Backtest_MA/Script2.py at main · gerry-obrien/Backtest_MA · GitHub

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
import yfinance as yf
import pandas as pd
import matplotlib.pyplot as plt
import numpy as np

def _close_prices_dataset(ticker):

    data = yf.download(ticker, start='2020-01-01', end='2024-12-31')
    df = pd.DataFrame(data)
    close_df = df[["Close"]].copy()
    close_df.reset_index(inplace=True)
    close_df.columns = close_df.columns.get_level_values(-1)
    close_df.rename(columns={'Date': 'date', ticker: 'close'}, inplace=True)
    close_df.columns = close_df.columns.get_level_values(-1)
    close_df.rename(columns={'': 'date'}, inplace=True)
    close_df["returns"] = np.log(close_df["close"]).diff()
    close_df["returns"] = close_df["returns"].shift(-1)

    return close_df

#data_df = close_prices_dataset(ticker='BTC-USD')

def _sma_dataset(stock_prices_dataset, long_sma = 200, short_sma = 50):

    stock_prices_dataset[f"{long_sma}_day_sma"] = stock_prices_dataset["close"].rolling(long_sma).mean()
    stock_prices_dataset[f"{short_sma}_day_sma"] = stock_prices_dataset["close"].rolling(short_sma).mean()
    stock_prices_dataset = stock_prices_dataset.dropna()
    stock_prices_dataset = stock_prices_dataset.reset_index(drop=True)

    return stock_prices_dataset

#sma_df = _sma_dataset(data_df, long_sma=200, short_sma=50)

def _sma_crossover_dataset(sma_stock_prices_dataset, long_sma = 200, short_sma = 50):

    sma_crossover_datalist = []

    sma_stock_prices_dataset["crossover_signal"] = np.where(sma_stock_prices_dataset[f"{short_sma}_day_sma"] >= sma_stock_prices_dataset[f"{long_sma}_day_sma"], 1, 0)
    sma_stock_prices_dataset["prev_crossover_signal"] = sma_stock_prices_dataset["crossover_signal"].shift(1, fill_value=0)

    sma_stock_prices_dataset["buy"] = (sma_stock_prices_dataset["crossover_signal"] == 1) & (sma_stock_prices_dataset["prev_crossover_signal"] == 0)
    sma_stock_prices_dataset["buy"]  = sma_stock_prices_dataset["buy"] .replace({True: 1, False: 0})
    sma_stock_prices_dataset["sell"] = (sma_stock_prices_dataset["crossover_signal"] == 0) & (sma_stock_prices_dataset["prev_crossover_signal"] == 1)
    sma_stock_prices_dataset["sell"]  = sma_stock_prices_dataset["sell"] .replace({True: 1, False: 0})

    holding = False
    for sma_stock_prices in sma_stock_prices_dataset.to_dict("records"):

        if holding and sma_stock_prices.get("sell") == 1:
            holding = False

        if not holding and sma_stock_prices.get("buy") == 1:
            holding = True

        sma_stock_prices["hold"] = holding
        sma_crossover_datalist.append(sma_stock_prices)

    sma_crossover_dataset = pd.DataFrame(sma_crossover_datalist)

    return sma_crossover_dataset

def _sma_returns_data(sma_crossover_dataset):

    sma_crossover_dataset["algo_returns"] = sma_crossover_dataset["returns"] * sma_crossover_dataset["hold"]
    sma_return = round(sma_crossover_dataset["algo_returns"].sum() * 100, 3)
    buy_and_hold_return = round(sma_crossover_dataset["returns"].sum() * 100, 3)
    total_entries = sma_crossover_dataset["buy"].sum()

    return sma_return, buy_and_hold_return, total_entries

def sma_handler(ticker, long_sma = 200, short_sma = 50):

    stock_prices_dataset = _close_prices_dataset(ticker)

    start_date = stock_prices_dataset.iloc[0]['date']
    sma_stock_prices_dataset = _sma_dataset(stock_prices_dataset, long_sma, short_sma)
    sma_crossover_dataset = _sma_crossover_dataset(sma_stock_prices_dataset, long_sma, short_sma)
    sma_return, buy_and_hold_return, total_entries = _sma_returns_data(sma_crossover_dataset)
    print(f"Ticker: {ticker}")
    print(f"Start Date: {start_date}")
    print(f"SMA Return: {sma_return}")
    print(f"Buy and Hold Return: {buy_and_hold_return}")
    print(f"Total Entries: {total_entries}")

tickers = ["BTC-USD", "ETH-USD", "SOL-USD", "ADA-USD", "XRP-USD", "DOGE-USD",]

for t in tickers:
    sma_handler(t)