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win_martingale.py
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336 lines (275 loc) · 10.9 KB
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import pandas as pd
import numpy as np
import pandas_ta as ta
#import Strategy,Backtest from backtesting
from backtesting import Strategy,Backtest
df = pd.read_csv('/Users/rishabhsolanki/Desktop/Machine learning/euro_us.csv')
print(df)
#Convert the 'date' column to datetime if it's not already in that format
df['date'] = pd.to_datetime(df['Local time'])
df['date'] = pd.to_datetime(df['date'], utc=True) # Convert the 'date' column to datetime if it's not already in that format
#print(df)
'''
# Convert the 'date' column to datetime if it's not already in that format
df['date'] = pd.to_datetime(df['Local time'])
#print(df)
# Convert the 'date' column to datetime if it's not already in that format
df['date'] = pd.to_datetime(df['date'], utc=True)
#print(df)
#Extract the year from the 'date' column
df['year'] = df['date'].dt.year
df['month']= df['date'].dt.month
print(df)
df.to_csv('/Users/akashipra/Desktop/Forex/MarketData/2020_TO_2023_5M_yearly.csv', index=False)
'''
# Filter the dataframe for a particular year
'''
'''
#desired_year = 2023
#df = df[df['year'] == desired_year]
#Extract the year from the 'date' column
df['year'] = df['date'].dt.year
df['month']= df['date'].dt.month
print(df)
#Check if NA values are in data
df=df[df['Volume']!=0]
df.reset_index(drop=True, inplace=True)
df.isna().sum()
df.tail()
#BollingerBands Signal function
def indicator(data):
bbands=ta.bbands(close=data.Close.s,std=0.5)
#print(bbands.to_numpy)
return bbands.to_numpy().T[:3]
#Extending Strategy Class
class Martingale(Strategy):
initsize = 0.005
count=0
def takeprofitcalc(self, trades, current_price):
sum_trade = 0
# Calculate the new take profit as the average difference
# between the entry prices of the existing trades and current market price
if self.trades[-1].is_long:
'''for i in range(len(self.trades)):
sum_trade += self.trades[i].entry_price - current_price
avg_sum = sum_trade/len(self.trades)
take_profit = current_price + avg_sum
'''
if len(self.trades)==1:
take_profit=current_price+4e-4
elif len(self.trades)==2:
take_profit=current_price+6e-4
elif len(self.trades)==3:
take_profit=current_price+7e-4
elif len(self.trades)==4:
take_profit=current_price+8e-4
elif len(self.trades)==5:
take_profit=current_price+10e-4
elif len(self.trades)==6:
take_profit=current_price+11e-4
elif len(self.trades)==7:
take_profit=current_price+12e-4
elif len(self.trades)==8:
take_profit=current_price+14e-4
elif len(self.trades)==9:
take_profit=current_price+16e-4
elif len(self.trades)==10:
take_profit=current_price+17e-4
elif len(self.trades)==11:
take_profit=current_price+18-4
elif len(self.trades)==12:
take_profit=current_price+19-4
elif len(self.trades)==13:
take_profit=current_price+20-4
elif len(self.trades)==14:
take_profit=current_price+22-4
elif len(self.trades)==15:
take_profit=current_price+24-4
elif len(self.trades)==16:
take_profit=current_price+26e-4
elif len(self.trades)==17:
take_profit=current_price+28e-4
elif len(self.trades)==18:
take_profit=current_price+30e-4
elif len(self.trades)==19:
take_profit=current_price+32e-4
self.count+=1
print('####over 20 trades###: ',self.count,self.data.Volume[-1])
print(self.trades)
elif len(self.trades)==20:
take_profit=current_price+35e-4
else:
'''
for i in range(len(self.trades)):
sum_trade += current_price - self.trades[i].entry_price
avg_sum = sum_trade/len(self.trades)
take_profit = current_price + avg_sum
'''
if len(self.trades)==1:
take_profit=current_price-4e-4
elif len(self.trades)==2:
take_profit=current_price-6e-4
elif len(self.trades)==3:
take_profit=current_price-7e-4
elif len(self.trades)==4:
take_profit=current_price-8e-4
elif len(self.trades)==5:
take_profit=current_price-10e-4
elif len(self.trades)==6:
take_profit=current_price-11e-4
elif len(self.trades)==7:
