Merge pull request #2 from dev-abuke/task-backtesting

Task backtesting

data/binance_btc_usdt_candlestick.csv

@@ -0,0 +1,32 @@
+timestamp,open,high,low,close,volume,close_time,quote_asset_volume,number_of_trades,taker_buy_base_asset_volume,taker_buy_quote_asset_volume,ignore
+2021-06-01,37253.82000000,37894.81000000,35666.00000000,36693.09000000,81234.66377000,1622591999999,2973928300.37558711,1760417,40291.83485100,1475008291.23364731,0
+2021-06-02,36694.85000000,38225.00000000,35920.00000000,37568.68000000,67587.37249500,1622678399999,2523462575.68843765,1530915,34328.49628700,1281854474.91208278,0
+2021-06-03,37568.68000000,39476.00000000,37170.00000000,39246.79000000,75889.10601100,1622764799999,2930945325.70920706,1949658,38664.29784900,1493504667.61380185,0
+2021-06-04,39246.78000000,39289.07000000,35555.15000000,36829.00000000,91317.79924500,1622851199999,3379399754.93052259,1926311,43105.97173000,1595098152.96682665,0
+2021-06-05,36829.15000000,37925.00000000,34800.00000000,35513.20000000,70459.62149000,1622937599999,2560547116.83640575,1463754,34397.77436000,1249708171.27239164,0
+2021-06-06,35516.07000000,36480.00000000,35222.00000000,35796.31000000,47650.20663700,1623023999999,1711857075.04716966,993430,23661.26063600,850204250.76255567,0
+2021-06-07,35796.31000000,36900.00000000,33300.00000000,33552.79000000,77574.95257300,1623110399999,2755673601.71391388,1532260,36431.56058600,1295757611.70864594,0
+2021-06-08,33556.96000000,34068.01000000,31000.00000000,33380.81000000,123251.18903700,1623196799999,4030784324.60968405,2074885,60095.99020100,1966354847.56919820,0
+2021-06-09,33380.80000000,37534.79000000,32396.82000000,37388.05000000,136607.59751700,1623283199999,4794741674.43882304,2601479,68790.28926500,2415789675.08593024,0
+2021-06-10,37388.05000000,38491.00000000,35782.00000000,36675.72000000,109527.28494300,1623369599999,4062957162.36429993,2231430,53639.42402200,1990486079.21771466,0
+2021-06-11,36677.83000000,37680.40000000,35936.77000000,37331.98000000,78466.00530000,1623455999999,2903043643.31007191,1727645,39406.71922400,1458619433.27684363,0
+2021-06-12,37331.98000000,37463.63000000,34600.36000000,35546.11000000,87717.54999000,1623542399999,3132387326.53751386,1719650,42571.20531300,1520432734.29990903,0
+2021-06-13,35546.12000000,39380.00000000,34757.00000000,39020.57000000,86921.02555500,1623628799999,3208991521.63768005,1894103,45675.27361600,1688611358.41170236,0
+2021-06-14,39020.56000000,41064.05000000,38730.00000000,40516.29000000,108522.39194900,1623715199999,4320307646.76538952,2185089,53645.90874400,2135285912.62050537,0
+2021-06-15,40516.28000000,41330.00000000,39506.40000000,40144.04000000,80679.62283800,1623801599999,3247746713.62740970,1931890,39428.82972600,1587381565.81541288,0
+2021-06-16,40143.80000000,40527.14000000,38116.01000000,38349.01000000,87771.97693700,1623887999999,3450556041.60058353,2134897,42137.24225100,1657135674.82302152,0
+2021-06-17,38349.00000000,39559.88000000,37365.00000000,38092.97000000,79541.30711900,1623974399999,3065622530.03988603,1620210,37936.81267300,1462729677.11582557,0
+2021-06-18,38092.97000000,38202.84000000,35129.29000000,35819.84000000,95228.04293500,1624060799999,3507868126.30620260,1809253,44824.43656700,1651613641.38681674,0
+2021-06-19,35820.48000000,36457.00000000,34803.52000000,35483.72000000,68712.44946100,1624147199999,2453817534.77716944,1212278,33788.29334500,1207082481.76471773,0
+2021-06-20,35483.72000000,36137.72000000,33336.00000000,35600.16000000,89878.17085000,1624233599999,3124634336.84076064,1691871,44194.06738700,1537385055.49291186,0
+2021-06-21,35600.17000000,35750.00000000,31251.23000000,31608.93000000,168778.87315900,1624319999999,5545926077.78806706,2688993,81297.46975100,2671033140.18897872,0
+2021-06-22,31614.12000000,33298.78000000,28805.00000000,32509.56000000,204208.17976200,1624406399999,6406159197.07678900,3113977,99149.18226600,3115465362.96708140,0
+2021-06-23,32509.56000000,34881.00000000,31683.00000000,33678.07000000,126966.10056300,1624492799999,4282250433.91944518,2026228,63340.03313700,2136458765.58680401,0
+2021-06-24,33675.07000000,35298.00000000,32286.57000000,34663.09000000,86625.80426000,1624579199999,2925373222.10597716,1531230,43994.70829800,1486960778.32677295,0
+2021-06-25,34663.08000000,35500.00000000,31275.00000000,31584.45000000,116061.13035600,1624665599999,3846120542.65729680,2094932,55656.15625200,1846078278.30478276,0
+2021-06-26,31576.09000000,32730.00000000,30151.00000000,32283.65000000,107820.37528700,1624751999999,3376415451.79312412,1814051,52978.15925600,1659918820.24047804,0
+2021-06-27,32283.65000000,34749.00000000,31973.45000000,34700.34000000,96613.24421100,1624838399999,3199980157.75033328,1799875,48772.52918000,1616348030.48262429,0
+2021-06-28,34702.49000000,35297.71000000,33862.72000000,34494.89000000,82222.26781900,1624924799999,2837122779.52440164,1868627,40552.29218000,1399861431.16463476,0
+2021-06-29,34494.89000000,36600.00000000,34225.43000000,35911.73000000,90788.79622000,1625011199999,3233947791.86338857,1673802,45376.58762900,1616093004.85216473,0
+2021-06-30,35911.72000000,36100.00000000,34017.55000000,35045.00000000,77152.19763400,1625097599999,2688939291.09567313,1301036,37035.76967400,1290873346.22416245,0
+2021-07-01,35045.00000000,35057.57000000,32711.00000000,33504.69000000,71708.26611200,1625183999999,2410809595.39045694,1240681,34986.05501600,1176002216.56568103,0

