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David Brazda
208
research/indcross_parametrized.ipynb
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208
research/indcross_parametrized.ipynb
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{
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"cells": [
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"celkovy optimalizacni backtest na vetsim oknu 1 - 300\n",
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"a možná take to udělat jako parametr\n",
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"zkusit CV\n",
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"zobrazit nejak robustnost parametru"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"from v2realbot.tools.loadbatch import load_batch\n",
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"from v2realbot.utils.utils import zoneNY\n",
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"import pandas as pd\n",
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"import numpy as np\n",
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"import vectorbtpro as vbt\n",
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"from itables import init_notebook_mode, show\n",
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"import datetime\n",
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"from itertools import product\n",
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"\n",
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"init_notebook_mode(all_interactive=True)\n",
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"\n",
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"vbt.settings.set_theme(\"dark\")\n",
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"vbt.settings['plotting']['layout']['width'] = 1280\n",
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"vbt.settings.plotting.auto_rangebreaks = True\n",
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"# Set the option to display with pagination\n",
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"pd.set_option('display.notebook_repr_html', True)\n",
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"pd.set_option('display.max_rows', 10) # Number of rows per page\n",
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"\n",
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"# Define the market open and close times\n",
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"market_open = datetime.time(9, 30)\n",
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"market_close = datetime.time(16, 0)\n",
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"entry_window_opens = 1\n",
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"entry_window_closes = 370\n",
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"\n",
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"forced_exit_start = 380\n",
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"forced_exit_end = 390\n",
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"\n",
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"res, df = load_batch(batch_id=\"f1ac6651\", #138170bc 0fb5043a bde6d0be f1ac6651\n",
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" space_resolution_evenly=False,\n",
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" indicators_columns=[\"Rsi14\"],\n",
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" main_session_only=True,\n",
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" verbose = False)\n",
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"if res < 0:\n",
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" print(\"Error\" + str(res) + str(df))\n",
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"df = df[\"bars\"]\n",
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"\n",
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"df\n",
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"\n",
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"basic_data = vbt.Data.from_data(vbt.symbol_dict({\"BAC\": df}), tz_convert=zoneNY)\n",
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"#m1_data = basic_data[['Open', 'High', 'Low', 'Close', 'Volume']]\n",
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"basic_data = basic_data.transform(lambda df: df.between_time('09:30', '16:00'))\n",
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"#basic_data.info()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"vbt.open_api_ref(vbt.base)\n",
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"\n",
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"vbt"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"##na toto udelat crosssvalidationu nebo alespon na testovacim ci jinem obdobi\n",
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"#take udelat long leg - tato je shortovaci\n",
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"\n",
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"#8\t-0.06\t-0.2\t0.0028\t0.0048\t4.156254\n",
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"\n",
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"#short combination ok for train(4)/test(0.1) (window 1-90, fe 95-100)\n",
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"#2,\t-0.02,\t-0.25,\t0.0018,\t0.0068\n",
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"\n",
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"#dalsi ok hodnota shortu for train/test 4/1\n",
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"#70,\t8,\t-0.06,\t-0.2,\t0.0013,\t0.0053\t\n",
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"\n",
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"\n",
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"#kombinace bez roc_th, train/test 7/-1.5\n",
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"#70\t7\t-0.07\t0.0033\t0.0063\n",
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"\n",
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"#opet bez roc_th, train(5.77)/test 0.9 - spolus tsl_stop + tsl_th\n",
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"#29\t7\t-0.09\t0.0033\t0.0068\n",
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"\n",
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"#bez roc_th a s trailing sl train/test 8.1/-0.8 \n",
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"#70\t2\t-0.05\t0.0018\t0.0068\n",
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"\n",
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"\n",
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"# TODO:\n",
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"#- vyzkouset zda nejvyhodnejsi kombinace krom train/testu funguje i na nasledujicich dnech po trainu\n",
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"# -zkusit najit v short datasetu neco vyhodneho co funguji i na testu\n",
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"# - dodelat kombinace pro long signaly\n",
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"# - zkusit walk forward\n",
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"# - vytvorit vysledkove totoznou na v2realbot\n",
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"# - podivat se jak detailne funguji tsl_stop a tsl_th\n",
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"\n",
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"#70,\t4,\t-0.07,\t0.0048,\t0.0068\t\n",
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"\n",
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"\n",
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"entry_window_closes, mom_timeperiod, mom_th, sl_stop, tp_stop = 8,\t3,\t0.07,\t0.0028,\t0.0033\t\n",
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"roc_th = 0\n",
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"momshort = vbt.indicator(\"talib:MOM\").run(basic_data.close, timeperiod=mom_timeperiod, short_name = \"slope_short\")\n",
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"rocp = vbt.indicator(\"talib:ROC\").run(basic_data.close, short_name = \"rocp\")\n",
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"#rate of change + momentum\n",
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"\n",
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"#momshort.plot rocp.real_crossed_below(roc_th) & \n",
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"short_signal = momshort.real_crossed_below(mom_th)\n",
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"\n",
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"long_signal = momshort.real_crossed_above(mom_th)\n",
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"\n",
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"# print(\"short signal\")\n",
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"# print(short_signal.value_counts())\n",
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"\n",
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"#forced_exit = pd.Series(False, index=close.index)\n",
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"forced_exit = basic_data.symbol_wrapper.fill(False)\n",
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"#entry_window_open = pd.Series(False, index=close.index)\n",
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"entry_window_open= basic_data.symbol_wrapper.fill(False)\n",
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"\n",
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"# Calculate the time difference in minutes from market open for each timestamp\n",
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"elapsed_min_from_open = (forced_exit.index.hour - market_open.hour) * 60 + (forced_exit.index.minute - market_open.minute)\n",
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"\n",
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"entry_window_open[(elapsed_min_from_open >= entry_window_opens) & (elapsed_min_from_open < entry_window_closes)] = True\n",
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"\n",
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"#print(entry_window_open.value_counts())\n",
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"\n",
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"forced_exit[(elapsed_min_from_open >= forced_exit_start) & (elapsed_min_from_open < forced_exit_end)] = True\n",
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"short_entries = (short_signal & entry_window_open)\n",
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"short_exits = forced_exit\n",
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"\n",
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"entries = (long_signal & entry_window_open)\n",
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"exits = forced_exit\n",
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"#long_entries.info()\n",
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"#number of trues and falses in long_entries\n",
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"# print(short_exits.value_counts())\n",
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"# print(short_entries.value_counts())\n",
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"\n",
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"#fig = plot_2y_close([],[momshort, rocp], close)\n",
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"#short_signal.vbt.signals.plot_as_entries(close, fig=fig, add_trace_kwargs=dict(secondary_y=False))\n",
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"#print(sl_stop)\n",
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"#short_entries=short_entries, short_exits=short_exits,\n",
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"pf = vbt.Portfolio.from_signals(close=basic_data, entries=entries, exits=exits, tsl_stop=sl_stop, tp_stop = tp_stop, fees=0.0167/100, freq=\"1s\") #sl_stop=sl_stop, tp_stop = sl_stop,\n",
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"\n",
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"pf.stats()\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"pf.plot()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"pf.get_drawdowns().records_readable"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"pf.orders.records_readable"
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]
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": ".venv",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"codemirror_mode": {
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"name": "ipython",
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"version": 3
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.10.11"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 2
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}
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