areixio 0.4.23

Areix IO Backtesting Framework

AreixIO

Documentation

Installation

Create a virtual environment

virtualenv venv --python=python3

Activate the virtual environment

# Macbook / Linus
source venv/bin/activate

# Windows
venv/Scripts/activate

Deactivate

deactivate

Install AreixIO package

pip install areixio

Usage

Define trading strategy:

from areixio import (BackTestBroker,CryptoDataFeed, StockDataFeed, CustomDataFeed,
    create_report_folder, Strategy, BackTest, Indicator, Statistic)
from collections import defaultdict
from datetime import datetime
from dateutil.parser import parse

class TestStrategy(Strategy):

    boll_window = 18
    boll_dev = 3.4
    cci_window = 10
    atr_window = 30
    sl_multiplier = 5.2

    def initialize(self):

        self.boll_up = defaultdict(float)
        self.boll_down = defaultdict(float)
        self.cci_value = defaultdict(float)
        self.atr_value = defaultdict(float)

        self.intra_trade_high = defaultdict(float)
        self.intra_trade_low = defaultdict(float)
        self.long_stop = defaultdict(float)
        self.short_stop = defaultdict(float)

        self.indicators = {}

        for code, exchange in self.ctx.symbols:
            self.indicators[code] = Indicator()


    def on_order_fail(self, order):
        self.error(f"Order [number {order['order_id']}] [{order['status'].name}]. Msg: {order['msg']}")

    def on_order_fill(self, order):
        self.info(f"({order.aio_position_id}) - {'OPEN' if order.is_open else 'CLOSE'} {order['side'].name} order [number {order['order_id']}] executed [quantity {order['quantity']}] [price ${order['price']:2f}] [Cost ${order['gross_amount']:2f}] [Commission: ${order['commission']}] [Available balance: ${self.available_balance}] [Position: #{self.ctx.get_quantity(aio_position_id = order['aio_position_id'])}] [Gross P&L: ${order['pnl']}] [Net P&L: ${order['pnl_net']}] ")

        if not order['is_open']:
            self.info(f"========> Trade closed, pnl: {order['pnl']}")


    def on_bar(self, tick):

        self.cancel_all()

        for code, exchange in self.ctx.symbols:

            indicator = self.indicators[code]
            bar = self.ctx.get_bar_data(symbol=code, exchange=exchange)
            # hist = self.ctx.get_history(symbol=code, exchange=exchange)
            if bar is None:
                continue

            indicator.update_bar(bar=bar)
            if not indicator.inited:
                continue

            close = bar.close
            self.boll_up[code], self.boll_down[code] = indicator.boll(self.boll_window, self.boll_dev)
            self.cci_value[code] = indicator.cci(self.cci_window)
            self.atr_value[code] = indicator.atr(self.atr_window)

            self.pos = self.ctx.get_quantity(symbol=code,exchange=exchange )
            self.debug(f"pos:{self.pos}; cci_value:{self.cci_value[code]}; atr_value:{self.atr_value[code]}; boll_up:{self.boll_up[code]}; boll_down:{self.boll_down[code]}; intra_trade_high:{self.intra_trade_high[code]}; long_stop:{self.long_stop[code]}; intra_trade_low:{self.intra_trade_low[code]}; short_stop:{self.short_stop[code]}; close:{close}")
            order = None
            close_order = None
            if not self.pos:
                self.intra_trade_high[code] = bar.high
                self.intra_trade_low[code] = bar.low

                if self.cci_value[code] > 0:
                    order = self.buy(symbol=code, exchange=exchange, stop_price=self.boll_up[code], quantity= self.fixed_size[code])
                elif self.cci_value[code] < 0:
                    order = self.sell(symbol=code, exchange=exchange, stop_price=self.boll_down[code],quantity= self.fixed_size[code])

            elif self.pos > 0:
                self.intra_trade_high[code] = max(self.intra_trade_high[code], bar.high)
                self.intra_trade_low[code] = bar.low

                self.long_stop[code] = self.intra_trade_high[code] - self.atr_value[code] * self.sl_multiplier
                close_order = self.close(symbol=code, exchange=exchange, stop_price=self.long_stop[code],)

            elif self.pos < 0:
                self.intra_trade_high[code] = bar.high
                self.intra_trade_low[code] = min(self.intra_trade_low[code], bar.low)

                self.short_stop[code] = self.intra_trade_low[code] + self.atr_value[code] * self.sl_multiplier
                close_order = self.close(symbol=code, exchange=exchange, stop_price=self.short_stop[code],)

            if order:
                self.info(f"Order for {code} [number {order['order_id']}] ({order['order_type'].name} & {order['side'].name})  created, [quantity {order['quantity']}] [price {order['price']}]")
            if close_order:
                self.info(f"Stop Order for {code} [number {close_order['order_id']}] ({close_order['order_type']} & {close_order['side'].name})  created, [quantity {close_order['quantity']}] [price {close_order['price']}]")

usage:

if __name__ == '__main__':

    benchmark_code = 'BTC/USDT'
    interval = '1h'
    start_date = "2022-01-01 00:00:00"
    end_date = "2022-08-22 00:00:00"
    # end_date = datetime.now().strftime("%Y-%m-%d %H:%M:%S")

    second_timeframe = {
        'start_date': "2022-10-01 00:00:00",
        'end_date': datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
        'interval': "1m",
    }