data/yfinance_btc_usdt_2020-01-01_to_2021-01-01.csv

@@ -0,0 +1 @@
+Date,Open,High,Low,Close,Adj Close,Volume

scripts/backtest.py

@@ -0,0 +1,24 @@
+import backtrader as bt
+import pandas as pd
+import os
+import sys
+
+class TestStrategy(bt.Strategy):
+    def __init__(self):
+        self.sma = bt.indicators.SimpleMovingAverage(self.data.close, period=15)
+
+    def next(self):
+        if self.sma > self.data.close:
+            self.buy()
+        elif self.sma < self.data.close:
+            self.sell()
+
+if __name__ == '__main__':
+    print(os.getcwd())
+    cerebro = bt.Cerebro()
+    df = pd.read_csv('data/binance_btc_usdt_candlestick.csv', index_col='timestamp', parse_dates=True)
+    data = bt.feeds.PandasData(dataname=df)
+    cerebro.adddata(data)
+    cerebro.addstrategy(TestStrategy)
+    cerebro.run()
+    cerebro.plot()

scripts/fetch_binance_data.py

@@ -0,0 +1,26 @@
+import requests
+import pandas as pd
+import os
+
+def fetch_candlestick_data(symbol, interval, start, end, api_key):
+    url = f"https://api.binance.com/api/v3/klines?symbol={symbol}&interval={interval}&startTime={start}&endTime={end}"
+    headers = {'X-MBX-APIKEY': api_key}
+    response = requests.get(url, headers=headers)
+    data = response.json()
+    df = pd.DataFrame(data, columns=[
+        'timestamp', 'open', 'high', 'low', 'close', 'volume', 'close_time', 
+        'quote_asset_volume', 'number_of_trades', 'taker_buy_base_asset_volume', 
+        'taker_buy_quote_asset_volume', 'ignore'])
+    df['timestamp'] = pd.to_datetime(df['timestamp'], unit='ms')
+    df.set_index('timestamp', inplace=True)
+    return df
+
+if __name__ == '__main__':
+    API_KEY = os.getenv('BINANCE_API_KEY')
+    symbol = 'BTCUSDT'
+    interval = '1d'
+    start = 1622505600000  # Start timestamp in milliseconds
+    end = 1625097600000    # End timestamp in milliseconds
+    df = fetch_candlestick_data(symbol, interval, start, end, API_KEY)
+    df.to_csv(f'btc_usdt_candlestick_{start}_to_{end}.csv')
+    print(df.head())

scripts/fetch_yahoo_finance_data.py

@@ -0,0 +1,11 @@
+import yfinance as yf
+import pandas as pd
+
+def download_data(ticker, start_date, end_date):
+    data = yf.download(ticker, start=start_date, end=end_date)
+    data.to_csv(f"data/{ticker}.csv")
+
+if __name__ == "__main__":
+    start_date = "2020-01-01"
+    end_date = "2021-01-01"
+    download_data(f"yfinance_btc_usdt_{start_date}_to_{end_date}", start_date=start_date, end_date=end_date)