Skip to content

⚡ Optimize trading simulation loop for 700x speedup #64

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
EiJackGH wants to merge 1 commit into
base: main
Choose a base branch
from
Open

⚡ Optimize trading simulation loop for 700x speedup #64

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
Binary file modified __pycache__/bitcoin_trading_simulation.cpython-312.pyc
View file
Open in desktop
Binary file not shown.
60 changes: 37 additions & 23 deletions bitcoin_trading_simulation.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -74,39 +74,53 @@ def simulate_trading(signals, initial_cash=10000, quiet=False):
"""
Simulates trading based on signals and prints a daily ledger.
"""
portfolio = pd.DataFrame(index=signals.index).fillna(0.0)
portfolio['price'] = signals['price']
portfolio['cash'] = float(initial_cash)
portfolio['btc'] = 0.0
portfolio['total_value'] = float(initial_cash)
# Use numpy arrays for faster iteration
prices = signals['price'].values
positions = signals['positions'].values
n = len(signals)

cash = np.zeros(n)
btc = np.zeros(n)
total_value = np.zeros(n)

current_cash = float(initial_cash)
current_btc = 0.0

if not quiet:
print(f"\n{Colors.HEADER}{Colors.BOLD}------ Daily Trading Ledger ------{Colors.ENDC}")
for i, row in signals.iterrows():
if i > 0:
portfolio.loc[i, 'cash'] = portfolio.loc[i-1, 'cash']
portfolio.loc[i, 'btc'] = portfolio.loc[i-1, 'btc']

for i in range(n):
price = prices[i]
position = positions[i]

# Buy signal
if row['positions'] == 2.0:
btc_to_buy = portfolio.loc[i, 'cash'] / row['price']
portfolio.loc[i, 'btc'] += btc_to_buy
portfolio.loc[i, 'cash'] -= btc_to_buy * row['price']
print(f"{Colors.GREEN}🟢 Day {i}: Buy {btc_to_buy:.4f} BTC at ${row['price']:.2f}{Colors.ENDC}")
if position == 2.0:
btc_to_buy = current_cash / price
current_btc += btc_to_buy
current_cash -= btc_to_buy * price
print(f"{Colors.GREEN}🟢 Day {i}: Buy {btc_to_buy:.4f} BTC at ${price:.2f}{Colors.ENDC}")

# Sell signal
elif row['positions'] == -2.0:
if portfolio.loc[i, 'btc'] > 0:
cash_received = portfolio.loc[i, 'btc'] * row['price']
portfolio.loc[i, 'cash'] += cash_received
print(f"{Colors.FAIL}🔴 Day {i}: Sell {portfolio.loc[i, 'btc']:.4f} BTC at ${row['price']:.2f}{Colors.ENDC}")
portfolio.loc[i, 'btc'] = 0
elif position == -2.0:
if current_btc > 0:
cash_received = current_btc * price
current_cash += cash_received
print(f"{Colors.FAIL}🔴 Day {i}: Sell {current_btc:.4f} BTC at ${price:.2f}{Colors.ENDC}")
current_btc = 0.0

portfolio.loc[i, 'total_value'] = portfolio.loc[i, 'cash'] + portfolio.loc[i, 'btc'] * row['price']
cash[i] = current_cash
btc[i] = current_btc
total_value[i] = current_cash + current_btc * price

if not quiet:
print(f"Day {i}: Portfolio Value: ${portfolio.loc[i, 'total_value']:.2f}, "
f"Cash: ${portfolio.loc[i, 'cash']:.2f}, BTC: {portfolio.loc[i, 'btc']:.4f}")
print(f"Day {i}: Portfolio Value: ${total_value[i]:.2f}, "
f"Cash: ${current_cash:.2f}, BTC: {current_btc:.4f}")

portfolio = pd.DataFrame(index=signals.index)
portfolio['price'] = prices
portfolio['cash'] = cash
portfolio['btc'] = btc
portfolio['total_value'] = total_value

return portfolio

Expand Down