_detector = CycleDetector(daily_data, timeframe='weekly')
# weekly_avg_cycle = weekly_detector.get_average_cycle_length()
# weekly_window = weekly_detector.get_cycle_window()
row = {
"timeframe": rule_name,
"stop_loss_pct": stop_loss_pct,
"n_trades": n_trades,
"n_stop_loss": sum(1 for trade in trades if 'type' in trade and trade['type'] == 'STOP'),
"win_rate": win_rate,
"max_drawdown": max_drawdown,
"avg_trade": avg_trade,
"total_profit": total_profit,
"total_loss": total_loss,
"profit_ratio": profit_ratio,
"initial_usd": initial_usd,
"final_usd": final_usd,
"total_fees_usd": total_fees_usd,
}
results_rows.append(row)
# print(f"\nWeekly Timeframe: Average Cycle Length = {weekly_avg_cycle:.2f} weeks")
# if weekly_window:
# print(f"Weekly Cycle Window: {weekly_window[0]:.2f} to {weekly_window[2]:.2f} weeks")
for trade in trades:
trade_rows.append({
"timeframe": rule_name,
"stop_loss_pct": stop_loss_pct,
"entry_time": trade.get("entry_time"),
"exit_time": trade.get("exit_time"),
"entry_price": trade.get("entry"),
"exit_price": trade.get("exit"),
"profit_pct": trade.get("profit_pct"),
"type": trade.get("type"),
"fee_usd": trade.get("fee_usd"),
})
# # Detect patterns
# two_drives = daily_detector.detect_two_drives_pattern()
# v_shapes = daily_detector.detect_v_shaped_lows()
logging.info(f"Timeframe: {rule_name}, Stop Loss: {stop_loss_pct}, Trades: {n_trades}")
# print(f"\nDetected {len(two_drives)} 'Two Drives' patterns in daily data")
# print(f"Detected {len(v_shapes)} 'V-Shaped' lows in daily data")
if debug:
for trade in trades:
if trade['type'] == 'STOP':
print(trade)
for trade in trades:
if trade['profit_pct'] < -0.09: # or whatever is close to -0.10
print("Large loss trade:", trade)
# # Plot cycles with detected patterns
# print("\nPlotting cycles and patterns...")
# daily_detector.plot_cycles(pattern_detection=['two_drives', 'v_shape'], title_suffix='(with Two Drives Pattern)')
# weekly_detector.plot_cycles(title_suffix='(Weekly View)')
return results_rows, trade_rows
def process(timeframe_info, debug=False):
from cycles.utils.storage import Storage # import inside function for safety
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})
return results_rows, all_trade_rows
def aggregate_results(all_rows):
"""Aggregate results per stop_loss_pct and per rule (timeframe)"""
from collections import defaultdict
grouped = defaultdict(list)
for row in all_rows:
key = (row['timeframe'], row['stop_loss_pct'])
grouped[key].append(row)
summary_rows = []
for (rule, stop_loss_pct), rows in grouped.items():
total_trades = sum(r['n_trades'] 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_max_drawdown = np.mean([r['max_drawdown'] for r in rows])
avg_avg_trade = np.mean([r['avg_trade'] for r in rows])
avg_profit_ratio = np.mean([r['profit_ratio'] for r in rows])
# Calculate final USD
final_usd = np.mean([r.get('final_usd', initial_usd) for r in rows])
total_fees_usd = np.mean([r.get('total_fees_usd') for r in rows])
summary_rows.append({
"timeframe": rule,
"stop_loss_pct": stop_loss_pct,
"n_trades": total_trades,
"n_stop_loss": total_stop_loss,
"win_rate": avg_win_rate,
"max_drawdown": avg_max_drawdown,
"avg_trade": avg_avg_trade,
"profit_ratio": avg_profit_ratio,
"initial_usd": initial_usd,
"final_usd": final_usd,
"total_fees_usd": total_fees_usd,
})
return summary_rows
def get_nearest_price(df, target_date):
if len(df) == 0:
return None, None
target_ts = pd.to_datetime(target_date)
nearest_idx = df.index.get_indexer([target_ts], method='nearest')[0]
nearest_time = df.index[nearest_idx]
price = df.iloc[nearest_idx]['close']
return nearest_time, price
if __name__ == "__main__":
debug = False
parser = argparse.ArgumentParser(description="Run backtest with config file.")
parser.add_argument("config", type=str, nargs="?", help="Path to config JSON file.")