take_profit=current_price-12e-4
elif len(self.trades)==8:
take_profit=current_price-14e-4
elif len(self.trades)==9:
take_profit=current_price-16e-4
elif len(self.trades)==10:
take_profit=current_price-17e-4
elif len(self.trades)==11:
take_profit=current_price-18e-4
elif len(self.trades)==12:
take_profit=current_price-19e-4
elif len(self.trades)==13:
take_profit=current_price-20e-4
elif len(self.trades)==14:
take_profit=current_price-22e-4
elif len(self.trades)==15:
take_profit=current_price-24e-4
elif len(self.trades)==16:
take_profit=current_price-26e-4
elif len(self.trades)==17:
take_profit=current_price-28e-4
elif len(self.trades)==18:
take_profit=current_price-30e-4
elif len(self.trades)==19:
take_profit=current_price-32e-4
self.count+=1
print('####over 20 trades###: ',self.count,self.data.Date[-1])
elif len(self.trades)==20:
take_profit=current_price-35e-4
return take_profit
def sizecalc(self, trades,current_price):
if self.trades[-1].is_long:
if len(self.trades)==1:
s=self.initsize
elif len(self.trades)==2:
s=self.initsize
elif len(self.trades)==3:
s=0.00064
elif len(self.trades)==4:
s=0.00076
elif len(self.trades)==5:
s=0.00092
elif len(self.trades)==6:
s=0.00112
elif len(self.trades)==7:
s=0.00132
elif len(self.trades)==8:
s=0.0016
elif len(self.trades)==9:
s=0.00192
elif len(self.trades)==10:
s=0.00228
elif len(self.trades)==11:
s=0.00276
elif len(self.trades)==12:
s=0.00332
elif len(self.trades)==13:
s=0.00390
elif len(self.trades)==14:
s=0.00470
elif len(self.trades)==15:
s=0.00560
elif len(self.trades)==16:
s=0.00670
elif len(self.trades)==17:
s=0.0081
elif len(self.trades)==18:
s=0.0097
elif len(self.trades)==19:
s=0.012
elif len(self.trades)==20:
s=0.016
elif self.trades[-1].is_short:
if len(self.trades)==1:
s=self.initsize
elif len(self.trades)==2:
s=self.initsize
elif len(self.trades)==3:
s=0.00064
elif len(self.trades)==4:
s=0.00076
elif len(self.trades)==5:
s=0.00092
elif len(self.trades)==6:
s=0.00112
elif len(self.trades)==7:
s=0.00132
elif len(self.trades)==8:
s=0.0016
elif len(self.trades)==9:
s=0.00192
elif len(self.trades)==10:
s=0.00228
elif len(self.trades)==11:
s=0.00276
elif len(self.trades)==12:
s=0.00332
elif len(self.trades)==13:
s=0.00390
elif len(self.trades)==14:
s=0.00470
elif len(self.trades)==15:
s=0.00560
elif len(self.trades)==16:
s=0.00670
elif len(self.trades)==17:
s=0.0081
elif len(self.trades)==18:
s=0.0097
elif len(self.trades)==19:
s=0.012
elif len(self.trades)==20:
s=0.016
return s
def init(self):
self.bbands=self.I(indicator,self.data)
def next(self):
upper_band=self.bbands[2]
lower_band=self.bbands[0]
#Martingale + Bollinger Bands
#if no trade exists go long or short or do nothing per BB
if len(self.trades)==0:
#long order if <lower band
if self.data.Close[-1] < lower_band:
tp1 = self.data.Close[-1] + 7e-4
self.buy(tp=tp1, size=self.initsize)
#short order if >upper band
elif self.data.Close[-1] > upper_band:
tp1 = self.data.Close[-1] - 7e-4
self.sell(tp=tp1, size=self.initsize)
#if trades exists and market is in opposite direction above your threshold apply Martingale
elif len(self.trades)!=0 :
#if long trades exists and <20 in count
if self.trades[-1].is_long and len(self.trades) < 11:
if self.trades[-1].entry_price - self.data.Close[-1] > 5e-4:
self.mysize=self.sizecalc(self.trades,self.data.Close[-1])
tp1 = self.takeprofitcalc(self.trades,self.data.Close[-1])
for i in range(len(self.trades)):
self.trades[i].tp=tp1
self.buy(tp=tp1, size=self.mysize)
#if Short trades exists and <20 in count
elif self.trades[-1].is_short and len(self.trades) < 11:
if self.data.Close[-1]-self.trades[-1].entry_price > 5e-4:
self.mysize=self.sizecalc(self.trades,self.data.Close[-1])
tp1 = self.takeprofitcalc(self.trades,self.data.Close[-1])
for i in range(len(self.trades)):
self.trades[i].tp=tp1
self.sell(tp=tp1, size=self.mysize)
#initializing backtest
bt=Backtest(df,Martingale,cash=25000,margin=1/1000)
#running backtest
stats=bt.run()
print(stats)
#plot backtest
#bt.plot()