Breakout strategy succesfully extracted

app/analysis.py

@@ -0,0 +1,18 @@
+"""
+Executes the trading strategies and analyzes the results.
+"""
+
+from strategies.breakout import Breakout
+#from strategies.ichimoku_cloud import IchimokuCloud
+#from strategies.relative_string_index import RelativeStrengthIndex
+#from strategies.moving_averages import MovingAverages
+
+
+class StrategyAnalyzer():
+    """
+    Executes the trading strategies and analyzes the results.
+    """
+    def analyze_breakout(self, historical_data):
+        breakout_analyzer = Breakout()
+        breakout_value, is_breaking_out = breakout_analyzer.find_breakout(historical_data)
+        return breakout_value, is_breaking_out

app/app.py

@@ -9,167 +9,31 @@
 import logging
 from string import whitespace
 
+from exchange import ExchangeAggregator
 from notification import Notifier
-from exchanges.bittrex import Bittrex
+from analysis import StrategyAnalyzer
+
 
 # Let's test an API call to get our BTC balance as a test
 # print(BITTREX_CLIENT.get_balance('BTC')['result']['Balance'])
 
 #print(historical_data = BITTREX_CLIENT.get_historical_data('BTC-ETH', 30, "thirtyMin"))
-def get_closing_prices(coin_pair, period, unit):
-    """
-    Returns closing prices within a specified time frame for a coin pair
-    :type coin_pair: str
-    :type period: str
-    :type unit: int
-    :return: Array of closing prices
-    """
-
-    historical_data = BITTREX_CLIENT.get_historical_data(coin_pair, period, unit)
-    closing_prices = []
-    for data_point in historical_data:
-        closing_prices.append(data_point['C'])
-    return closing_prices
-
-def calculate_sma(coin_pair, period, unit):
-    """
-    Returns the Simple Moving Average for a coin pair
-    """
-
-    total_closing = sum(get_closing_prices(coin_pair, period, unit))
-    return total_closing / period
-
-def calculate_ema(coin_pair, period, unit):
-    """
-    Returns the Exponential Moving Average for a coin pair
-    """
-
-    closing_prices = get_closing_prices(coin_pair, period, unit)
-    previous_ema = calculate_sma(coin_pair, period, unit)
-    period_constant = 2 / (1 + period)
-    current_ema = (closing_prices[-1] * period_constant) \
-                  + (previous_ema * (1 - period_constant))
-    return current_ema
-
-# Improvemnts to calculate_rsi are courtesy of community contributor "pcartwright81"
-def calculate_rsi(coin_pair, period, unit):
-    """
-    Calculates the Relative Strength Index for a coin_pair
-    If the returned value is above 70, it's overbought (SELL IT!)
-    If the returned value is below 30, it's oversold (BUY IT!)
-    """
-    closing_prices = get_closing_prices(coin_pair, period * 3, unit)
-    count = 0
-    changes = []
-    # Calculating price changes
-    for closing_price in closing_prices:
-        if count != 0:
-            changes.append(closing_price - closing_prices[count - 1])
-        count += 1
-        if count == 15:
-            break
-
-    # Calculating gains and losses
-    advances = []
-    declines = []
-    for change in changes:
-        if change > 0:
-            advances.append(change)
-        if change < 0:
-            declines.append(abs(change))
-
-    average_gain = (sum(advances) / 14)
-    average_loss = (sum(declines) / 14)
-    new_average_gain = average_gain
-    new_average_loss = average_loss
-    for closing_price in closing_prices:
-        if count > 14 and count < len(closing_prices):
-            close = closing_prices[count]
-            new_change = close - closing_prices[count - 1]
-            add_loss = 0
-            add_gain = 0
-            if new_change > 0:
-                add_gain = new_change
-            if new_change < 0:
-                add_loss = abs(new_change)
-            new_average_gain = (new_average_gain * 13 + add_gain) / 14
-            new_average_loss = (new_average_loss * 13 + add_loss) / 14
-            count += 1
-
-    rs = new_average_gain / new_average_loss
-    new_rs = 100 - 100 / (1 + rs)
-    return new_rs
-
-
-def calculate_base_line(coin_pair, unit):
-    """
-    Calculates (26 period high + 26 period low) / 2
-    Also known as the "Kijun-sen" line
-    """
-
-    closing_prices = get_closing_prices(coin_pair, 26, unit)
-    period_high = max(closing_prices)
-    period_low = min(closing_prices)
-    return (period_high + period_low) / 2
-
-def calculate_conversion_line(coin_pair, unit):
-    """
-    Calculates (9 period high + 9 period low) / 2
-    Also known as the "Tenkan-sen" line
-    """
-    closing_prices = get_closing_prices(coin_pair, 9, unit)
-    period_high = max(closing_prices)
-    period_low = min(closing_prices)
-    return (period_high + period_low) / 2
-
-def calculate_leading_span_a(coin_pair, unit):
-    """
-    Calculates (Conversion Line + Base Line) / 2
-    Also known as the "Senkou Span A" line
-    """
-
-    base_line = calculate_base_line(coin_pair, unit)
-    conversion_line = calculate_conversion_line(coin_pair, unit)
-    return (base_line + conversion_line) / 2
-
-def calculate_leading_span_b(coin_pair, unit):
-    """
-    Calculates (52 period high + 52 period low) / 2
-    Also known as the "Senkou Span B" line
-    """
-    closing_prices = get_closing_prices(coin_pair, 52, unit)
-    period_high = max(closing_prices)
-    period_low = min(closing_prices)
-    return (period_high + period_low) / 2
-
-def find_breakout(coin_pair, period, unit):
-    """
-    Finds breakout based on how close the High was to Closing and Low to Opening
-    """
-    hit = 0
-    historical_data = BITTREX_CLIENT.get_historical_data(coin_pair, period, unit)
-    for data_point in historical_data:
-        if (data_point['C'] == data_point['H']) and (data_point['O'] == data_point['L']):
-            hit += 1
-
-    if (hit / period) >= .75:
-        notifier = Notifier(CONFIG)
-        notifier.notify_all(message="{} is breaking out!".format(coin_pair))
-        return "Breaking out!"
-    else:
-        return "#Bagholding"
-    exit()
 