args = parser.parse_args()
# Default values (from config.json)
default_config = {
"start_date": "2025-05-01",
"stop_date": datetime.datetime.today().strftime('%Y-%m-%d'),
"initial_usd": 10000,
"timeframes": ["1D", "6h", "3h", "1h", "30m", "15m", "5m", "1m"],
"stop_loss_pcts": [0.01, 0.02, 0.03, 0.05],
}
if args.config:
with open(args.config, 'r') as f:
config = json.load(f)
else:
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']
stop_date = input(f"Stop date [{default_config['stop_date']}]: ") or default_config['stop_date']
initial_usd_str = input(f"Initial USD [{default_config['initial_usd']}]: ") or str(default_config['initial_usd'])
initial_usd = float(initial_usd_str)
timeframes_str = input(f"Timeframes (comma separated) [{', '.join(default_config['timeframes'])}]: ") or ','.join(default_config['timeframes'])
timeframes = [tf.strip() for tf in timeframes_str.split(',') if tf.strip()]
stop_loss_pcts_str = input(f"Stop loss pcts (comma separated) [{', '.join(str(x) for x in default_config['stop_loss_pcts'])}]: ") or ','.join(str(x) for x in default_config['stop_loss_pcts'])
stop_loss_pcts = [float(x.strip()) for x in stop_loss_pcts_str.split(',') if x.strip()]
config = {
'start_date': start_date,
'stop_date': stop_date,
'initial_usd': initial_usd,
'timeframes': timeframes,
'stop_loss_pcts': stop_loss_pcts,
}
# Use config values
start_date = config['start_date']
stop_date = config['stop_date']
initial_usd = config['initial_usd']
timeframes = config['timeframes']
stop_loss_pcts = config['stop_loss_pcts']
timestamp = datetime.datetime.now().strftime("%Y_%m_%d_%H_%M")
storage = Storage(logging=logging)
system_utils = SystemUtils(logging=logging)
data_1min = storage.load_data('btcusd_1-min_data.csv', start_date, stop_date)
nearest_start_time, start_price = get_nearest_price(data_1min, start_date)
nearest_stop_time, stop_price = get_nearest_price(data_1min, stop_date)
metadata_lines = [
f"Start date\t{start_date}\tPrice\t{start_price}",
f"Stop date\t{stop_date}\tPrice\t{stop_price}",
f"Initial USD\t{initial_usd}"
]
tasks = [
(name, data_1min, stop_loss_pct, initial_usd)
for name in timeframes
for stop_loss_pct in stop_loss_pcts
]
workers = system_utils.get_optimal_workers()
if debug:
all_results_rows = []
all_trade_rows = []
for task in tasks:
results, trades = process(task, debug)
if results or trades:
all_results_rows.extend(results)
all_trade_rows.extend(trades)
else:
with concurrent.futures.ProcessPoolExecutor(max_workers=workers) as executor:
futures = {executor.submit(process, task, debug): task for task in tasks}
all_results_rows = []
all_trade_rows = []
for future in concurrent.futures.as_completed(futures):
results, trades = future.result()
if results or trades:
all_results_rows.extend(results)
all_trade_rows.extend(trades)
backtest_filename = os.path.join(f"{timestamp}_backtest.csv")
backtest_fieldnames = [
"timeframe", "stop_loss_pct", "n_trades", "n_stop_loss", "win_rate",
"max_drawdown", "avg_trade", "profit_ratio", "final_usd", "total_fees_usd"
]
storage.write_backtest_results(backtest_filename, backtest_fieldnames, all_results_rows, metadata_lines)

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

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

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@@ -1,259 +0,0 @@
import pandas as pd
import numpy as np
import ta
import matplotlib.pyplot as plt
import matplotlib.dates as mdates
import logging
import mplfinance as mpf
from matplotlib.patches import Rectangle
class TrendDetectorMACD:
def __init__(self, data, verbose=False):
self.data = data
self.verbose = verbose
# Configure logging
logging.basicConfig(level=logging.INFO if verbose else logging.WARNING,
format='%(asctime)s - %(levelname)s - %(message)s')
self.logger = logging.getLogger('TrendDetector')
# Convert data to pandas DataFrame if it's not already
if not isinstance(self.data, pd.DataFrame):
if isinstance(self.data, list):
