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| from backtesting import Backtest, Strategy | |
| from backtesting.lib import SignalStrategy, TrailingStrategy | |
| from indicators import SMC, EMA | |
| from data_fetcher import fetch | |
| import pandas as pd | |
| class SMC_test(Strategy): | |
| swing_hl = 10 | |
| def init(self): | |
| super().init() | |
| self.smc_b = self.I(self.smc_buy, data=self.data.df, swing_hl=self.swing_hl) | |
| self.smc_s = self.I(self.smc_sell, data=self.data.df, swing_hl=self.swing_hl) | |
| def next(self): | |
| price = self.data.Close[-1] | |
| current_time = self.data.index[-1] | |
| if self.smc_b[-1] == 1: | |
| self.buy(sl=.95 * price, tp=1.05 * price) | |
| if self.smc_s[-1] == -1: | |
| self.sell(tp=.95 * price, sl=1.05 * price) | |
| # Additionally, set aggressive stop-loss on trades that have been open | |
| # for more than two days | |
| for trade in self.trades: | |
| if current_time - trade.entry_time > pd.Timedelta('2 days'): | |
| if trade.is_long: | |
| trade.sl = max(trade.sl, self.data.Low[-1]) | |
| else: | |
| trade.sl = min(trade.sl, self.data.High[-1]) | |
| def smc_buy(self, data, swing_hl): | |
| return SMC(data, swing_hl).backtest_buy_signal() | |
| def smc_sell(self, data, swing_hl): | |
| return SMC(data, swing_hl).backtest_sell_signal() | |
| class SMC_ema(SignalStrategy, TrailingStrategy): | |
| ema1 = 9 | |
| ema2 = 21 | |
| close_on_crossover = False | |
| def init(self): | |
| super().init() | |
| self.smc_b = self.I(self.smc_buy, self.data.df) | |
| self.smc_s = self.I(self.smc_sell, self.data.df) | |
| close = self.data.Close | |
| self.ma1 = self.I(EMA, close, self.ema1) | |
| self.ma2 = self.I(EMA, close, self.ema2) | |
| def next(self): | |
| price = self.data.Close[-1] | |
| current_time = self.data.index[-1] | |
| if self.smc_b[-1] == 1 and self.ma1 > self.ma2: | |
| self.buy(sl=.95 * price, tp=1.05 * price) | |
| if self.smc_s[-1] == -1 and self.ma1 < self.ma2: | |
| self.sell(tp=.95 * price, sl=1.05 * price) | |
| # Additionally, set aggressive stop-loss on trades that have been open | |
| # for more than two days | |
| for trade in self.trades: | |
| if current_time - trade.entry_time > pd.Timedelta('2 days'): | |
| if trade.is_long: | |
| trade.sl = max(trade.sl, self.data.Low[-1]) | |
| else: | |
| trade.sl = min(trade.sl, self.data.High[-1]) | |
| # Close the trade if there is a moving average crossover in opposite direction | |
| if self.close_on_crossover: | |
| for trade in self.trades: | |
| if trade.is_long and self.ma1 < self.ma2: | |
| trade.close() | |
| if trade.is_short and self.ma1 > self.ma2: | |
| trade.close() | |
| def smc_buy(self, data): | |
| return SMC(data).backtest_buy_signal() | |
| def smc_sell(self, data): | |
| return SMC(data).backtest_sell_signal() | |
| def smc_plot_backtest(data, filename, swing_hl, **kwargs): | |
| bt = Backtest(data, SMC_test, **kwargs) | |
| bt.run(swing_hl=swing_hl) | |
| print('runned') | |
| return bt.plot(filename=filename, open_browser=False) | |
| def smc_ema_plot_backtest(data, filename, ema1, ema2, closecross, **kwargs): | |
| bt = Backtest(data, SMC_ema, **kwargs) | |
| bt.run(ema1=ema1, ema2=ema2, close_on_crossover=closecross) | |
| return bt.plot(filename=filename, open_browser=False) | |
| if __name__ == "__main__": | |
| data = fetch('ICICIBANK.NS', period='1mo', interval='15m') | |
| bt = Backtest(data, SMC_ema, commission=.002) | |
| bt.run(ema1 = 9, ema2 = 21, close_on_crossover=True) | |
| bt.plot() |