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    Sample 1

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    m03479368
    This document contains code to analyze currency exchange rate data and develop a trading strategy. It imports various libraries, calculates technical indicators on the data, develops signals, and backtests a strategy using those signals. The strategy aims to enter long or short positions when signals are generated and uses stop loss and take profit levels based on average true range.

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    © All Rights Reserved
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    Sample 1

    Uploaded by

    m03479368
    35 views3 pages
    This document contains code to analyze currency exchange rate data and develop a trading strategy. It imports various libraries, calculates technical indicators on the data, develops signals, and backtests a strategy using those signals. The strategy aims to enter long or short positions when signals are generated and uses stop loss and take profit levels based on average true range.

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    sample 1

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    This document contains code to analyze currency exchange rate data and develop a trading strategy. It imports various libraries, calculates technical indicators on the data, develops signals, and backtests a strategy using those signals. The strategy aims to enter long or short positions when signals are generated and uses stop loss and take profit levels based on average true range.

    Copyright:

    © All Rights Reserved
    Download as TXT, PDF, TXT or read online from Scribd
    Download as txt, pdf, or txt
    35 views3 pages

    Sample 1

    Uploaded by

    m03479368
    This document contains code to analyze currency exchange rate data and develop a trading strategy. It imports various libraries, calculates technical indicators on the data, develops signals, and backtests a strategy using those signals. The strategy aims to enter long or short positions when signals are generated and uses stop loss and take profit levels based on average true range.

    Copyright:

    © All Rights Reserved
    Download as TXT, PDF, TXT or read online from Scribd
    Download as txt, pdf, or txt
    You are on page 1of 3

    import pandas as pd

    import numpy as np
    import pandas_ta as ta
    import plotly.graph_objects as go
    from plotly.subplots import make_subplots
    from datetime import datetime
    from backtesting import Strategy
    from backtesting import Backtest
    df=pd.read_csv("EURUSD_Candlestick_5_M_ASK_30.08.2022,.30.09.2022.csv")
    df

    df["VWAP"]=ta.vwap(df.High, df.Low, df.Close, df.Volume)


    df['RSI']=ta.rsi(df.Close, length=16)
    my_bbands = ta.bbands(df.Close, length=14, std=2.0)
    df=df.join(my_bbands)
    VWAPsignal = [0]*len(df)
    backcandles = 15

    for row in range(backcandles, len(df)):


    upt = 1
    dnt = 1
    for i in range(row-backcandles, row+1):
    if max(df.Open[i], df.Close[i])>=df.VWAP[i]:
    dnt=0
    if min(df.Open[i], df.Close[i])<=df.VWAP[i]:
    upt=0
    if upt==1 and dnt==1:
    VWAPsignal[row]=3
    elif upt==1:
    VWAPsignal[row]=2
    elif dnt==1:
    VWAPsignal[row]=1

    df['VWAPSignal'] = VWAPsignal
    def TotalSignal(l):
    if (df.VWAPSignal[l]==2
    and df.Close[l]<=df['BBL_14_2.0'][l]
    and df.RSI[l]<45):
    return 2
    if (df.VWAPSignal[l]==1
    and df.Close[l]>=df['BBU_14_2.0'][l]
    and df.RSI[l]>55):
    return 1
    return 0

    TotSignal = [0]*len(df)
    for row in range(backcandles, len(df)): #careful backcandles used previous cell
    TotSignal[row] = TotalSignal(row)
    df['TotalSignal'] = TotSignal
    df[df.TotalSignal!=0].count()
    def pointposbreak(x):
    if x['TotalSignal']==1:
    return x['High']+1e-4
    elif x['TotalSignal']==2:
    return x['Low']-1e-4
    else:
    return np.nan

    df['pointposbreak'] = df.apply(lambda row: pointposbreak(row), axis=1)


    st=10400
    dfpl = df[st:st+350]
    dfpl.reset_index(inplace=True)
    fig = go.Figure(data=[go.Candlestick(x=dfpl.index,
    open=dfpl['Open'],
    high=dfpl['High'],
    low=dfpl['Low'],
    close=dfpl['Close']),
    go.Scatter(x=dfpl.index, y=dfpl.VWAP,
    line=dict(color='blue', width=1),
    name="VWAP"),
    go.Scatter(x=dfpl.index, y=dfpl['BBL_14_2.0'],
    line=dict(color='green', width=1),
    name="BBL"),
    go.Scatter(x=dfpl.index, y=dfpl['BBU_14_2.0'],
    line=dict(color='green', width=1),
    name="BBU")])

    fig.add_scatter(x=dfpl.index, y=dfpl['pointposbreak'], mode="markers",


    marker=dict(size=10, color="MediumPurple"),
    name="Signal")
    fig.show()
    dfpl = df[:75000].copy()
    import pandas_ta as ta
    dfpl['ATR']=ta.atr(dfpl.High, dfpl.Low, dfpl.Close, length=7)
    #help(ta.atr)
    def SIGNAL():
    return dfpl.TotalSignal

    class MyStrat(Strategy):
    initsize = 0.99
    mysize = initsize
    def init(self):
    super().init()
    self.signal1 = self.I(SIGNAL)

    def next(self):
    super().next()
    slatr = 1.2*self.data.ATR[-1]
    TPSLRatio = 1.5

    if len(self.trades)>0:
    if self.trades[-1].is_long and self.data.RSI[-1]>=90:
    self.trades[-1].close()
    elif self.trades[-1].is_short and self.data.RSI[-1]<=10:
    self.trades[-1].close()

    if self.signal1==2 and len(self.trades)==0:


    sl1 = self.data.Close[-1] - slatr
    tp1 = self.data.Close[-1] + slatr*TPSLRatio
    self.buy(sl=sl1, tp=tp1, size=self.mysize)

    elif self.signal1==1 and len(self.trades)==0:


    sl1 = self.data.Close[-1] + slatr
    tp1 = self.data.Close[-1] - slatr*TPSLRatio
    self.sell(sl=sl1, tp=tp1, size=self.mysize)

    bt = Backtest(dfpl, MyStrat, cash=100, margin=1/10, commission=0.00)


    stat = bt.run()
    stat

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