self.logger.info("Converting list to DataFrame")
self.data = pd.DataFrame({'close': self.data})
else:
self.logger.error("Invalid data format provided")
raise ValueError("Data must be a pandas DataFrame or a list")
self.logger.info(f"Initialized TrendDetector with {len(self.data)} data points")
def detect_trends_MACD_signal(self):
self.logger.info("Starting trend detection")
if len(self.data) < 3:
self.logger.warning("Not enough data points for trend detection")
return {"error": "Not enough data points for trend detection"}
# Create a copy of the DataFrame to avoid modifying the original
df = self.data.copy()
self.logger.info("Created copy of input data")
# If 'close' column doesn't exist, try to use a relevant column
if 'close' not in df.columns and len(df.columns) > 0:
self.logger.info(f"'close' column not found, using {df.columns[0]} instead")
df['close'] = df[df.columns[0]] # Use the first column as 'close'
# Add trend indicators
self.logger.info("Calculating MACD indicators")
# Moving Average Convergence Divergence (MACD)
df['macd'] = ta.trend.macd(df['close'])
df['macd_signal'] = ta.trend.macd_signal(df['close'])
df['macd_diff'] = ta.trend.macd_diff(df['close'])
# Directional Movement Index (DMI)
if all(col in df.columns for col in ['high', 'low', 'close']):
self.logger.info("Calculating ADX indicators")
df['adx'] = ta.trend.adx(df['high'], df['low'], df['close'])
df['adx_pos'] = ta.trend.adx_pos(df['high'], df['low'], df['close'])
df['adx_neg'] = ta.trend.adx_neg(df['high'], df['low'], df['close'])
# Identify trend changes
self.logger.info("Identifying trend changes")
df['trend'] = np.where(df['macd'] > df['macd_signal'], 'up', 'down')
df['trend_change'] = df['trend'] != df['trend'].shift(1)
# Generate trend segments
self.logger.info("Generating trend segments")
trends = []
trend_start = 0
for i in range(1, len(df)):
if df['trend_change'].iloc[i]:
if i > trend_start:
trends.append({
"type": df['trend'].iloc[i-1],
"start_index": trend_start,
"end_index": i-1,
"start_value": df['close'].iloc[trend_start],
"end_value": df['close'].iloc[i-1]
})
trend_start = i
# Add the last trend
if trend_start < len(df):
trends.append({
"type": df['trend'].iloc[-1],
"start_index": trend_start,
"end_index": len(df)-1,
"start_value": df['close'].iloc[trend_start],
"end_value": df['close'].iloc[-1]
})
self.logger.info(f"Detected {len(trends)} trend segments")
return trends
def get_strongest_trend(self):
self.logger.info("Finding strongest trend")
trends = self.detect_trends_MACD_signal()
if isinstance(trends, dict) and "error" in trends:
self.logger.warning(f"Error in trend detection: {trends['error']}")
return trends
if not trends:
self.logger.info("No significant trends detected")
return {"message": "No significant trends detected"}
strongest = max(trends, key=lambda x: abs(x["end_value"] - x["start_value"]))
self.logger.info(f"Strongest trend: {strongest['type']} from index {strongest['start_index']} to {strongest['end_index']}")
return strongest
def plot_trends(self, trends):
"""
Plot price data with identified trends highlighted using candlestick charts.
"""
self.logger.info("Plotting trends with candlesticks")
if isinstance(trends, dict) and "error" in trends:
self.logger.error(trends["error"])
print(trends["error"])
return
if not trends:
self.logger.warning("No significant trends detected for plotting")
print("No significant trends detected")
return
# Create a figure with 2 subplots that share the x-axis
fig, (ax1, ax2) = plt.subplots(2, 1, figsize=(14, 8), gridspec_kw={'height_ratios': [2, 1]}, sharex=True)
self.logger.info("Creating plot figure with shared x-axis")
# Prepare data for candlestick chart
df = self.data.copy()
# Ensure required columns exist for candlestick
required_cols = ['open', 'high', 'low', 'close']
if not all(col in df.columns for col in required_cols):
self.logger.warning("Missing required columns for candlestick. Defaulting to line chart.")