 def get_signal():
+
     for coin_pair in COIN_PAIRS:
-        breakout = find_breakout(coin_pair=coin_pair, period=5, unit="fiveMin")
-        rsi = calculate_rsi(coin_pair=coin_pair, period=14, unit="thirtyMin")
-        print("{}: \tBreakout: {} \tRSI: {}".format(coin_pair, breakout, rsi))
+        breakout_value, is_breaking_out = STRATEGY_ANALYZER.analyze_breakout(
+            EXCHANGE_AGGREGATOR.get_historical_data(coin_pair))
+        if is_breaking_out:
+            NOTIFIER.notify_all(message="{} is breaking out!".format(coin_pair))
+        print("{}: \tBreakout: {}".format(coin_pair, breakout_value))
     time.sleep(300)
 
 if __name__ == "__main__":
     # Load settings and create the CONFIG object
-    SECRETS = json.load(open('secrets.json'))
+    SECRETS = {}
+    if os.path.isfile('secrets.json'):
+        SECRETS = json.load(open('secrets.json'))
     CONFIG = json.load(open('default-config.json'))
 
     CONFIG.update(SECRETS)
@@ -193,17 +57,16 @@ def get_signal():
     LOG_HANDLE.setFormatter(LOG_FORMAT)
     LOGGER.addHandler(LOG_HANDLE)
 
-    # Configure clients for bittrex and twilio
-    BITTREX_CLIENT = Bittrex(
-        CONFIG['exchanges']['bittrex']['required']['key'],
-        CONFIG['exchanges']['bittrex']['required']['secret'])
+    EXCHANGE_AGGREGATOR = ExchangeAggregator(CONFIG)
+    STRATEGY_ANALYZER = StrategyAnalyzer()
+    NOTIFIER = Notifier(CONFIG)
 
     # The coin pairs
     COIN_PAIRS = []
     if CONFIG['settings']['market_pairs']:
         COIN_PAIRS = CONFIG['settings']['market_pairs'].translate(str.maketrans('', '', whitespace)).split(",")
     else:
-        user_markets = BITTREX_CLIENT.get_balances()
+        user_markets = EXCHANGE_AGGREGATOR.get_user_markets()
         for user_market in user_markets['result']:
             if 'BTC' in user_market['Currency']:
                 continue

app/exchange.py

@@ -0,0 +1,23 @@
+"""
+Collect required information from exchanges
+"""
+
+from exchanges.bittrex import Bittrex
+
+class ExchangeAggregator():
+    """
+    Collect required information from exchanges
+    """
+    def __init__(self, config):
+        self.bittrex_client = Bittrex(
+            config['exchanges']['bittrex']['required']['key'],
+            config['exchanges']['bittrex']['required']['secret'])
+
+    def get_historical_data(self, coin_pair, period_count=5, time_unit='fiveMin'):
+        """
+        Get history data
+        """
+        return self.bittrex_client.get_historical_data(coin_pair, period_count, time_unit)
+
+    def get_user_markets(self):
+        return self.bittrex_client.get_balances()

app/strategies/breakout.py

@@ -0,0 +1,23 @@
+"""
+Runs the breakout strategy over the market data
+"""
+
+class Breakout():
+    """
+    Runs the breakout strategy over the market data
+    """
+    def find_breakout(self, historical_data, breakout_threshold=.75):
+        """
+        Finds breakout based on how close the High was to Closing and Low to Opening
+        """
+        hit = 0
+        for data_period in historical_data:
+            if (data_period['C'] == data_period['H']) and (data_period['O'] == data_period['L']):
+                hit += 1
+
+        percent_positive_trend = hit / len(historical_data)
+        if percent_positive_trend >= breakout_threshold:
+            is_breaking_out = True
+        else:
+            is_breaking_out = False
+        return percent_positive_trend, is_breaking_out

