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swing_trade_class.py
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from bittrex_api_wrapper import *
bitrex_one = Bittrex("[API key]", "[API secret]", api_version=API_V1_1)
bittrex_two = Bittrex("[API key]", "[API secret]", api_version=API_V2_0)
# the two versions contained in the wrapper have different available commands; no reason not to use both
import statistics
from requests.exceptions import ConnectionError
from http.client import RemoteDisconnected
from http.client import HTTPException
from urllib3.exceptions import ProtocolError
st = statistics
class swing_trade:
def __init__(self, coins):
self.green = '\033[92m'
self.red = '\u001b[31;1m'
self.stop_col = '\033[0m'
self.interval = 1
self.lookback = 20
self.long_lookback = 100
self.interval = 1
self.coins = (
'BTC-XLM',
'BTC-DOGE',
'BTC-XMR',
'BTC-ETC',
'BTC-ADA',
'BTC-TUSD'
)
self.coins = coins
self.all_candles = []
def run_test(self):
result_sum = []
total_profit = 0
total_trades = 0
base_funds = 1
alt_funds = 0
capital = 0
trades = 0
in_trade = False
stop_loss = 0
last_buy = 0
won = 0
lost = 0
cur_trade_sym = ''
for c in self.coins:
der = self.calc_derived(c)
self.all_candles.append(der)
length = len(self.all_candles[0]) - 10
for i in range(self.long_lookback + 1, length):
for a in self.all_candles:
symbol = a[i]['symbol']
time_n = a[i]['time']
close = a[i]['close']
high = a[i]['high']
low = a[i]['low']
dev = a[i]['st_dev']
ma = a[i]['m_avg']
l_ma = a[i]['l_ma']
N = a[i]['N']
position = abs(close - ma)
last_close = a[i - 1]['close']
last_dev = a[i - 1]['st_dev']
last_ma = a[i - 1]['m_avg']
bench_l_ma = a[i - 1]['l_ma']
last_postion = abs(last_close - last_ma)
if not in_trade and close < ma and position > dev * 2 and l_ma > bench_l_ma:
price = close
last_buy = price
if symbol == 'BTC-DOGE':
stop_loss = price - N
else:
stop_loss = price - N * .4
alt_funds = (base_funds / price) * 0.9985
base_funds = 0
trades += 1
in_trade = True
cur_trade_sym = symbol
print(
str(time_n) + ' ' + symbol + " Price low and post out-of-band peak, bought " + "{:.2f}".format(
alt_funds) + self.green + " at " + "{:.8f}".format(
price) + self.stop_col)
if in_trade and cur_trade_sym == symbol:
if close < stop_loss:
base_funds = (alt_funds * stop_loss) * 0.9985
capital = base_funds
alt_funds = 0
in_trade = False
lost += 1
print(
str(time_n) + ' ' + symbol + " Stop-loss triggered, sold at " + self.red + "{:.8f}".format(
stop_loss) + self.stop_col + " resulting balance = " + "{:.3f}".format(base_funds))
print('')
print('')
elif close > ma and position > dev * 2 and close > last_buy * 1.02: # or (symbol == 'BTC-DOGE' and close > last_buy * 1.05)): #and position < last_postion:
price = close
base_funds = (alt_funds * price) * 0.9985
capital = base_funds
alt_funds = 0
in_trade = False
if close > last_buy:
color = self.green
won += 1
else:
color = self.red
lost += 1
print(str(
time_n) + ' ' + symbol + " Price high and post out-of-band peak, sold at " + color + "{:.8f}".format(
close) + self.stop_col + " resulting balance = " + "{:.3f}".format(base_funds))
print('')
print('')
print('Final capital = ' + str(capital))
print("Made " + str(trades) + " trades")
print("Won " + str(won) + " lost " + str(lost))
def get_klines(self, pair, interval):
klines = []
got_klines = False
while not got_klines:
try:
klines = bittrex_two.get_candles(pair, interval)
except (ConnectionError, RemoteDisconnected, ProtocolError,
HTTPException) as e:
print(str(e) + ' ' + str(e.__traceback__))
else:
got_klines = True
return klines
def calc_derived(self, symbol):
candles = self.get_klines(symbol, 'hour')["result"]
form_candles = []
devs = []
mas = []
l_mas = []
Ns = []
init_range_tot = 0
prev_N = 0
rng = len(candles)
for i in range(0, rng):
if i % self.interval or self.interval == 1:
open_c = float(candles[i]['O'])
high_c = float(candles[i]['H'])
low_c = float(candles[i]['L'])
close_c = float(candles[i]['C'])
time_c = candles[i]['T']
form_candles.append(
{'symbol': symbol, 'open': open_c, 'high': high_c, 'low': low_c, 'close': close_c, 'time': time_c,
'st_dev': 0, 'm_avg': 0, "l_ma": 0, 'N': 0})
length = len(form_candles)
for i in range(0, length):
if i <= self.lookback:
dev = 0
else:
sample = []
for j in (i - self.lookback, i - 1):
val = form_candles[j]['close']
sample.append(val)
dev = st.pstdev(sample)
devs.append(dev)
for i in range(0, length):
if i <= self.lookback:
ma = 0
else:
sample = []
for j in (i - self.lookback, i - 1):
val = form_candles[j]['close']
sample.append(val)
ma = sum(sample) / len(sample)
mas.append(ma)
for i in range(0, length):
if i <= self.long_lookback:
l_ma = 0
else:
sample = []
for j in (i - self.long_lookback, i - 1):
val = form_candles[j]['close']
sample.append(val)
l_ma = sum(sample) / len(sample)
l_mas.append(l_ma)
for i in range(0, length):
close = form_candles[i]['close']
high = form_candles[i]['high']
low = form_candles[i]['low']
if 0 < i < self.long_lookback:
prev_c = form_candles[i - 1]['close']
high_min_low = high - low
high_min_prev = high - prev_c
prev_min_low = prev_c - low
diff_list = (high_min_low, high_min_prev, prev_min_low)
max_diff = max(diff_list)
init_range_tot += max_diff
N = 0
else:
prev_c = form_candles[i - 1]['close']
high_min_low = high - low
high_min_prev = high - prev_c
prev_min_low = prev_c - low
diff_list = (high_min_low, high_min_prev, prev_min_low)
max_diff = max(diff_list)
if prev_N == 0:
N = (19 * init_range_tot + max_diff) / 20
prev_N = N
else:
N = (19 * prev_N + max_diff) / 20
prev_N = N
Ns.append(N)
for i in range(0, length):
form_candles[i]['st_dev'] = devs[i]
form_candles[i]['m_avg'] = mas[i]
form_candles[i]['l_ma'] = l_mas[i]
form_candles[i]['N'] = Ns[i]
return form_candles