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feat: Add new technical indicators to backtesting strategy

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Bobby (aider) 2025-02-14 00:32:03 -08:00
parent dce7d90e64
commit 0033d433c4
1 changed files with 120 additions and 0 deletions
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src/pages/backtesting/backtesting_page.py
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@ -97,6 +97,76 @@ class DynamicStrategy(Strategy):
self.indicators[f"{ind_name}_middle"] = bb_vals[1]
self.indicators[f"{ind_name}_lower"] = bb_vals[2]
elif ind_config['type'] == 'WMA':
def wma_calc(x):
series = pd.Series(x)
result = ta.wma(series, length=int(ind_config['params']['length']))
return result.fillna(method='ffill').fillna(0).values
self.indicators[ind_name] = self.I(wma_calc, self.data.Close)
elif ind_config['type'] == 'DEMA':
def dema_calc(x):
series = pd.Series(x)
result = ta.dema(series, length=int(ind_config['params']['length']))
return result.fillna(method='ffill').fillna(0).values
self.indicators[ind_name] = self.I(dema_calc, self.data.Close)
elif ind_config['type'] == 'TEMA':
def tema_calc(x):
series = pd.Series(x)
result = ta.tema(series, length=int(ind_config['params']['length']))
return result.fillna(method='ffill').fillna(0).values
self.indicators[ind_name] = self.I(tema_calc, self.data.Close)
elif ind_config['type'] == 'HMA':
def hma_calc(x):
series = pd.Series(x)
result = ta.hma(series, length=int(ind_config['params']['length']))
return result.fillna(method='ffill').fillna(0).values
self.indicators[ind_name] = self.I(hma_calc, self.data.Close)
elif ind_config['type'] == 'VWAP':
def vwap_calc(high, low, close, volume):
result = ta.vwap(high, low, close, volume, length=int(ind_config['params']['length']))
return result.fillna(method='ffill').fillna(0).values
self.indicators[ind_name] = self.I(vwap_calc, self.data.High, self.data.Low, self.data.Close, self.data.Volume)
elif ind_config['type'] == 'Stochastic':
def stoch_calc(high, low, close):
result = ta.stoch(high, low, close,
k=int(ind_config['params']['k']),
d=int(ind_config['params']['d']),
smooth_k=int(ind_config['params']['smooth_k']))
return (result['STOCHk_14_3_3'].fillna(method='ffill').fillna(0).values,
result['STOCHd_14_3_3'].fillna(method='ffill').fillna(0).values)
stoch_vals = self.I(stoch_calc, self.data.High, self.data.Low, self.data.Close)
self.indicators[f"{ind_name}_k"] = stoch_vals[0]
self.indicators[f"{ind_name}_d"] = stoch_vals[1]
elif ind_config['type'] == 'ADX':
def adx_calc(high, low, close):
result = ta.adx(high, low, close, length=int(ind_config['params']['length']))
return result.fillna(method='ffill').fillna(0).values
self.indicators[ind_name] = self.I(adx_calc, self.data.High, self.data.Low, self.data.Close)
elif ind_config['type'] == 'CCI':
def cci_calc(high, low, close):
result = ta.cci(high, low, close, length=int(ind_config['params']['length']))
return result.fillna(method='ffill').fillna(0).values
self.indicators[ind_name] = self.I(cci_calc, self.data.High, self.data.Low, self.data.Close)
elif ind_config['type'] == 'MFI':
def mfi_calc(high, low, close, volume):
result = ta.mfi(high, low, close, volume, length=int(ind_config['params']['length']))
return result.fillna(method='ffill').fillna(0).values
self.indicators[ind_name] = self.I(mfi_calc, self.data.High, self.data.Low, self.data.Close, self.data.Volume)
elif ind_config['type'] == 'Williams%R':
def willr_calc(high, low, close):
result = ta.willr(high, low, close, length=int(ind_config['params']['length']))
return result.fillna(method='ffill').fillna(0).values
self.indicators[ind_name] = self.I(willr_calc, self.data.High, self.data.Low, self.data.Close)
def next(self):
price = self.data.Close[-1]
@ -192,6 +262,56 @@ def get_available_indicators() -> Dict:
'params': ['length', 'std'],
'defaults': {'length': 20, 'std': 2.0},
'ranges': {'length': (10, 50), 'std': (1.5, 3.0)}
},
'WMA': {
'params': ['length'],
'defaults': {'length': 20},
'ranges': {'length': (5, 200)}
},
'DEMA': {
'params': ['length'],
'defaults': {'length': 20},
'ranges': {'length': (5, 200)}
},
'TEMA': {
'params': ['length'],
'defaults': {'length': 20},
'ranges': {'length': (5, 200)}
},
'HMA': {
'params': ['length'],
'defaults': {'length': 20},
'ranges': {'length': (5, 200)}
},
'VWAP': {
'params': ['length'],
'defaults': {'length': 14},
'ranges': {'length': (1, 30)}
},
'Stochastic': {
'params': ['k', 'd', 'smooth_k'],
'defaults': {'k': 14, 'd': 3, 'smooth_k': 3},
'ranges': {'k': (5, 30), 'd': (2, 10), 'smooth_k': (2, 10)}
},
'ADX': {
'params': ['length'],
'defaults': {'length': 14},
'ranges': {'length': (5, 30)}
},
'CCI': {
'params': ['length'],
'defaults': {'length': 20},
'ranges': {'length': (10, 50)}
},
'MFI': {
'params': ['length'],
'defaults': {'length': 14},
'ranges': {'length': (5, 30)}
},
'Williams%R': {
'params': ['length'],
'defaults': {'length': 14},
'ranges': {'length': (5, 30)}
}
}