mirror of
https://github.com/manifoldbt/manifoldbt.git
synced 2026-08-24 22:48:05 +00:00
87 lines
2.7 KiB
Python
87 lines
2.7 KiB
Python
"""Multi-Timeframe Strategy -- trend on 12h, entry on 1h.
|
|
|
|
Demonstrates:
|
|
- bt.tf() for referencing higher-timeframe columns
|
|
- extra_timeframes config to inject resampled OHLCV
|
|
- Combining slow trend filter (12h EMA) with faster entry (1h RSI)
|
|
|
|
Logic:
|
|
- 12h trend: EMA(20) > EMA(50) → bullish regime
|
|
- 1h entry: RSI(14) < 35 during bullish regime → buy the dip
|
|
- Size: 50% of initial capital when conditions met, else flat
|
|
|
|
Usage:
|
|
python examples/14_multi_timeframe.py
|
|
"""
|
|
import os
|
|
import time
|
|
import manifoldbt as mbt
|
|
from manifoldbt.indicators import ema, rsi, close
|
|
from manifoldbt.helpers import time_range, Slippage, Interval
|
|
|
|
# -- Higher timeframe references ---------------------------------------------
|
|
h12 = mbt.tf("12h") # references columns like "12h.close"
|
|
|
|
# -- Indicators ---------------------------------------------------------------
|
|
# Trend filter on 12-hour bars (forward-filled onto 1h grid)
|
|
trend_fast = ema(h12.close, 20)
|
|
trend_slow = ema(h12.close, 50)
|
|
bullish = trend_fast > trend_slow
|
|
|
|
# Entry signal on 1-hour bars (native resolution)
|
|
entry_rsi = rsi(close, 14)
|
|
dip = entry_rsi < 35.0
|
|
|
|
# -- Strategy -----------------------------------------------------------------
|
|
strategy = (
|
|
mbt.Strategy.create("multi_tf_trend_dip")
|
|
.signal("bullish", bullish)
|
|
.signal("entry_rsi", entry_rsi)
|
|
.signal("dip", dip)
|
|
.size(mbt.when(mbt.col("bullish") & mbt.col("dip"), 0.5, 0.0))
|
|
.stop_loss(pct=3.0)
|
|
.describe("12h EMA trend + 1h RSI dip-buy, 3% stop-loss")
|
|
)
|
|
|
|
# -- Config -------------------------------------------------------------------
|
|
start, end = time_range("2022-01-01", "2025-01-01")
|
|
|
|
config = mbt.BacktestConfig(
|
|
universe={"binance": ["BTC-USDT:perp"]},
|
|
time_range_start=start,
|
|
time_range_end=end,
|
|
bar_interval=Interval.hours(1),
|
|
initial_capital=10_000,
|
|
execution=mbt.ExecutionConfig(
|
|
allow_short=False,
|
|
max_position_pct=0.5,
|
|
position_sizing_mode="FractionOfInitialCapital",
|
|
),
|
|
fees=mbt.FeeConfig.binance_perps(),
|
|
slippage=Slippage.fixed_bps(2),
|
|
warmup_bars=50,
|
|
extra_timeframes={
|
|
"12h": Interval.hours(12),
|
|
},
|
|
)
|
|
|
|
# -- Run ----------------------------------------------------------------------
|
|
if __name__ == "__main__":
|
|
root = os.path.join(os.path.dirname(__file__), "..")
|
|
data_root = os.path.abspath(os.path.join(root, "data"))
|
|
store = mbt.DataStore(
|
|
data_root=data_root,
|
|
metadata_db=os.path.abspath(os.path.join(root, "metadata", "metadata.sqlite")),
|
|
arrow_dir=os.path.join(data_root, "mega"),
|
|
)
|
|
|
|
t0 = time.perf_counter()
|
|
result = mbt.run(strategy, config, store)
|
|
elapsed = time.perf_counter() - t0
|
|
|
|
|
|
print(result.summary())
|
|
print(f"\nElapsed: {elapsed:.3f}s")
|
|
|
|
mbt.plot.equity(result)
|