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backtest.py
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backtest.py
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import argparse
import backtrader as bt
import datetime
from Strategies.AIStrategy import AIStrategy
def parse_arguments():
parser = argparse.ArgumentParser()
parser.add_argument('-s', '--startdate',
help='The date from which the simulation will start, format YYYY-MM-DD',
type=datetime.date.fromisoformat)
parser.add_argument('-e', '--enddate',
help='The date at which the simulation will end, format YYYY-MM-DD',
type=datetime.date.fromisoformat)
args = parser.parse_args()
if args.startdate:
startdate = args.startdate
else:
startdate = datetime.datetime(2022, 1, 1)
if args.enddate:
enddate = args.enddate
else:
enddate = datetime.datetime(startdate.year, startdate.month, startdate.day + 7)
return startdate, enddate
def run_simulation(startdate, enddate):
cerebro = bt.Cerebro()
cerebro.broker.setcash(100000.0) # Initial cash
# Create a Data Feed
data = bt.feeds.GenericCSVData(
dataname='datas/15min_BTC-USDT.csv',
timeframe=bt.TimeFrame.Minutes,
compression=15,
fromdate=startdate,
todate=enddate,
dtformat='%Y-%m-%d %H:%M:%S',
datetime=0,
open=1,
high=2,
low=3,
close=4,
volume=5,
openinterest=-1,
)
data.addfilter(bt.filters.SessionFilter(data))
cerebro.adddata(data)
cerebro.addstrategy(AIStrategy) # Choose a strategy
print('Starting Portfolio Value: %.2f$' % cerebro.broker.getvalue())
cerebro.run()
print('Final Portfolio Value: %.2f$' % cerebro.broker.getvalue())
cerebro.plot(style='candlestick')
if __name__ == '__main__':
start, end = parse_arguments()
run_simulation(start, end)