    ### uncomment the following if has multiple timeframe
    second_timeframe = {}

    fixed_size = {
        'BTCUSDT': 0.5,
        'ETHUSDT': 1,
        'SOLUSDT': 5,
    }
    codes = list(fixed_size.keys())

    asset_type = 'perpetual'
    exchange = 'bybit'

    base = create_report_folder()


    if isinstance(codes, str):
        codes = [codes]

    feeds = []
    for code in codes:
        df = CryptoDataFeed(
            code=code,
            exchange=exchange,
            asset_type = asset_type,
            start_date=start_date,
            end_date=end_date,
            interval=interval,
            order_ascending=True,
            # store_path=base
        )
        df.fetch_info()

        ### uncomment the following if has multiple timeframe
        # if second_timeframe:
        #     hist_data = df.fetch_hist(start=parse(second_timeframe['start_date']), end=parse(second_timeframe['end_date']), interval=second_timeframe['interval'], is_store=True)
        #     df.update_data(hist_data)
        feeds.append(df)


    benchmark = CryptoDataFeed(
        code=benchmark_code,
        exchange=exchange,
        asset_type = asset_type,
        start_date=start_date,
        end_date=end_date,
        interval=interval,
        min_volume = 0.00001,
        order_ascending=True,
        # store_path=base
    )
    ### uncomment the following if has multiple timeframe
    # if second_timeframe:
    #     hist_data = benchmark.fetch_hist(start=parse(second_timeframe['start_date']), end=parse(second_timeframe['end_date']), interval=second_timeframe['interval'], is_store=True)
    #     benchmark.update_data(hist_data)

    broker = BackTestBroker(
        balance=100_000,
        short_cash=False,
        slippage=0.0)

    trade_history = []
    statistic = Statistic()
    mytest = BackTest(
        feeds,
        TestStrategy,
        statistic=statistic,
        benchmark=benchmark,
        store_path=base,
        broker=broker,
        backtest_mode='bar',

        fixed_size = fixed_size,
        trade_history=trade_history
    )
    mytest.start()

    stats = mytest.ctx.statistic.stats(interval=interval)
    stats['algorithm'] = ['Bollinger Band', 'CCI', 'ATR']
    print(stats)

    mytest.ctx.statistic.contest_output(path=base, interval=interval, prefix=f'bt_',is_plot=True)                

Result:

start                                                   2022-01-01 00:00:00+08:00
end                                                     2022-08-22 00:00:00+08:00
interval                                                                       1h
duration                                                        233 days 00:00:00
trading_instruments                                   [BTCUSDT, ETHUSDT, SOLUSDT]
base_currency                                                                USDT
benchmark                                                                 BTCUSDT
beginning_balance                                                          100000
ending_balance                                                      119562.812570
available_balance                                                   117927.612569
holding_values                                                        1635.200000
capital                                                                    100000
additional_capitals                                                            {}
net_investment                                                       27960.225000
total_net_profit                                                     19562.812570
total_commission                                                        14.107925
gross_profit                                                        209249.519700
gross_loss                                                         -189686.707100
profit_factor                                                            1.103132
return_on_capital                                                        0.195628
return_on_initial_capital                                                0.195628
return_on_investment                                                     0.699666
annualized_return                                                        0.322989
total_return                                                             0.195628
max_return                                                               0.199261
min_return                                                               0.000000
past_24hr_pnl                                                          -61.800000
past_24hr_roi                                                           -0.000517
past_24hr_apr                                                           -0.188705
number_trades                                                                 457
number_closed_trades                                                          227
number_winning_trades                                                         100
number_losing_trades                                                          127
avg_daily_trades                                                         2.840000
avg_weekly_trades                                                       13.850000
avg_monthly_trades                                                      57.130000
win_ratio                                                                0.440529
loss_ratio                                                               0.559471
gross_trades_profit                                                  40851.052400
gross_trades_loss                                                   -19646.301700
gross_winning_trades_amount                                         623690.417300
gross_losing_trades_amount                                         1002871.039600
avg_winning_trades_pnl                                                 408.510524
avg_losing_trades_pnl                                                 -154.695289
avg_winning_trades_amount                                             6236.904173
avg_losing_trades_amount                                              4910.948168
largest_profit_winning_trade                                          4735.210100
largest_loss_losing_trade                                            -1039.239400
avg_amount_per_closed_trade                                           7165.469000
expected_value                                                          93.410000
standardized_expected_value                                             14.980000
win_days                                                                      106
loss_days                                                                     113
max_win_in_day                                                         394.250000
max_loss_in_day                                                       -532.521400
max_consecutive_win_days                                                        6
max_consecutive_loss_days                                                       6
avg_profit_per_trade($)                                                 93.413000
avg_profit_per_trade                                                     0.000900
trading_period                                   0 years 7 months 21 days 0 hours
avg_daily_pnl($)                                                        83.960600
avg_daily_pnl                                                            0.000781
avg_weekly_pnl($)                                                      575.376900
avg_weekly_pnl                                                           0.005363
avg_monthly_pnl($)                                                    2454.108200
avg_monthly_pnl                                                          0.022597
avg_quarterly_pnl($)                                                  5512.129000
avg_quarterly_pnl                                                        0.049787
avg_annualy_pnl($)                                                           None
avg_annualy_pnl                                                              None
var                                                                    180.327500
risk_score                                                               0.190000
avg_daily_risk_score                                                     0.210000
avg_risk_score_past_7days                                                0.190000
monthly_avg_risk_score          {'2022-01-31 23:00:00': 0.18, '2022-02-28 23:0...
frequently_traded               [{'symbol': 'BTCUSDT', 'asset_type': 'PERPETUA...
sharpe_ratio                                                             2.728096
sortino_ratio                                                            4.154441
annualized_volatility                                                    0.104470
omega_ratio                                                              1.104314
downside_risk                                                            0.068596
information_ratio                                                        0.018749
beta                                                                    -0.048020
alpha                                                                    0.266868
calmar_ratio                                                             8.375185
tail_ratio                                                               1.115830
stability_of_timeseries                                                  0.954381
max_drawdown                                                             0.038565
max_drawdown_period             (2022-05-12 14:00:00+08:00, 2022-05-30 03:00:0...
max_drawdown_duration                                            17 days 13:00:00
sqn                                                                      2.286010
monthly_changes                 {'2022-01-31 00:00:00': 0.0, '2022-02-28 00:00...
daily_changes                   {'2022-01-01 00:00:00': 0.0, '2022-01-02 00:00...
positions                       [PositionData(symbol='SOLUSDT', code='SOLUSDT'...
trades                          [TradeData(order_id='220106-000000000-00066', ...
pnl                             [{'available_balance': 100000.0, 'holding_valu...