if 'close' in df.columns:
ax1.plot(df.index if 'datetime' not in df.columns else df['datetime'],
df['close'], color='black', alpha=0.7, linewidth=1, label='Price')
else:
ax1.plot(df.index if 'datetime' not in df.columns else df['datetime'],
df[df.columns[0]], color='black', alpha=0.7, linewidth=1, label='Price')
else:
# Get x values (dates if available, otherwise indices)
if 'datetime' in df.columns:
x_label = 'Date'
# Format date axis
ax1.xaxis.set_major_formatter(mdates.DateFormatter('%Y-%m-%d'))
ax2.xaxis.set_major_formatter(mdates.DateFormatter('%Y-%m-%d'))
fig.autofmt_xdate()
self.logger.info("Using datetime for x-axis")
# For candlestick, ensure datetime is the index
if df.index.name != 'datetime':
df = df.set_index('datetime')
else:
x_label = 'Index'
self.logger.info("Using index for x-axis")
# Plot candlestick chart
up_color = 'green'
down_color = 'red'
# Draw candlesticks manually
width = 0.6
for i in range(len(df)):
# Get OHLC values for this candle
open_val = df['open'].iloc[i]
close_val = df['close'].iloc[i]
high_val = df['high'].iloc[i]
low_val = df['low'].iloc[i]
idx = df.index[i]
# Determine candle color
color = up_color if close_val >= open_val else down_color
# Plot candle body
body_height = abs(close_val - open_val)
bottom = min(open_val, close_val)
rect = Rectangle((i - width/2, bottom), width, body_height, color=color, alpha=0.8)
ax1.add_patch(rect)
# Plot candle wicks
ax1.plot([i, i], [low_val, high_val], color='black', linewidth=1)
# Set appropriate x-axis limits
ax1.set_xlim(-0.5, len(df) - 0.5)
# Highlight each trend with a different color
self.logger.info("Highlighting trends on plot")
for trend in trends:
start_idx = trend['start_index']
end_idx = trend['end_index']
trend_type = trend['type']
# Get x-coordinates for trend plotting
x_start = start_idx
x_end = end_idx
# Get y-coordinates for trend line
if 'close' in df.columns:
y_start = df['close'].iloc[start_idx]
y_end = df['close'].iloc[end_idx]
else:
y_start = df[df.columns[0]].iloc[start_idx]
y_end = df[df.columns[0]].iloc[end_idx]
# Choose color based on trend type
color = 'green' if trend_type == 'up' else 'red'
# Plot trend line
ax1.plot([x_start, x_end], [y_start, y_end], color=color, linewidth=2,
label=f"{trend_type.capitalize()} Trend" if f"{trend_type.capitalize()} Trend" not in ax1.get_legend_handles_labels()[1] else "")
# Add markers at start and end points
ax1.scatter(x_start, y_start, color=color, marker='o', s=50)
ax1.scatter(x_end, y_end, color=color, marker='s', s=50)
# Configure first subplot
ax1.set_title('Price with Trends (Candlestick)', fontsize=16)
ax1.set_ylabel('Price', fontsize=14)
ax1.grid(alpha=0.3)
ax1.legend()
# Create MACD in second subplot
self.logger.info("Creating MACD subplot")
# Calculate MACD indicators if not already present
if 'macd' not in df.columns:
if 'close' not in df.columns and len(df.columns) > 0:
df['close'] = df[df.columns[0]]
df['macd'] = ta.trend.macd(df['close'])
df['macd_signal'] = ta.trend.macd_signal(df['close'])
df['macd_diff'] = ta.trend.macd_diff(df['close'])
# Plot MACD components on second subplot
x_indices = np.arange(len(df))
ax2.plot(x_indices, df['macd'], label='MACD', color='blue')
ax2.plot(x_indices, df['macd_signal'], label='Signal', color='orange')
# Plot MACD histogram
for i in range(len(df)):
if df['macd_diff'].iloc[i] >= 0:
ax2.bar(i, df['macd_diff'].iloc[i], color='green', alpha=0.5, width=0.8)
else:
ax2.bar(i, df['macd_diff'].iloc[i], color='red', alpha=0.5, width=0.8)
ax2.set_title('MACD Indicator', fontsize=16)
ax2.set_xlabel(x_label, fontsize=14)
ax2.set_ylabel('MACD', fontsize=14)
ax2.grid(alpha=0.3)
ax2.legend()
# Enable synchronized zooming
plt.tight_layout()
plt.subplots_adjust(hspace=0.1)
plt.show()
return plt

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import pandas as pd
import numpy as np
import logging
from scipy.signal import find_peaks
import matplotlib.dates as mdates
from scipy import stats
class TrendDetectorSimple:
def __init__(self, data, verbose=False):
"""
Initialize the TrendDetectorSimple class.
