diff --git a/.idea/.gitignore b/.idea/.gitignore new file mode 100644 index 0000000..26d3352 --- /dev/null +++ b/.idea/.gitignore @@ -0,0 +1,3 @@ +# Default ignored files +/shelf/ +/workspace.xml diff --git a/.idea/AdvancedTradingAlgorithm.iml b/.idea/AdvancedTradingAlgorithm.iml new file mode 100644 index 0000000..9a323b0 --- /dev/null +++ b/.idea/AdvancedTradingAlgorithm.iml @@ -0,0 +1,10 @@ + + + + + + + + + + \ No newline at end of file diff --git a/.idea/inspectionProfiles/profiles_settings.xml b/.idea/inspectionProfiles/profiles_settings.xml new file mode 100644 index 0000000..105ce2d --- /dev/null +++ b/.idea/inspectionProfiles/profiles_settings.xml @@ -0,0 +1,6 @@ + + + + \ No newline at end of file diff --git a/.idea/misc.xml b/.idea/misc.xml new file mode 100644 index 0000000..dc9ea49 --- /dev/null +++ b/.idea/misc.xml @@ -0,0 +1,4 @@ + + + + \ No newline at end of file diff --git a/.idea/modules.xml b/.idea/modules.xml new file mode 100644 index 0000000..a25cf7c --- /dev/null +++ b/.idea/modules.xml @@ -0,0 +1,8 @@ + + + + + + + + \ No newline at end of file diff --git a/.idea/vcs.xml b/.idea/vcs.xml new file mode 100644 index 0000000..94a25f7 --- /dev/null +++ b/.idea/vcs.xml @@ -0,0 +1,6 @@ + + + + + + \ No newline at end of file diff --git a/Analysis_Index.py b/Analysis_Index.py new file mode 100644 index 0000000..9f7edb3 --- /dev/null +++ b/Analysis_Index.py @@ -0,0 +1,366 @@ +import matplotlib.pylab as plt +import numpy as np +import pandas as pd +import yfinance as yf + + +class Quote : + mDate = "Date" + mOpen = "Open" + mHigh = "High" + mLow = "Low" + mClose = "Close" + mAdjClose = "Adj Close" + mVolume = "Volume" + + +class Metrics : + + def __init__( self , date , wick_2_wick_range , body_2_body_range ) : + self.Date = date + self.Wick_2_Wick_Range = wick_2_wick_range + self.Body_2_Body_Range = body_2_body_range + + +class Metrics2 : + def __init__( self , year , min_wick , max_wick , min_body , max_body ) : + self.Year = year + self.Min_Wick = min_wick + self.Max_Wick = max_wick + self.Min_Body = min_body + self.Max_Body = max_body + + +class Analysis_Index : + + def __init__( self , TradingSymbol ) : + print( "Constructor Called" ) + + print( "Creating Storage to Store Historical (Financial) Data" ) + self.df_history_data = pd.DataFrame( + columns = [ Quote.mDate , Quote.mOpen , Quote.mHigh , Quote.mLow , Quote.mClose , Quote.mAdjClose , + Quote.mVolume ] + ) + + print( "Stock Symbol is " , TradingSymbol ) + + self.get_history_data( TradingSymbol ) + self.evaluate_Metrics( ) + # self.print_All_stats( ) + + # self.Get_Results_on_Quartile_framework( ) + self.Visualize_Data( ) + + def Visualize_Data( self ) : + try : + processing_year = 0 + + no_of_record = len( self.list_metrics ) + counter = 0 + datetime = [ ] + wick_2_wick = [ ] + body_2_body = [ ] + for record in self.list_metrics : + counter = counter+1 + + if processing_year == 0 : # first read + processing_year = record.Date.year + print( "Step 1 :First Record .." ) + + if processing_year != record.Date.year : + print( "Step 2: New Record Coming.." ) + print( "evaluating last record" ) + + """ Plot data to Charts- Graph""" + self.plot_point_into_multi_graphh( datetime , wick_2_wick , processing_year , "Wick Range" , + "ON WICK ABS(H-L)" + ) + self.plot_point_into_multi_graphh( datetime , body_2_body , processing_year , "Body Range" , + "On Body ABS(O-C)" + ) + + processing_year = record.Date.year + + """ clear all items in list""" + del datetime[ : ] + del wick_2_wick[ : ] + del body_2_body[ : ] + + """Add Item in temp List """ + datetime.append( record.Date ) + wick_2_wick.append( record.Wick_2_Wick_Range ) + body_2_body.append( record.Body_2_Body_Range ) + + if (no_of_record == counter) : # last item in record + print( "Step 3 :Last Record - Evaluating" ) + self.plot_point_into_multi_graphh( datetime , wick_2_wick , processing_year , "Wick Range" , + "ON WICK ABS(H-L)" + ) + self.plot_point_into_multi_graphh( datetime , body_2_body , processing_year , "Body Range" , + "On Body ABS(O-C)" + ) + + + + + + + except : + print( " Failed to Genertae Data" ) + + def get_history_data( self , TradingSymbol ) : + try : + + """Call Yahoo Finance Function () to get data """ + self.df_history_data = yf.download( TradingSymbol , start = "2019-01-01" , end = "2019-12-31" + ).reset_index( ) + # self.df_history_data = data.DataReader( TradingSymbol , start = "2023-01-01" , end = "2023-10-01" ) + + # self.df_history_data = self.df_history_data.reset_index() + """ date coloumn is itself index""" + + """ Convert Date to DateTime """ + self.df_history_data[ Quote.mDate ] = pd.to_datetime( self.df_history_data[ Quote.mDate ] ) + + _count_rows_in_df = len( self.df_history_data ) + print( "Row(s) present in Fetching(s) Financial Data : " , _count_rows_in_df ) + + self.Strat_Analysing( ) + except : + print( "Error(s) Occur while Downloading.." ) + + def Strat_Analysing( self ) : + + if len( self.df_history_data ) == 0 : + print( "No Data Found" ) + return + + List_processing_year_record = [ ] + self.list_metrics = [ ] + + for index , bar in self.df_history_data.iterrows( ) : + # print(bar) + + _get_current_processing_year = bar[ Quote.mDate ].year + if _get_current_processing_year not in List_processing_year_record : + List_processing_year_record.append( _get_current_processing_year ) + # print( "Processing Year is :" , _get_current_processing_year ) + + try : + wick_2_wick = abs( bar[ Quote.mHigh ]-bar[ Quote.mLow ] ) + body_2_body = abs( bar[ Quote.mOpen ]-bar[ Quote.mClose ] ) + + """ Creaet object For Metrics """ + O = Metrics( bar[ Quote.mDate ] , wick_2_wick , body_2_body ) + + if wick_2_wick > 100 : + print( bar[ Quote.mDate ] , wick_2_wick , body_2_body ) + + self.list_metrics.append( O ) + + # print("Year is :" ,bar.index ) + + except : + print( "Unknown Error(s) Occured" ) + return + + + def evaluate_Metrics( self ) : + + min_wick_range = 0 + min_body_range = 0 + + max_wick_range = 0 + max_body_range = 0 + + processing_year = 0 + + metrics = [ ] + + self.List_metrics_return = [ ] + + last_record = len( self.list_metrics ) + scanning_rows = 0 + for metric in self.list_metrics : + scanning_rows = scanning_rows+1 + if (processing_year != metric.Date.year) : + + """ Save Last(Process) Recod """ + if processing_year != 0 : + m = Metrics2( processing_year , min_wick_range , max_wick_range , min_body_range , max_body_range ) + self.List_metrics_return.append( m ) + + processing_year = metric.Date.year + + min_wick_range = metric.Wick_2_Wick_Range + min_body_range = metric.Body_2_Body_Range + + max_wick_range = metric.Wick_2_Wick_Range + max_body_range = metric.Body_2_Body_Range + + """ Major Calculation """ + + if min_body_range > metric.Body_2_Body_Range : + min_body_range = metric.Body_2_Body_Range + + if min_wick_range > metric.Wick_2_Wick_Range : + min_wick_range = metric.Wick_2_Wick_Range + + if max_wick_range < metric.Wick_2_Wick_Range : + max_wick_range = metric.Wick_2_Wick_Range + + if max_body_range < metric.Body_2_Body_Range : + max_body_range = metric.Body_2_Body_Range + + """ Record last Result """ + + if processing_year not in metrics : # n- 1 Year + metrics.append( processing_year ) + + # print("MA" ,processing_year ) + + if scanning_rows == last_record : # nth Year + print( "Last Record is --" ) + + m = Metrics2( processing_year , min_wick_range , max_wick_range , min_body_range , max_body_range ) + self.List_metrics_return.append( m ) + + # if(metric.Wick_2_Wick_Range) + + # """ print Analysis """ + # print("MIN WICK Range :" , min_wick_range) + # print( "MIN BODY Range :" , min_body_range ) + # + # print( "MAX WICK Range :" , max_wick_range ) + # print( "MAX BODY Range :" , max_body_range ) + print( "Task evaluate_Metrics is Completed : Now Start get ALl Statitics Result " ) + + def print_All_stats( self ) : + print( "Processing year ," , "MIN WICK_2_WICK ," , "MAX WICK_2_WICK," , + "MIN BODY_2_BODY," , "MAX BODY_2_BODY," + ) + for stat in self.List_metrics_return : + # print("Processing year :" ,stat.Year , "MIN WICK_2_WICK :" , round(stat.Min_Wick,2), "MAX WICK_2_WICK" , round(stat.Max_Wick,2) , + # "MIN BODY_2_BODY : ", round(stat.Min_Body,2) , "MAX BODY_2_BODY :" ,round( stat.Max_Body)) + + print( stat.Year , "," , round( stat.Min_Wick , 2 ) , "," , round( stat.Max_Wick , 2 ) , "," , + round( stat.Min_Body , 2 ) , "," , round( stat.Max_Body ) + ) + def Get_Results_on_Quartile_framework( self ) : + try : + print( "Quartile" ) + + processing_year = 0 + + _list_wick = [ ] + _list_body = [ ] + + total_rows = len( self.list_metrics ) + counter = 0 + for item in self.list_metrics : + + counter = counter+1 + + """ Step 1 :Tramsfer ( update) First Record """ + if (processing_year != item.Date.year and processing_year != 0) or ( + total_rows == counter and processing_year != 