Backtesting Candlestick Patterns in Python

candles-vectorbt.py

# Licensed under the MIT License. See comment below for full licence information.

import vectorbt as vbt
import yfinance as yf
import pandas as pd

from datetime import datetime, timedelta
import talib


data = pd.read_csv("Bitstamp_BTCUSD_1h.csv")
data["unix"] = pd.to_datetime(data["unix"], unit= "s")
data.set_index("unix", inplace = True)
data = data.iloc[::-1]
data = data[["open","high","low","close"]]
data.columns = ["Open", "High","Low","Close"]

print(data)

window_length =240

strategy_returns = []

basic_returns = []

for x in range(0, len(data) - window_length, 24):

    window_data = data.iloc[x:x+window_length]

    hammer = talib.CDLHAMMER(window_data.Open, window_data.High,
            window_data.Low, window_data.Close)

    hanging_man = talib.CDLHANGINGMAN(window_data.Open, window_data.High,
            window_data.Low, window_data.Close)

    buys = (hammer==100)
    sells = (hanging_man==-100)

    pf = vbt.Portfolio.from_signals(window_data.Close, buys, sells, fees = 0.005)

    strategy_returns.append(pf.total_return())
    basic_returns.append((window_data.Close.iloc[-1]/window_data.Close.iloc[0])-1)


print("Average return (strategy):",sum(strategy_returns)/len(strategy_returns))
print("Average return (benchmark):",sum(basic_returns)/len(strategy_returns))

Data can be found here to download:
https://www.cryptodatadownload.com/data/bitstamp/