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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() |