0) : + processing_year = item.Date.year + print( "Processing Quartile on :" , processing_year ) + + """ perform Quartile """ + _list_wick.sort( ) + _list_body.sort( ) + print( "On Wick " ) + self.calculating_Quartile( _list_wick , processing_year , "ON WICK ABS(H-L)" ) + print( "On Body " ) + self.calculating_Quartile( _list_body , processing_year , "On BODY ABS(O-C) " ) + + """ Clean(Clear) Run Time List """ + _list_body.clear( ) + _list_wick.clear( ) + + """Step 2 : Read and Load """ + processing_year = item.Date.year + _list_wick.append( item.Wick_2_Wick_Range ) + _list_body.append( item.Body_2_Body_Range ) + # print( "Test" , item.Date.year ) + + + + + except : + print( "Error(s) Occured" ) + + def calculating_Quartile( self , list_input , processing_year , Message ) : + try : + list = np.array( list_input ) + q1 = np.quantile( list , .25 ) + q2 = np.quantile( list , .50 ) + + q3 = np.quantile( list , .75 ) + _100 = np.quantile( list , .100 ) + + print( "25 % is :" , q1 ) + print( "50 % is :" , q2 ) + print( "75 % is :" , q3 ) + print( "100% is :" , _100 ) + + """PLT Data """ + plt.boxplot( list , vert = False ) + # Add quartile annotations + plt.annotate( f'Q1: {q1:.2f}' , xy = (q1 , 1) , xytext = (q1 , 1.1) , + arrowprops = dict( facecolor = 'black' , shrink = 0.05 ) + ) + plt.annotate( f'Q2: {q2:.2f}' , xy = (q2 , 1) , xytext = (q2 , 1.1) , + arrowprops = dict( facecolor = 'black' , shrink = 0.05 ) + ) + plt.annotate( f'Q3: {q3:.2f}' , xy = (q3 , 1) , xytext = (q3 , 1.1) , + arrowprops = dict( facecolor = 'black' , shrink = 0.05 ) + ) + + # Add title and labels + plt.title( f'Box Plot of Data with Quartiles Year {processing_year} , {Message}' ) + plt.xlabel( 'Values' ) + + # Show the plot + plt.show( ) + + + + except : + print( "Error(s) While Calcualating Quartile" ) + + def plot_point_into_graphh( self , date_time , datapoints , processing_year , message , type_body_or_wick ) : + try : + plt.plot( date_time , datapoints ) + + plt.xlabel( "Date Time" ) # add X-axis label + plt.ylabel( message ) # add Y-axis label + plt.title( f"Processing Year :{processing_year} on {type_body_or_wick}" ) # add title + + plt.show( ) + + except : + print( "Failed to Visualize Current Data " ) + + def plot_point_into_multi_graphh( self , date_time , datapoints , processing_year , message , type_body_or_wick ) : + try : + # plt.plot( date_time , datapoints ) + plt.plot( date_time , datapoints , 'k.-' , label = f'Range {type_body_or_wick} ' ) + + AVERAGE = 0 + if len( datapoints ) > 0 : + AVERAGE = sum( datapoints ) / len( datapoints ) + + plt.axhline( AVERAGE , color = 'red' , linestyle = '--' , linewidth = 3 , label = 'Average' ) + + plt.xlabel( "Date Time" ) # add X-axis label + plt.ylabel( message ) # add Y-axis label + + legend = plt.legend( loc = 'upper right' ) + plt.title( f"Processing Year :{processing_year} {type_body_or_wick}" ) # add title + + plt.show( ) + + except Exception as e : + print( f"Failed to Visualize Current Data {e}") diff --git a/Data/NIFTY2Week.csv b/Data/NIFTY2Week.csv new file mode 100644 index 0000000..56904ac --- /dev/null +++ b/Data/NIFTY2Week.csv @@ -0,0 +1,3226 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14:59:00,19765.35,19765.35,19761.30,19761.75,0.00,0,0,0,0 +13-10-2023 15:00:00,19762.15,19766.05,19760.45,19764.75,0.00,0,0,0,0 +13-10-2023 15:01:00,19764.90,19766.50,19759.75,19765.20,0.00,0,0,0,0 +13-10-2023 15:02:00,19765.85,19766.55,19763.40,19766.45,0.00,0,0,0,0 +13-10-2023 15:03:00,19765.60,19766.65,19761.85,19764.65,0.00,0,0,0,0 +13-10-2023 15:04:00,19765.10,19766.85,19764.50,19766.20,0.00,0,0,0,0 +13-10-2023 15:05:00,19766.65,19766.75,19763.45,19763.85,0.00,0,0,0,0 +13-10-2023 15:06:00,19764.50,19764.90,19757.45,19761.75,0.00,0,0,0,0 +13-10-2023 15:07:00,19761.70,19761.70,19755.70,19760.45,0.00,0,0,0,0 +13-10-2023 15:08:00,19760.00,19760.65,19756.35,19756.85,0.00,0,0,0,0 +13-10-2023 15:09:00,19757.00,19758.30,19751.45,19756.85,0.00,0,0,0,0 +13-10-2023 15:10:00,19758.20,19758.65,19754.15,19757.00,0.00,0,0,0,0 +13-10-2023 15:11:00,19757.60,19760.40,19755.75,19758.50,0.00,0,0,0,0 +13-10-2023 15:12:00,19758.80,19758.80,19748.10,19748.15,0.00,0,0,0,0 +13-10-2023 15:13:00,19748.25,19749.90,19745.65,19749.50,0.00,0,0,0,0 +13-10-2023 15:14:00,19750.25,19759.35,19747.85,19755.60,0.00,0,0,0,0 +13-10-2023 15:15:00,19755.55,19756.10,19751.05,19753.10,0.00,0,0,0,0 +13-10-2023 