Initial commit

.gitattributes

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+# Auto detect text files and perform LF normalization
+* text=auto

.gitignore

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+# Created by https://www.toptal.com/developers/gitignore/api/python
+# Edit at https://www.toptal.com/developers/gitignore?templates=python
+
+### Python ###
+# Byte-compiled / optimized / DLL files
+__pycache__/
+*.py[cod]
+*$py.class
+
+# C extensions
+*.so
+
+# Distribution / packaging
+.Python
+build/
+develop-eggs/
+dist/
+downloads/
+eggs/
+.eggs/
+lib/
+lib64/
+parts/
+sdist/
+var/
+wheels/
+share/python-wheels/
+*.egg-info/
+.installed.cfg
+*.egg
+MANIFEST
+
+# PyInstaller
+#  Usually these files are written by a python script from a template
+#  before PyInstaller builds the exe, so as to inject date/other infos into it.
+*.manifest
+*.spec
+
+# Installer logs
+pip-log.txt
+pip-delete-this-directory.txt
+
+# Unit test / coverage reports
+htmlcov/
+.tox/
+.nox/
+.coverage
+.coverage.*
+.cache
+nosetests.xml
+coverage.xml
+*.cover
+*.py,cover
+.hypothesis/
+.pytest_cache/
+cover/
+
+# Translations
+*.mo
+*.pot
+
+# Django stuff:
+*.log
+local_settings.py
+db.sqlite3
+db.sqlite3-journal
+
+# Flask stuff:
+instance/
+.webassets-cache
+
+# Scrapy stuff:
+.scrapy
+
+# Sphinx documentation
+docs/_build/
+
+# PyBuilder
+.pybuilder/
+target/
+
+# Jupyter Notebook
+.ipynb_checkpoints
+
+# IPython
+profile_default/
+ipython_config.py
+
+# pyenv
+#   For a library or package, you might want to ignore these files since the code is
+#   intended to run in multiple environments; otherwise, check them in:
+# .python-version
+
+# pipenv
+#   According to pypa/pipenv#598, it is recommended to include Pipfile.lock in version control.
+#   However, in case of collaboration, if having platform-specific dependencies or dependencies
+#   having no cross-platform support, pipenv may install dependencies that don't work, or not
+#   install all needed dependencies.
+#Pipfile.lock
+
+# poetry
+#   Similar to Pipfile.lock, it is generally recommended to include poetry.lock in version control.
+#   This is especially recommended for binary packages to ensure reproducibility, and is more
+#   commonly ignored for libraries.
+#   https://python-poetry.org/docs/basic-usage/#commit-your-poetrylock-file-to-version-control
+#poetry.lock
+
+# pdm
+#   Similar to Pipfile.lock, it is generally recommended to include pdm.lock in version control.
+#pdm.lock
+#   pdm stores project-wide configurations in .pdm.toml, but it is recommended to not include it
+#   in version control.
+#   https://pdm.fming.dev/#use-with-ide
+.pdm.toml
+
+# PEP 582; used by e.g. github.com/David-OConnor/pyflow and github.com/pdm-project/pdm
+__pypackages__/
+
+# Celery stuff
+celerybeat-schedule
+celerybeat.pid
+
+# SageMath parsed files
+*.sage.py
+
+# Environments
+.env
+.venv
+env/
+venv/
+ENV/
+env.bak/
+venv.bak/
+
+# Spyder project settings
+.spyderproject
+.spyproject
+
+# Rope project settings
+.ropeproject
+
+# mkdocs documentation
+/site
+
+# mypy
+.mypy_cache/
+.dmypy.json
+dmypy.json
+
+# Pyre type checker
+.pyre/
+
+# pytype static type analyzer
+.pytype/
+
+# Cython debug symbols
+cython_debug/
+
+# PyCharm
+#  JetBrains specific template is maintained in a separate JetBrains.gitignore that can
+#  be found at https://github.com/github/gitignore/blob/main/Global/JetBrains.gitignore
+#  and can be added to the global gitignore or merged into this file.  For a more nuclear
+#  option (not recommended) you can uncomment the following to ignore the entire idea folder.
+#.idea/
+
+### Python Patch ###
+# Poetry local configuration file - https://python-poetry.org/docs/configuration/#local-configuration
+poetry.toml
+
+# ruff
+.ruff_cache/
+
+# LSP config files
+pyrightconfig.json
+
+# End of https://www.toptal.com/developers/gitignore/api/python
+
+
+.idea
+.vscode

LICENSE

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+MIT License
+
+Copyright (c) 2024 tbxark
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

Makefile

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+.PHONY: run
+run:
+	streamlit run main.py --server.runOnSave true