Parameters:
- data: pandas DataFrame containing price data
- verbose: boolean, whether to display detailed logging information
"""
self.data = data
self.verbose = verbose
# 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.logger.info("Converting list to DataFrame")
self.data = pd.DataFrame({'close': self.data})
else:
self.logger.error("Invalid data format provided")
raise ValueError("Data must be a pandas DataFrame or a list")
self.logger.info(f"Initialized TrendDetectorSimple with {len(self.data)} data points")
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
"""
self.logger.info(f"Detecting trends")
df = self.data.copy()
close_prices = df['close'].values
max_peaks, _ = find_peaks(close_prices)
min_peaks, _ = find_peaks(-close_prices)
self.logger.info(f"Found {len(min_peaks)} local minima and {len(max_peaks)} local maxima")
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[['datetime', 'close', 'is_min', 'is_max']].copy()
# Perform linear regression on min_peaks and max_peaks
self.logger.info("Performing linear regression on min 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
self.logger.info("Calculating SMA-7 and SMA-15")
# Calculate SMA values and exclude NaN values
sma_7 = df['close'].rolling(window=7).mean().dropna().values
sma_15 = df['close'].rolling(window=15).mean().dropna().values
# Add SMA values to regression_results
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
}
self.logger.info(f"Min peaks regression: slope={min_slope:.4f}, intercept={min_intercept:.4f}, r²={min_r_value**2:.4f}")
self.logger.info(f"Max peaks regression: slope={max_slope:.4f}, intercept={max_intercept:.4f}, r²={max_r_value**2:.4f}")
return result, analysis_results
def plot_trends(self, trend_data, analysis_results):
"""
Plot the price data with detected trends using a candlestick chart.
Parameters:
- trend_data: DataFrame, the output from detect_trends(). If None, detect_trends() will be called.
Returns:
- None (displays the plot)
"""
import matplotlib.pyplot as plt
from matplotlib.patches import Rectangle
# Create the figure and axis
fig, ax = plt.subplots(figsize=(12, 8))
# Create a copy of the data
df = self.data.copy()
# Plot candlestick chart
up_color = 'green'
down_color = 'red'
# Draw candlesticks manually
width = 0.6
x_values = range(len(df))
for i in range(len(df)):
# Get OHLC values for this candle
open_val = df['open'].iloc[i]
close_val = df['close'].iloc[i]
high_val = df['high'].iloc[i]
low_val = df['low'].iloc[i]
# Determine candle color
color = up_color if close_val >= open_val else down_color
# Plot candle body
body_height = abs(close_val - open_val)
bottom = min(open_val, close_val)
rect = Rectangle((i - width/2, bottom), width, body_height, color=color, alpha=0.8)
ax.add_patch(rect)
# Plot candle wicks
ax.plot([i, i], [low_val, high_val], color='black', linewidth=1)
min_indices = trend_data.index[trend_data['is_min'] == True].tolist()
if min_indices:
min_y = [df['close'].iloc[i] for i in min_indices]
ax.scatter(min_indices, min_y, color='darkred', s=200, marker='^', label='Local Minima', zorder=100)
max_indices = trend_data.index[trend_data['is_max'] == True].tolist()
if max_indices:
max_y = [df['close'].iloc[i] for i in max_indices]
ax.scatter(max_indices, max_y, color='darkgreen', s=200, marker='v', label='Local Maxima', zorder=100)
if analysis_results:
x_vals = np.arange(len(df))
# Minima regression line (support)
min_slope = analysis_results['linear_regression']['min']['slope']
min_intercept = analysis_results['linear_regression']['min']['intercept']
min_line = min_slope * x_vals + min_intercept
ax.plot(x_vals, min_line, 'g--', linewidth=2, label='Minima Regression')
# Maxima regression line (resistance)
max_slope = analysis_results['linear_regression']['max']['slope']
max_intercept = analysis_results['linear_regression']['max']['intercept']
max_line = max_slope * x_vals + max_intercept
ax.plot(x_vals, max_line, 'r--', linewidth=2, label='Maxima Regression')
# SMA-7 line
sma_7 = analysis_results['sma']['7']
ax.plot(x_vals, sma_7, 'y-', linewidth=2, label='SMA-7')
# SMA-15 line
# sma_15 = analysis_results['sma']['15']
# valid_idx_15 = ~np.isnan(sma_15)
# ax.plot(x_vals[valid_idx_15], sma_15[valid_idx_15], 'm-', linewidth=2, label='SMA-15')
# Set title and labels
ax.set_title('Price Candlestick Chart with Local Minima and Maxima', fontsize=14)
ax.set_xlabel('Date', fontsize=12)
ax.set_ylabel('Price', fontsize=12)
# Set appropriate x-axis limits
ax.set_xlim(-0.5, len(df) - 0.5)
# Add a legend
ax.legend(loc='best')
# Adjust layout
plt.tight_layout()
# Show the plot
plt.show()

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