15:16:00,19753.45,19753.45,19750.55,19751.40,0.00,0,0,0,0 +13-10-2023 15:17:00,19751.75,19753.00,19749.25,19751.70,0.00,0,0,0,0 +13-10-2023 15:18:00,19751.55,19751.70,19748.40,19748.40,0.00,0,0,0,0 +13-10-2023 15:19:00,19749.10,19755.75,19747.55,19751.45,0.00,0,0,0,0 +13-10-2023 15:20:00,19751.40,19754.00,19748.95,19750.55,0.00,0,0,0,0 +13-10-2023 15:21:00,19750.25,19752.15,19747.35,19747.35,0.00,0,0,0,0 +13-10-2023 15:22:00,19747.80,19749.45,19741.90,19741.90,0.00,0,0,0,0 +13-10-2023 15:23:00,19742.10,19742.55,19739.30,19741.25,0.00,0,0,0,0 +13-10-2023 15:24:00,19741.15,19750.15,19739.90,19750.15,0.00,0,0,0,0 +13-10-2023 15:25:00,19747.90,19747.90,19740.95,19743.70,0.00,0,0,0,0 +13-10-2023 15:26:00,19743.50,19743.60,19736.95,19738.20,0.00,0,0,0,0 +13-10-2023 15:27:00,19737.85,19739.50,19734.70,19739.30,0.00,0,0,0,0 +13-10-2023 15:28:00,19740.35,19740.45,19735.40,19739.60,0.00,0,0,0,0 +13-10-2023 15:29:00,19739.45,19739.45,19729.35,19733.75,0.00,0,0,0,0 diff --git a/Financial Data/main.py b/Financial Data/main.py new file mode 100644 index 0000000..646453a --- /dev/null +++ b/Financial Data/main.py @@ -0,0 +1,54 @@ +import pandas as pd + +import FinancialData as da + +if __name__ == '__main__' : + print( "starting.." ) + + +# new seperate class to load data +class ReadData : + + def __init__( self ) : + self.path = da.DataPath.path + + self.df_Ohlc = pd.read_csv( self.path ) + + def verify_ohlc_data( self ) : + + # if datafraome is empty + count_rows = self.df_Ohlc.shape[ 0 ] + print( "Total rows :" , count_rows ) + + # data contain """slice postion """ + self.df_Ohlc[ 'creation_date' ] = pd.to_datetime( self.df_Ohlc[ da.OHLCV.time ] ) + starting_time = self.df_Ohlc[ 'creation_date' ].min( ) + last_time = self.df_Ohlc[ 'creation_date' ].max( ) + + print( "Data : Starting from ->" , starting_time ) + print( "Data: Last Data time ->" , last_time ) + + if (count_rows >= 0) : + return True + else : + return False + + def get_data( self ) : + isvalid = self.verify_ohlc_data( ) + if isvalid : + return self.df_Ohlc + + else : + print( "Error in Data file :" , da.DataPath.path ) + return pd.DataFrame( ) + + +# create class to load OHLC data +class IndexAnalysis : + + def __init__( self ) : + +# check if file is empty or not + + +# See PyCharm help at https://www.jetbrains.com/help/pycharm/ diff --git a/FinancialData.py b/FinancialData.py new file mode 100644 index 0000000..3c80d5d --- /dev/null +++ b/FinancialData.py @@ -0,0 +1,20 @@ +# Define Data File Header as present in Csv Format """ +# time into inth intl intc intvwap intv v intoi oi +class OHLCV: + time ="time" + into="into" + inth="inth" + intl ="intl" + intc="intc" + intvwap="intvwap" + v="v" + intoi="intoi" + oi="oi" + +class DateTimeFromat : + dd_mm_yyyy__HH_MM_SS = "%d-%m-%Y %H:%M:%S" + + +class DataPath : + filename = "NIFTY_Intraday.csv" + path = ".//Data//"+filename+".csv" diff --git a/QuantAlgo1.py b/QuantAlgo1.py new file mode 100644 index 0000000..21e0aa1 --- /dev/null +++ b/QuantAlgo1.py @@ -0,0 +1,496 @@ +import numpy as np +import pandas as pd +from stock_indicators import CandlePart +from stock_indicators import Quote +from stock_indicators import indicators + +import FinancialData as fd +import Report as R +import RiskManagement as Z + + +# new seperate class to load data +class ReadData : + + def __init__( self ) : + self.path = fd.DataPath.path + + self.df_Ohlc = pd.read_csv( self.path ) + + def verify_ohlc_data( self ) : + + # if datafraome is empty + count_rows = self.df_Ohlc.shape[ 0 ] + print( "Total rows :" , count_rows ) + + # data contain """slice postion """ + self.df_Ohlc[ 'creation_date' ] = pd.to_datetime( self.df_Ohlc[ fd.OHLCV.time ] ) + starting_time = self.df_Ohlc[ 'creation_date' ].min( ) + last_time = self.df_Ohlc[ 'creation_date' ].max( ) + + print( "Data : Starting from ->" , starting_time ) + print( "Data: Last Data time ->" , last_time ) + + if (count_rows >= 0) : + return True + else : + return False + + def get_data( self ) : + isvalid = self.verify_ohlc_data( ) + if isvalid : + return self.df_Ohlc + + else : + print( "Error in Data file :" , fd.DataPath.path ) + return pd.DataFrame( ) +# Trade parameter +class TradeStatus : + Open = 1 + Close = 0 + +class IntraCarry : + Intra = "I" + Carry = "C" +class PlaceOrder : + EntryDate = "EntryDate" + EntryTime = "EntryTime" + Qty = "Qty" + EntryPrice = "EntryPrice" + Status = "Status" + Ltp = "LTP" + PnL = "PnL" + ExitPrice = "ExitPrice" + ExitTime = "ExitTime" + ExitDate = "ExitDate" + MaxProfit = "MaxProfit" + MaxLoss = "MaxLoss" + StopLoss = "StopLoss" + TargetPoint = "TargetPoint" + + + + +# create class to load OHLC data +class IndexAnalysis : + + def __init__( self ) : + _data = ReadData( ) + self.df_Ohlc = _data.get_data( ) + + self.List_Distinct_TradeDate = [ ] + self.df_Trades = pd.DataFrame( ) + + self.reverse_dataframe( ) + self.get_all_distinct_Trading_data( ) + self.TradeBank( ) + self.Generate_Trade_Signal( ) + def TradeBank( self ) : + self.df_Trades = pd.DataFrame( + columns = [ PlaceOrder.EntryDate , PlaceOrder.EntryTime , PlaceOrder.Qty , PlaceOrder.EntryPrice , + PlaceOrder.Status , PlaceOrder.Ltp + , PlaceOrder.PnL , PlaceOrder.ExitPrice , PlaceOrder.ExitTime , PlaceOrder.ExitDate , + PlaceOrder.MaxProfit , PlaceOrder.MaxLoss , PlaceOrder.StopLoss , PlaceOrder.TargetPoint ] + ) + + def reverse_dataframe( self ) : + self.df_Ohlc.sort_index( ascending = True ) + + def get_all_distinct_Trading_data( self ) : + """ Convert coloumn to datetime""" + self.df_Ohlc[ fd.OHLCV.time ] = pd.to_datetime( self.df_Ohlc[ fd.OHLCV.time ] ) + + self.List_Distinct_TradeDate = self.df_Ohlc[ fd.OHLCV.time ].sort_index( ascending = False ).map( + pd.Timestamp.date + ).unique( ) + + # for _date in self.List_Distinct_TradeDate: + # print ("date available:" + str(_date)) + + def Generate_Trade_Signal( self ) : + # for idx ,row in self.df_Ohlc.iterrows(): + + # datetime = row[fd.OHLCV.time].astype() strftime("%Y-%m-%d %H:%M:%S") + # print(row[fd.OHLCV.time] ) + # datetime_str = datetime.datetime.strptime( row[fd.OHLCV.time], '%d-%m-%Y %H:%M:%S' ) + + # print(row[fd.OHLCV.time].date()) + # datetime_str = datetime.datetime.strptime( row[fd.OHLCV.time], FinancialData.DateTimeFromat.dd_mm_yyyy__HH_MM_SS ) + # print(datetime_str) + + # for idx ,row in self.df_Ohlc.iterrows(): + # d= str(row[ fd.OHLCV.time ])[0:10] + # # print(d) + + print( "Total Trading Day : " , len( self.List_Distinct_TradeDate ) ) + for trading_date in self.List_Distinct_TradeDate : + """ Get back Data""" + print( "Proceeding Back testing for : " , trading_date ) + # mask = pd.to_datetime( self.df_Ohlc[fd.OHLCV.time]).date() == trading_date + mask = self.df_Ohlc[ fd.OHLCV.time ].astype( str ).str[ 0 :10 ] == str( trading_date ) + # replace('-','') + df_feed = self.df_Ohlc.loc[ mask ].dropna( ) + # self.StartTrading( df_feed.sort_index( ascending = False ) , trading_date ) + self.StartTrading( df_feed , trading_date ) + + # df_feed.head() + # print( len( df_feed ) ) + + # df_feed = self.df_Ohlc.where( self.df_Ohlc[fd.OHLCV.time].astype(datetime).data() == trading_date) + + print( "Trade Bank Complted" ) + # print(self.df_Ohlc) + + def Add_trades_to_TradeBank( self , df_today ) : + + self.df_Trades = pd.concat( [ self.df_Trades , df_today ] ) + # for trade in df_today.iterrows(): + # self.df_Trades = pd.concat( [ self.df_Trades , df_today ] , ignore_index=True ) + + return self.df_Trades + + def Calculate_Pnl( self , qty , buyprice , Ltp ) : + _pnl = 0.0 + try : + if qty > 0 : + _pnl = round( qty * (Ltp-buyprice) , 2 ) + else : + _pnl = round( -1 * qty * (Ltp-buyprice) , 2 ) + except : + print( "Ltp failed" ) + + return (_pnl) + + def ExitTrades_update_pnl( self , df_Open_Trades , Ltp: float , currenttime , tradedate ) : + + inttime = int( str( currenttime ) ) + # print("Current Time" , inttime) + + for idx , trd in df_Open_Trades.iterrows( ) : + + if (trd[ PlaceOrder.Status ] == TradeStatus.Close) : + continue + + _maxprofit = trd[ PlaceOrder.MaxProfit ] + _maxLoss = trd[ PlaceOrder.MaxLoss ] + pnl = self.Calculate_Pnl( trd[ PlaceOrder.Qty ] , trd[ PlaceOrder.EntryPrice ] , Ltp ) + + if Z.RiskManagement.IsAllowed == True : + + if inttime > Z.RiskManagement.ExitTime : + df_Open_Trades.loc[ idx , PlaceOrder.Status ] = TradeStatus.Close + df_Open_Trades.loc[ idx , PlaceOrder.ExitTime ] = currenttime + df_Open_Trades.loc[ idx , PlaceOrder.ExitPrice ] = Ltp + df_Open_Trades.loc[ idx , PlaceOrder.Ltp ] = Ltp + df_Open_Trades.loc[ idx , PlaceOrder.ExitDate ] = tradedate + df_Open_Trades.loc[ idx , PlaceOrder.PnL ] = pnl + + _stoploss = trd[ PlaceOrder.StopLoss ] + _target = trd[ PlaceOrder.TargetPoint ] + # exit Trades If above conditions is followed + + if Ltp <= _stoploss : + df_Open_Trades.loc[ idx , PlaceOrder.Status ] = TradeStatus.Close + df_Open_Trades.loc[ idx , PlaceOrder.ExitTime ] = currenttime + df_Open_Trades.loc[ idx , PlaceOrder.ExitPrice ] = Ltp + df_Open_Trades.loc[ idx , PlaceOrder.Ltp ] = Ltp + df_Open_Trades.loc[ idx , PlaceOrder.ExitDate ] = tradedate + df_Open_Trades.loc[ idx , PlaceOrder.PnL ] = pnl + elif Ltp >= _target : + + df_Open_Trades.loc[ idx , PlaceOrder.Status ] = TradeStatus.Close + df_Open_Trades.loc[ idx , PlaceOrder.ExitTime ] = currenttime + df_Open_Trades.loc[ idx , PlaceOrder.ExitPrice ] = Ltp + df_Open_Trades.loc[ idx , PlaceOrder.Ltp ] = Ltp + df_Open_Trades.loc[ idx , PlaceOrder.ExitDate ] = tradedate + df_Open_Trades.loc[ idx , PlaceOrder.PnL ] = pnl + + # continue + # Pass operation to Next Bar + + elif inttime > 152000 and trd[ PlaceOrder.Status ] == TradeStatus.Open : + df_Open_Trades.loc[ idx , PlaceOrder.Status ] = TradeStatus.Close + df_Open_Trades.loc[ idx , PlaceOrder.ExitTime ] = currenttime + df_Open_Trades.loc[ idx , PlaceOrder.ExitPrice ] = Ltp + df_Open_Trades.loc[ idx , PlaceOrder.Ltp ] = Ltp + df_Open_Trades.loc[ idx , PlaceOrder.ExitDate ] = tradedate + df_Open_Trades.loc[ idx , PlaceOrder.PnL ] = pnl + + + + + + elif trd[ PlaceOrder.Status ] == TradeStatus.Open : + df_Open_Trades.loc[ idx , PlaceOrder.PnL ] = pnl + df_Open_Trades.loc[ idx , PlaceOrder.Ltp ] = Ltp + + if _maxprofit < pnl : + df_Open_Trades.loc[ idx , PlaceOrder.MaxProfit ] = pnl + + if (_maxLoss > pnl) : + df_Open_Trades.loc[ idx , PlaceOrder.MaxLoss ] = pnl + + def StartTrading( self , df , trddate ) : + # print(len( df)) + # convert to List + # quotes_list = [ + # Quote( d , o , h , l , c , v ) + # for d , o , h , l , c , v + # in zip( df[ fd.OHLCV.time] , df[ fd.OHLCV.into] , df[ fd.OHLCV.inth ] , df[ fd.OHLCV.intl ] , df[ fd.OHLCV.intc ] , df[ fd.OHLCV.v ] ) + # ] + + df_exchange = pd.DataFrame( data = None , columns = self.df_Trades.columns ) + + quotes_list = [ ] + m_open = 0 + m_close = 0 + m_high = 0 + m_low = 0 + + m_prev_open = 0 + + flag_open = True + + prev_candle_ohlc4 = 0 + + for id , bar in df.iterrows( ) : + # quotes_list.insert(bar[fd.OHLCV.time],bar[fd.OHLCV.into],bar[fd.OHLCV.inth],bar[fd.OHLCV.intl],bar[fd.OHLCV.intc],bar[fd.OHLCV.v]) + + open = bar[ fd.OHLCV.into ] + high = bar[ fd.OHLCV.inth ] + low = bar[ fd.OHLCV.intl ] + close = bar[ fd.OHLCV.intc ] + Ltp = bar[ fd.OHLCV.into ] + + if flag_open == True : + # print( "First Tick Update" ) + m_open = open + m_high = high + m_low = low + m_close = close + flag_open = False + + if m_low > low : + m_low = low + + if m_high < high : + m_high = high + + m_close = Ltp + _entrytime = bar[ fd.OHLCV.time ].time( ) + + currenttime = bar[ fd.OHLCV.time ].time( ).strftime( "%H%M%S" ) + # print(currenttime) + + """ Exit or Update PnL of The Open tardes""" + self.ExitTrades_update_pnl( df_exchange , Ltp , currenttime , trddate ) + + inttime = int ( str ( currenttime ) ) + print ( "BT Processing Time : " , inttime ) + + q = Quote ( bar [ fd.OHLCV.time ] , bar [ fd.OHLCV.into ] , bar [ fd.OHLCV.inth ] , bar [ fd.OHLCV.intl ] , + bar [ fd.OHLCV.intc ] , bar [ fd.OHLCV.v ] + ) + quotes_list.append ( q ) + if inttime > 151500 : + continue + + results = indicators.get_sma ( quotes_list , 5 , CandlePart.CLOSE ) + # results_rsi = indicators.get_rsi( quotes_list , 10 ) + + final_res = results [ -1 ].sma + # rsi = results_rsi[ -1 ].rsi + rsi = 0 + + mess = " TradeDate : " + str ( trddate ) + " Time" + str ( bar [ fd.OHLCV.time ] ) + " Open :" + str ( open + ) + " High :" + str ( + high + )+" Low :"+str( low )+" Close :"+str( close )+" " + # print( mess+str( results[ -1 ].sma ) ) + + """Entry Condition """ + """ if Closing Price > SMA -> Trigger Trades""" + + body_length = np.absolute( m_open-m_close ) + + if final_res is not None : + + if (rsi is not None) : + + m_ohlc = (m_open+m_high+m_low+Ltp) / 4 + # if final_res > Ltp and rsi > 51 and body_length > 25 and Ltp >= m_ohlc and Ltp >= prev_candle_ohlc4 and Ltp > m_prev_open: + if final_res > Ltp : + _trddate = trddate + _maxprofit = 0 + _maxloss = 0 + _stoplosss = 0 + _targetpoint = 0 + # print( "New Trade Entry :" , _entrytime ) + if Z.RiskManagement.IsAllowed == True : + _stoplosss = Ltp-Z.RiskManagement.StopLoss + _targetpoint = Ltp+Z.RiskManagement.Targetpoint + + if len( df_exchange ) > 0 : + query_opentrades = df_exchange[ PlaceOrder.Status ] == TradeStatus.Open + + # df_exchange.where( query_opentrades ) + + total_open_trades = len( df_exchange.where( query_opentrades ) ) + + if