Optimization:

if __name__ == '__main__':

    benchmark_code = 'BTC/USDT'
    interval = '1h'
    start_date="2022-08-01 00:00:00"
    end_date= datetime.now().strftime("%Y-%m-%d %H:%M:%S")

    .....

    mytest = BackTest(
        feeds,
        TestStrategy,
        benchmark=benchmark,
        store_path=base,
        broker=broker,
        exchange=exchange,
        fixed_size = fixed_size,
        # trade_history=trade_history
        do_print=False   ### in case print too much log
    )

    ostats = mytest.optimize(
        boll_window=[13,18,22],
        boll_dev=[3,3.4,3.8],
        # cci_window=[8,10,12],
        # atr_window=[28,30,32],
        sl_multiplier=[4.8,5.2,5.6],
        maximize='total_net_profit',
        constraint=None,
        return_heatmap=True
    )
    print('ostats',ostats)

Result:

Name: value, dtype: object, boll_window  boll_dev  sl_multiplier
13           3.000000  4.800000         636.305780
                       5.200000         974.743960
                       5.600000         984.011120
             3.400000  4.800000         555.828790
                       5.200000         715.990480
                       5.600000         779.417500
             3.800000  4.800000          19.314340
                       5.200000         564.115470
                       5.600000         564.979500
18           3.000000  4.800000        -156.087610
                       5.200000         785.291570
                       5.600000         867.817680
             3.400000  4.800000         910.641420
                       5.200000        1366.349790
                       5.600000        1567.919300
             3.800000  4.800000         237.782640
                       5.200000         547.324610
                       5.600000         813.536520
22           3.000000  4.800000         839.132020
                       5.200000        1274.691530
                       5.600000        1401.274140
             3.400000  4.800000         345.991700
                       5.200000         966.018210
                       5.600000        1105.940740
             3.800000  4.800000         522.481170
                       5.200000        1030.565530
                       5.600000         782.557010

Indicator requires to install ta-lib

Mac:

1.1 Install TA-LIB
brew install ta-lib

1.2 Install TA-LIB Python Wrapper
Install TA-Lib Python Wrapper via pip (or pip3):
pip install ta-lib

Linux:

1.1 Download
wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz
tar -xzf ta-lib-0.4.0-src.tar.gz
cd ta-lib/

1.2 Install TA-LIB
If the next command fails, then gcc is missing, install it by doing “apt-get install build-essential”)
sudo ./configure
sudo make
sudo make install

if configure error: cannot guess build type you must specify one
    This was solved for me by specifying the --build= parameter during the ./configure step.

    For arm64

    ./configure --build=aarch64-unknown-linux-gnu
    For x86

    ./configure --build=x86_64-unknown-linux-gnu



1.3 Install TA-LIB Python Wrapper
Install TA-Lib Python Wrapper via pip (or pip3):
pip install ta-lib

Windows

1.1 Download
Download [ta-lib-0.4.0-msvc.zip](http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-msvc.zip)

1.2 Unzip
unzip to C:\ta-lib

1.3 Install TA-LIB Python Wrapper
Install TA-Lib Python Wrapper via pip (or pip3):
pip install ta-lib