app/strategies/ichimoku_cloud.py

@@ -0,0 +1,40 @@
+def calculate_base_line(coin_pair, unit):
+    """
+    Calculates (26 period high + 26 period low) / 2
+    Also known as the "Kijun-sen" line
+    """
+
+    closing_prices = get_closing_prices(coin_pair, 26, unit)
+    period_high = max(closing_prices)
+    period_low = min(closing_prices)
+    return (period_high + period_low) / 2
+
+def calculate_conversion_line(coin_pair, unit):
+    """
+    Calculates (9 period high + 9 period low) / 2
+    Also known as the "Tenkan-sen" line
+    """
+    closing_prices = get_closing_prices(coin_pair, 9, unit)
+    period_high = max(closing_prices)
+    period_low = min(closing_prices)
+    return (period_high + period_low) / 2
+
+def calculate_leading_span_a(coin_pair, unit):
+    """
+    Calculates (Conversion Line + Base Line) / 2
+    Also known as the "Senkou Span A" line
+    """
+
+    base_line = calculate_base_line(coin_pair, unit)
+    conversion_line = calculate_conversion_line(coin_pair, unit)
+    return (base_line + conversion_line) / 2
+
+def calculate_leading_span_b(coin_pair, unit):
+    """
+    Calculates (52 period high + 52 period low) / 2
+    Also known as the "Senkou Span B" line
+    """
+    closing_prices = get_closing_prices(coin_pair, 52, unit)
+    period_high = max(closing_prices)
+    period_low = min(closing_prices)
+    return (period_high + period_low) / 2

app/strategies/moving_averages.py

@@ -0,0 +1,19 @@
+def calculate_sma(coin_pair, period, unit):
+    """
+    Returns the Simple Moving Average for a coin pair
+    """
+
+    total_closing = sum(get_closing_prices(coin_pair, period, unit))
+    return total_closing / period
+
+def calculate_ema(coin_pair, period, unit):
+    """
+    Returns the Exponential Moving Average for a coin pair
+    """
+
+    closing_prices = get_closing_prices(coin_pair, period, unit)
+    previous_ema = calculate_sma(coin_pair, period, unit)
+    period_constant = 2 / (1 + period)
+    current_ema = (closing_prices[-1] * period_constant) \
+                  + (previous_ema * (1 - period_constant))
+    return current_ema

app/strategies/relative_strength_index.py

@@ -0,0 +1,48 @@
+# Improvemnts to calculate_rsi are courtesy of community contributor "pcartwright81"
+def calculate_rsi(coin_pair, period, unit):
+    """
+    Calculates the Relative Strength Index for a coin_pair
+    If the returned value is above 70, it's overbought (SELL IT!)
+    If the returned value is below 30, it's oversold (BUY IT!)
+    """
+    closing_prices = get_closing_prices(coin_pair, period * 3, unit)
+    count = 0
+    changes = []
+    # Calculating price changes
+    for closing_price in closing_prices:
+        if count != 0:
+            changes.append(closing_price - closing_prices[count - 1])
+        count += 1
+        if count == 15:
+            break
+
+    # Calculating gains and losses
+    advances = []
+    declines = []
+    for change in changes:
+        if change > 0:
+            advances.append(change)
+        if change < 0:
+            declines.append(abs(change))
+
+    average_gain = (sum(advances) / 14)
+    average_loss = (sum(declines) / 14)
+    new_average_gain = average_gain
+    new_average_loss = average_loss
+    for closing_price in closing_prices:
+        if count > 14 and count < len(closing_prices):
+            close = closing_prices[count]
+            new_change = close - closing_prices[count - 1]
+            add_loss = 0
+            add_gain = 0
+            if new_change > 0:
+                add_gain = new_change
+            if new_change < 0:
+                add_loss = abs(new_change)
+            new_average_gain = (new_average_gain * 13 + add_gain) / 14
+            new_average_loss = (new_average_loss * 13 + add_loss) / 14
+            count += 1
+
+    rs = new_average_gain / new_average_loss
+    new_rs = 100 - 100 / (1 + rs)
+    return new_rs

app/strategies/util.py

@@ -0,0 +1,14 @@
+def get_closing_prices(coin_pair, period, unit):
+    """
+    Returns closing prices within a specified time frame for a coin pair
+    :type coin_pair: str
+    :type period: str
+    :type unit: int
+    :return: Array of closing prices
+    """
+
+    historical_data = BITTREX_CLIENT.get_historical_data(coin_pair, period, unit)
+    closing_prices = []
+    for data_point in historical_data:
+        closing_prices.append(data_point['C'])
+    return closing_prices