total_open_trades >= Z.RiskManagement.Total_OpenTrades_AtaTime : + continue + + if Z.RiskManagement.EntryTime > inttime : + continue + + df_exchange.loc[ len( df_exchange ) ] = [ trddate , _entrytime , 1 , Ltp , TradeStatus.Open , + Ltp , + 0 , -1 , -1 , -1 , _maxprofit , _maxloss , + _stoplosss , _targetpoint ] + + prev_candle_ohlc4 = (open+high+low+close) / 4 + m_prev_open = open + + # print("Trade Bank :",self.df_Trades ) + + self.Add_trades_to_TradeBank( df_exchange ) + + # print("Task : Back Testing (BT) completed Sucessfully") + + def Run_StrategyAnalysis( self , print_tocsv = False ) : + ListTradeExecutedDate = self.df_Trades[ PlaceOrder.EntryDate ].unique( ) + # self.df_Trades.to_csv( "Trades_z" , encoding = 'utf-8' ) + + if print_tocsv == True or print_tocsv == False : + self.df_Report = pd.DataFrame( + columns = [ R.ReportFile.TradeDate , R.ReportFile.TotalTrades , R.ReportFile.MaxProfit , + R.ReportFile.MaxLoss , R.ReportFile.NoOf_ProfitTrades , R.ReportFile.NoOf_LossTrades , + + R.ReportFile.Profit_Loss_Ratio , R.ReportFile.Total_PointGained , + R.ReportFile.Total_Return , + R.ReportFile.Total_Loss_point + + ] + ) + + for extrades in ListTradeExecutedDate : + # print(extrades) + + mask = self.df_Trades[ PlaceOrder.EntryDate ] == extrades + df_record = self.df_Trades.where( mask ).dropna( ) + + m_win_trade = 0 + m_loss_trade = 0 + + m_profit = 0 + m_loss = 0 + m_total_trade = 0 + + m_Max_Gain_point = 0 + m_Max_Loss_Point = 0 + + m_max_profit = 0 + m_max_loss = 0 + + for idx , trd in df_record.iterrows( ) : + m_total_trade = m_total_trade+1 + _pnl = trd[ PlaceOrder.PnL ] + if _pnl >= 0 : + m_win_trade = m_win_trade+1 + m_profit = m_profit+_pnl + + if m_max_profit < _pnl : + m_max_profit = _pnl + + if m_Max_Gain_point < _pnl : + m_Max_Gain_point = _pnl + else : + m_loss_trade = m_loss_trade+1 + m_loss = m_loss+_pnl + + if m_Max_Loss_Point > _pnl : + m_Max_Loss_Point = _pnl + + if m_max_loss > _pnl : + m_max_loss = _pnl + + print( "****** Post Trade Analysis Metrics **********" ) + print( "Executed trade Analysis :" , extrades ) + print( "Total Trades :" , m_total_trade ) + + print( "Max Profit :" , m_max_profit ) + print( "Max Loss :" , m_max_loss ) + + print( "Profit/Loss Ratio:" , m_win_trade , "/" , m_loss_trade ) + print( "Total Point Gained :" , m_profit ) + print( "Total Return:" , m_profit+m_loss , "\n" ) + print( "Loss Point :" , m_loss ) + print( "Max Profit :" , m_Max_Gain_point ) + print( "Max Loss :" , m_Max_Loss_Point ) + print( "\n" ) + + # add records to Report File + if print_tocsv == True : + try : + PnL_ratio = (m_win_trade / m_loss_trade) + + except : + PnL_ratio = m_win_trade + _total_return = (m_profit+m_loss) + _record = [ extrades , m_total_trade , m_max_profit , m_max_loss , m_win_trade , m_loss_trade , + PnL_ratio , + m_profit , _total_return , m_loss ] + + self.df_Report.loc[ len( self.df_Report ) ] = _record + + if print_tocsv == True : + print( "Record & Trades" ) + print( "Preparing Post Trade Analysis For BT" ) + print( self.df_Trades.to_string( ) ) + print( self.df_Report.to_string( ) ) + # self.df_Report.to_csv("Report_1" , encoding = 'utf-8') + # self.df_Trades.to_csv("Trades_1" , encoding = 'utf-8') + + def Summary( self ) : + + total_trades = 0 + total_point_earned = 0 + total_point_lost = 0 + + total_profit_trade = 0 + total_lost_trade = 0 + + total_return = 0 + + # if len(self.df_Report) == 0: + # return + + for idx , report in self.df_Report.iterrows( ) : + total_profit_trade = total_profit_trade+report[ R.ReportFile.NoOf_ProfitTrades ] + total_lost_trade = total_lost_trade+report[ R.ReportFile.NoOf_LossTrades ] + total_trades = total_trades+report[ R.ReportFile.TotalTrades ] + + total_point_earned = total_point_earned+report[ R.ReportFile.Total_PointGained ] + total_point_lost = total_point_lost+report[ R.ReportFile.Total_Loss_point ] + total_return = total_return+report[ R.ReportFile.Total_Return ] + + print( "** Summary of BT Test **" ) + print( "Total profit Trades" , total_profit_trade ) + print( "Total Loss Trades" , total_lost_trade ) + print( "Total Trades" , total_trades ) + + print( "Total point Earned(Point)" , round( total_point_earned , 2 ) ) + print( "Total point Lost(Point)" , round( total_point_lost , 2 ) ) + print( "Total Return(s) Point" , round( total_return , 2 ) ) + + try : + _avg = round( total_return / total_trades , 2 ) + except : + _avg = 0 + print( "Average PnL of Each Trade(s)" , _avg ) + + probability_of_win_trades = 0 + if total_trades != 0 : + probability_of_win_trades = round( (total_profit_trade / total_trades) * 100 , 2 ) + + print( "Probability Of Win Trade" , probability_of_win_trades , "%" ) diff --git a/README.md b/README.md index 146b805..48f378f 100644 --- a/README.md +++ b/README.md @@ -1,4 +1,45 @@ # AdvancedTradingAlgorithm -Best GitHub Repo from Algorithm Trader, where Quant is applied in Financial Data. This will include multiple segments and different technolgy to get the outcome Signed-off-by: kamal chanchal <kchanchal78@gmail.com> +# Stock Market Backtesting in Python +## Overview -## To obtain the exact code, please switch branches from 'main' to 'master'. +This Python project is designed for backtesting trading strategies using historical data from the Indian Stocks Market, specifically sourced from Finvasia Broker (Shoonya Broker). The entire code is structured using object-oriented programming (OOP) principles, ensuring a clean and modular design. + +## Features + +- Backtesting of trading strategies using historical data (Open, High, Low, Close, Volume) for Indian Stocks Market. +- Utilizes OOP's concepts for a modular and maintainable codebase. +- Incorporates sophisticated statistical analysis for trade generation and trade life. +- Integrates popular financial indicators like RSI, MACD, SMA, EMA, etc., using third-party libraries. +- Fetches historical data from Finvasia Broker (Shoonya Broker). +- Saves detailed trade statistics, including MTM, best profit/loss, and various metrics. + +## Dependencies +- Stock.Indicators.Python [List of third-party libraries used for financial indicators.](https://github.com/DaveSkender/Stock.Indicators.Python.git) + +## Results +The backtesting results are summarized in the results/ directory. Key metrics include: + +Probability of Win Trade +Probability of Loss Trade +Total Return(s) Point +Total Point Lost (Point) +Total Point Earned (Point) +Total Trades +Total Loss Trades +Total Profit Trades + +Metrics Explanation: +Executed trade Analysis: The number of trades executed during backtesting. +Total Trades: The total number of trades considered in the analysis. +Max Profit: The maximum profit achieved in any single trade. +Max Loss: The maximum loss incurred in any single trade. +Profit/Loss Ratio: The ratio of winning trades to losing trades. +Total Point Gained: The total points gained across all trades. +Total Return: The total return, which is the sum of profits and losses. +Loss Point: The total points lost across all trades. +Max Profit: The maximum point gain in any single trade. +Max Loss: The maximum point loss in any single trade. + + +## Contact +If you are interested in collaborating or need assistance with algorithmic trading strategies, feel free to reach out. diff --git a/Report.py b/Report.py new file mode 100644 index 0000000..f8f66fc --- /dev/null +++ b/Report.py @@ -0,0 +1,11 @@ +class ReportFile : + TradeDate = "TradeDate" + TotalTrades = "TotalTrades" + MaxProfit = "MaxProfit" + MaxLoss = "MaxLoss" + NoOf_ProfitTrades = "NoOf_ProfitTrades" + NoOf_LossTrades = "NoOf_LossTrades" + Profit_Loss_Ratio = "Profit_Loss_Ratio" + Total_PointGained = "Total_PointGained" + Total_Return = "Total_Return" + Total_Loss_point = "Loss_Point" diff --git a/Report_1 b/Report_1 new file mode 100644 index 0000000..8d563de --- /dev/null +++ b/Report_1 @@ -0,0 +1,2 @@ +,TradeDate,TotalTrades,MaxProfit,MaxLoss,NoOf_ProfitTrades,NoOf_LossTrades,Profit_Loss_Ratio,Total_PointGained,Total_Return,Loss_Point +0,2023-10-13,3,0,-31.1,0,3,0.0,0,-92.35,-92.35 diff --git a/RiskManagement.py b/RiskManagement.py new file mode 100644 index 0000000..79de642 --- /dev/null +++ b/RiskManagement.py @@ -0,0 +1,9 @@ +class RiskManagement : + StopLoss = 50 + Targetpoint = 80 + IsAllowed = True + + EntryTime = 91400 + ExitTime = 152600 + + Total_OpenTrades_AtaTime = 16 diff --git a/main.py b/main.py new file mode 100644 index 0000000..14ad138 --- /dev/null +++ b/main.py @@ -0,0 +1,15 @@ +import QuantAlgo1 as Q + +if __name__ == '__main__' : + print ( "starting.." ) + run1 = Q.IndexAnalysis ( ) + run1.Run_StrategyAnalysis ( print_tocsv = True ) + run1.Summary ( ) + +"""YAHOO FINANCE """ + +# import Analysis_Index as IA +# +# if __name__ == '__main__' : +# My_analysis_stocks = "^NSEI" +# Aq = IA.Analysis_Index( My_analysis_stocks )