update backtesting for optimization

rename nbdev to stddev in bb
rename test.py to backtesting.py
add rsi strategy

algorithms/bollinger_bands.py

@@ -21,13 +21,15 @@ def signal(prices, data):
 	return 'no_action', 0
 
 class Strategy(bt.Strategy):
-	params = (('timeperiod', 20), ('nbdev', 2.0))
+	params = (('timeperiod', 20), ('stddev', 2.0))
 
 	def __init__(self):
+		super().__init__()
+
 		indicator = bt.talib.BBANDS(self.data.close,
 		                            timeperiod=self.p.timeperiod,
-		                            nbdevup=self.p.nbdev,
-		                            npdevdn=self.p.nbdev)
+		                            nbdevup=self.p.stddev,
+		                            npdevdn=self.p.stddev)
 
 		self.close_over_upper_band = self.data.close > indicator.upperband
 		self.close_under_lower_band = self.data.close < indicator.lowerband

algorithms/rsi.py

@@ -1,3 +1,4 @@
+import backtrader as bt
 from talib import RSI
 from price import get_periods, get_max_periods
 
@@ -21,3 +22,20 @@ def signal(prices, data, high=70, low=30):
 		return 'buy', strength
 
 	return 'no_action', 0
+
+class Strategy(bt.Strategy):
+	params = (('timeperiod', 20),)
+
+	def __init__(self):
+		super().__init__()
+
+		indicator = bt.talib.RSI(self.data.close, timeperiod=self.p.timeperiod)
+
+		self.real_over_upper = indicator.real > 70
+		self.real_under_lower = indicator.real < 30
+
+	def next(self):
+		if self.real_over_upper:
+			self.sell()
+		elif self.real_under_lower:
+			self.buy()

backtesting.py

@@ -0,0 +1,35 @@
+import backtrader as bt
+import numpy as np
+from datetime import datetime
+from importlib import import_module
+
+def create_cerebro():
+	cerebro = bt.Cerebro()
+
+	cerebro.broker = bt.brokers.BackBroker(slip_perc=0.002)
+	cerebro.broker.set_cash(1000)
+	cerebro.broker.setcommission(commission=0.005)
+	cerebro.addsizer(bt.sizers.FixedSize, stake=0.05)
+
+	data = bt.feeds.YahooFinanceCSVData(dataname='data/ETH-USD.csv', fromdate=datetime(2021, 1, 1))
+	cerebro.adddata(data)
+
+	return cerebro
+
+def optimize_algorithm(algorithms):
+	cerebro = create_cerebro()
+
+	for (algorithm, params) in algorithms.items():
+		module = import_module(f'algorithms.{algorithm}')
+		if hasattr(module, 'Strategy'):
+			cerebro.optstrategy(module.Strategy, **params)
+		else:
+			raise Exception('No Strategy in Module')
+
+	backtest = zip(algorithms.keys(), cerebro.run()[0])
+
+	return {
+	  algorithm: {
+	    param: strategy.p.__getattribute__(param) for param in strategy.p._getkeys()
+	  } for algorithm, strategy in backtest
+	}