README.md

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+# backtrader
+

main.py

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+import streamlit as st
+import pandas as pd
+import plotly.graph_objects as go
+from plotly.subplots import make_subplots
+import numpy as np
+
+def calculate_rsi(data, window=14):
+    delta = data.diff()
+    gain = (delta.where(delta > 0, 0)).rolling(window=window).mean()
+    loss = (-delta.where(delta < 0, 0)).rolling(window=window).mean()
+    rs = gain / loss
+    return 100 - (100 / (1 + rs))
+
+def backtest_strategy(df, strategy_function, initial_capital=10000):
+    position = 0
+    capital = initial_capital
+    trades = []
+
+    for i in range(1, len(df)):
+        current_data = df.iloc[i]
+        prev_data = df.iloc[i-1]
+
+        action, amount = strategy_function(current_data, prev_data, position, capital)
+
+        if action == "买入" and amount > 0:
+            cost = amount * current_data['close']
+            if cost <= capital:
+                capital -= cost
+                position += amount
+                trades.append({
+                    "时间": current_data['timestamp'],
+                    "操作": "买入",
+                    "数量": amount,
+                    "价格": current_data['close'],
+                    "资金": capital
+                })
+        elif action == "卖出" and position > 0:
+            sell_amount = min(amount, position)
+            capital += sell_amount * current_data['close']
+            position -= sell_amount
+            trades.append({
+                "时间": current_data['timestamp'],
+                "操作": "卖出",
+                "数量": sell_amount,
+                "价格": current_data['close'],
+                "资金": capital
+            })
+
+    final_assets = capital + position * df.iloc[-1]['close']
+    return trades, final_assets
+
+def rsi_strategy(current_data, prev_data, position, capital):
+    current_rsi = current_data['RSI']
+    current_close = current_data['close']
+    prev_close = prev_data['close']
+
+    if current_rsi > 80 and position > 0:
+        return "卖出", position
+    elif current_rsi < 20 and position == 0:
+        shares_to_buy = capital // current_close
+        return "买入", shares_to_buy
+    elif position > 0 and (current_close - prev_close) > 10:
+        return "卖出", position
+    elif position > 0 and (prev_close - current_close) > 5:
+        return "卖出", position
+
+    return "持有", 0
+
+
+uploaded_file = st.file_uploader("选择CSV文件", type="csv")
+
+if uploaded_file is not None:
+    df = pd.read_csv(uploaded_file, sep=',')
+    print(df.head())
+    df['timestamp'] = pd.to_datetime(df['timestamp'])
+    df = df.dropna()
+    df_resampled = df.set_index('timestamp').resample('15T').agg({'open': 'first', 'high': 'max', 'low': 'min', 'close': 'last', 'volume': 'sum'})
+    df_resampled = df_resampled.dropna()
+    df_resampled['RSI'] = calculate_rsi(df_resampled['close'], window=14)    
+    df_resampled = df_resampled.dropna()
+    df_resampled = df_resampled.reset_index()
+
+
+    st.write("数据预览:")
+    st.write(df_resampled.head())
+
+    columns = df_resampled.columns.tolist()
+
+    default_x = 'timestamp' if 'timestamp' in columns else columns[0]
+    default_y = 'close' if 'close' in columns else columns[0]
+
+    x_axis = st.selectbox("选择X轴", options=columns, index=columns.index(default_x))
+    y_axis = st.selectbox("选择Y轴", options=columns, index=columns.index(default_y))
+
+
+    fig = make_subplots(rows=2, cols=1, shared_xaxes=True, vertical_spacing=0.1, row_heights=[0.7, 0.3])
+    fig.add_trace(go.Scatter(x=df_resampled[x_axis], y=df_resampled[y_axis], name=y_axis), row=1, col=1)
+    fig.add_trace(go.Scatter(x=df_resampled[x_axis], y=df_resampled['RSI'], name='RSI'), row=2, col=1)
+
+    short_signals = df_resampled[df_resampled['RSI'] > 80]
+    fig.add_trace(go.Scatter(
+        x=short_signals[x_axis],
+        y=short_signals[y_axis],
+        mode='markers',
+        marker=dict(symbol='triangle-down', size=10, color='red'),
+        name='做空信号'
+    ), row=1, col=1)
+
+    long_signals = df_resampled[df_resampled['RSI'] < 20]
+    fig.add_trace(go.Scatter(
+        x=long_signals[x_axis],
+        y=long_signals[y_axis],
+        mode='markers',
+        marker=dict(symbol='triangle-up', size=10, color='green'),
+        name='做多信号'
+    ), row=1, col=1)
+
+    fig.update_layout(height=600, title_text=f'{y_axis} and RSI vs {x_axis}')
+    fig.update_yaxes(title_text=y_axis, row=1, col=1)
+    fig.update_yaxes(title_text='RSI', row=2, col=1)
+
+    st.plotly_chart(fig)
+
+    # 回测逻辑
+    if 'close' in df_resampled.columns and 'RSI' in df_resampled.columns:
+        trades, final_assets = backtest_strategy(df_resampled, rsi_strategy)
+
+        st.subheader("回测结果")
+        st.write("交易记录:")
+
+        if trades:
+            df_trades = pd.DataFrame(trades)
+            df_trades['时间'] = pd.to_datetime(df_trades['时间'])
+            df_trades['时间'] = df_trades['时间'].dt.strftime('%Y-%m-%d %H:%M')
+            df_trades['价格'] = df_trades['价格'].round(2)
+            df_trades['资金'] = df_trades['资金'].round(2)
+            st.table(df_trades)
+        else:
+            st.write("没有执行任何交易。")
+
+        st.write(f"最终资产: {final_assets:.2f}")
+    else:
+        st.error("数据中缺少 'close' 或 'RSI' 列，无法进行回测。")
+
+else:
+    st.write("请上传CSV文件以查看回测结果。")