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BACKTEST_mudole_Aings_V2.py
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BACKTEST_mudole_Aings_V2.py
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import pandas as pd
import pandas_ta as ta
from Treding_live_model.strategy import myStratygy as str
import numpy as np
class BACKTESTING():
def __init__(self,data,ST_Asign: bool=False,Asign: float= 0.5,symbol: str='CASH'):
self.df = data
self.symbol =symbol
self.in_postion = False
self.tp1 =False
self.tp_A =True
self.Enter_D ,self.Exit_D, self.Enter ,self.T1,self.T2,self.Sl,self.TRD,self.Enter_A,self.TS_A=[],[],[],[],[],[],[],[],[]
self.num=0
self.tR = 0
self.tp = 0
self.Slose = 0
self.buyprice = 0
self.ST_Asign =ST_Asign
self.PAsign = 0
self.Asign = Asign
self.Result = []
self.Cash ,self.CTraed = [100],[]
def MTread(self,row,SL,T1,TR,Asign : bool = False):# Asign = اعزيز
if not self.in_postion and row.siganl == 1 :
self.ST_Asign = Asign
self.in_postion=True
self.num=0
self.buyprice = row.Close
self.PAsign = self.buyprice -(self.buyprice * (0.01*self.Asign))
self.tr = 2 * row.ATR
self.tp = self.buyprice + ((self.buyprice * T1)+self.tr)
self.Slose = self.buyprice - ((self.buyprice * SL)+self.tr)
self.Enter_D.append(row.Date)
self.Enter_A.append(self.PAsign)
self.Enter.append(self.buyprice)
self.T1.append(self.tp)
self.T2.append(0 if TR else self.tp+((self.tp * T1)))
#T2.append(tp+((buyprice * 0.02)+tr))
self.Sl.append(self.Slose)
elif (row.Close >= self.tp or row.High>= self.tp ) and self.in_postion :
if TR:
self.tp =self.tp + (self.tp * T1)
self.Slose=self.Slose + (self.Slose * SL)
elif not self.tp1:
self.tp =self.T2[-1]
self.Slose=self.Slose + (self.Slose * SL)
self.tp1 =True
if not self.tp_A and self.num ==1 :
self.num +=1
self.TS_A.append(self.T1[-1])
self.tp_A = True
else:
self.TS_A.append(0)
else:
if len(self.Enter_A) != len(self.TS_A):
self.TS_A.append(0)
self.Exit_D.append(row.Date)
self.TRD.append((self.tp + self.T1[-1])/2)
self.in_postion=False
self.tp1 =False
elif (row.Close <= self.Slose or row.Low<= self.Slose) and self.in_postion :
self.tp1 =False
self.in_postion=False
if len(self.TS_A) != len(self.Enter_A) and not self.tp_A:
self.TS_A.append(self.Slose)
self.TRD.append(self.Slose)
self.Exit_D.append(row.Date)
if self.ST_Asign and self.in_postion :
if self.tp_A and self.num==0 and (row.Close <= self.PAsign or row.Low<= self.PAsign) :
self.num +=1
self.tp_A = False
def start(self,T1,SL,TR: bool=False,Asign: bool= False):
for _ , row in self.df.iterrows():
self.MTread(row,SL,T1,TR,Asign)
if len(self.Enter) !=len(self.TS_A):
self.TS_A.append(0)
if len(self.Enter) !=len(self.TRD):
self.TRD.append(0)
self.Exit_D.append(0)
if len(self.Enter)-len(self.TS_A) > 0:
df1= pd.DataFrame(self.Enter_D,columns=['ENTER_D'])
df1['Exit_D'],df1['Enter'],df1['T1'],df1['T2'],df1['SL'],df1['TRD']=self.Exit_D,self.Enter,self.T1,self.T2,self.Sl,self.TRD
print(i)
#print(len(Enter),len(T1),len(Sl),len(TRD))
else:
df1= pd.DataFrame(self.Enter_D,columns=['ENTER_D'])
df1['Exit_D'],df1['Enter'],df1['T1'],df1['T2'],df1['SL'],df1['TRD'],df1['ENTER_A'],df1['TS_A'] =self.Exit_D,self.Enter,self.T1,self.T2,self.Sl,self.TRD,self.Enter_A,self.TS_A
#df['Def'] = df.Enter - df.TRD
df1.to_csv(f'T{self.symbol}.csv')
self.TCalculatoin()
def Calculation(self,Enter,TRD,retail: int = 5):
amount = round(int(self.Cash[-1]) / retail,3)
if amount >2:
qty = amount / Enter
CTrae = TRD * qty
Cass= self.Cash[-1]+(CTrae - amount) if TRD >0 else self.Cash[-1]
self.Cash.append(Cass)
return CTrae , Cass
def TCalculatoin(self):
df= pd.read_csv(f'T{self.symbol}.csv')
if df.TRD.tail(1).values == 0.:
df = df[:-2]
Cas = list(map(self.Calculation,df.Enter,df.TRD))
if len(self.Enter)-len(self.TS_A) > 0:
df['CTraed'],df['Cash']=[i[0] for i in Cas],[i[1] for i in Cas]
else:
self.Cash.pop()
self.Cash.append(100)
Aing = map(self.Calculation,df.ENTER_A,df.TS_A)
df['CTraed'],df['Cash'],df['Cash_A'] =[i[0] for i in Cas],[i[1] for i in Cas],[i[1] for i in list(Aing)]
df.to_csv(f'T{self.symbol}.csv',index=False)
self.Result =df
import os
fi = os.listdir('data/5m')
fi = [i[:-4] for i in fi]
li = []
tiker = []
cast = []
fi = fi[0:]
a=0
if __name__ == '__main__':
for i in fi:
df=pd.read_csv(f"C:\\Users\\dell\\Desktop\\مجلد جديد\\data\\5m\\{i}.csv")
df1 = df
Siganl = str().macd_str(df1)
Siganl.append(0)
df1.dropna(inplace=True)
df1['siganl'] = Siganl
df1['ATR'] = ta.atr(df1.High, df1.Low, df1.Close, length=14)
df1['sma'] = ta.sma(df.Close,100)
import time
start = time.perf_counter()
#df1 = df1[6000:]
print(a,i)
a +=1
back = BACKTESTING(df1,Asign=1)
back.start(0.02,0.01,Asign=True)
tiker.append(i)
cast.append(back.Result.Cash_A.tail(1).values[-1])
li.append(back.Result.Cash.tail(1).values[-1])
#print(li)
x = pd.DataFrame(li,columns=['Cash'])
x.insert(loc=1 ,column='Cash_A', value=cast)
x.insert(loc=2 ,column='symbol', value=tiker)
x.to_csv('result3_1_2_1.6.csv')
end = time.perf_counter()
#print(df)
print(f'finshed in {end -start}')
print(df['Unnamed: 2'][:].replace('[','',))