Cipher - trading strategy backtesting framework

Documentation: https://cipher.nanvel.com

EMA crossover strategy example:

import numpy as np

from cipher import Cipher, Session, Strategy


class EmaCrossoverStrategy(Strategy):
    def __init__(self, fast_ema_length=9, slow_ema_length=21, trend_ema_length=200):
        self.fast_ema_length = fast_ema_length
        self.slow_ema_length = slow_ema_length
        self.trend_ema_length = trend_ema_length

    def compose(self):
        df = self.datas.df
        df["fast_ema"] = df.ta.ema(length=self.fast_ema_length)
        df["slow_ema"] = df.ta.ema(length=self.slow_ema_length)
        df["trend_ema"] = df.ta.ema(length=self.trend_ema_length)

        df["difference"] = df["fast_ema"] - df["slow_ema"]

        # this column is required, it triggers on_entry, have to be bool
        df["entry"] = np.sign(df["difference"].shift(1)) != np.sign(df["difference"])

        df["max_6"] = df["high"].rolling(window=6).max()
        df["min_6"] = df["low"].rolling(window=6).min()

        return df[df["trend_ema"].notnull()]

    def on_entry(self, row: dict, session: Session):
        if row["difference"] > 0 and row["close"] > row["trend_ema"]:
            # start new long session
            session.position += "0.01"
            # brackets (stop_loss, take_profit) are optional
            session.stop_loss = row["min_6"]
            session.take_profit = row["close"] + 1.5 * (row["close"] - row["min_6"])

        elif row["difference"] < 0 and row["close"] < row["trend_ema"]:
            # start new short session
            session.position -= "0.01"
            session.stop_loss = row["max_6"]
            session.take_profit = row["close"] - 1.5 * (row["max_6"] - row["close"])

    # def on_<signal>(self, row: dict, session: Session) -> None:
    #     """Custom signal handler, call for each open session.
    #     We can adjust or close position or adjust brackets here."""
    #     pass
    #
    # def on_take_profit(self, row: dict, session: Session) -> None:
    #     """Called once take profit hit, default action - close position.
    #     We can adjust position and brackets here and let the session continue."""
    #     session.position = 0
    #
    # def on_stop_loss(self, row: dict, session: Session) -> None:
    #     """Called once stop loss hit, default action - close position.
    #     We can adjust position and brackets here and let the session continue."""
    #     session.position = 0
    #
    # def on_stop(self, row: dict, session: Session) -> None:
    #     """Call for each open session when the dataframe end reached.
    #     We have an opportunity to close open sessions, otherwise - they will be ignored."""
    #     session.position = 0


def main():
    cipher = Cipher()
    cipher.add_source("binance_spot_ohlc", symbol="BTCUSDT", interval="1h")
    cipher.set_strategy(EmaCrossoverStrategy())
    cipher.run(start_ts="2020-01-01", stop_ts="2020-04-01")
    cipher.set_commission("0.0025")
    print(cipher.sessions)
    print(cipher.stats)
    cipher.plot()


if __name__ == "__main__":
    main()

Usage

Initialize a new strategies folder and create a strategy:

pip install cipher-bt
mkdir my_strategies
cd my_strategies

cipher init
cipher new my_strategy
python my_strategy.py

Development

brew install poetry
poetry install
poetry shell

pytest tests

cipher --help