"""Offline backtest example: compute a basket of indicators over a CSV history. Run with:: python -m examples.python.backtest path/to/ohlcv.csv The CSV must have a header row with at least the columns ``timestamp, open, high, low, close, volume``. The script computes a panel of indicators with the standard parameters used across Wickra's tests and prints a small summary of the resulting series — enough to verify that the indicators are wired correctly without pulling in pandas or a charting stack. """ from __future__ import annotations import argparse import csv import sys from dataclasses import dataclass from typing import List import numpy as np import wickra as ta # Columns the OHLCV layout requires; the CSV header must name every one. REQUIRED_COLUMNS = ("timestamp", "open", "high", "low", "close", "volume") @dataclass class History: timestamp: np.ndarray open: np.ndarray high: np.ndarray low: np.ndarray close: np.ndarray volume: np.ndarray def read_history(path: str) -> History: """Load an OHLCV CSV into typed NumPy columns. Raises: ValueError: if the file has no header, is missing a required column, holds no data rows, or contains a non-numeric value (the message pinpoints the offending row and column instead of surfacing an opaque ``KeyError`` or NumPy ``ValueError``). """ rows: List[List[str]] = [] with open(path, newline="") as f: reader = csv.DictReader(f) if reader.fieldnames is None: raise ValueError(f"{path}: CSV has no header row") missing = [c for c in REQUIRED_COLUMNS if c not in reader.fieldnames] if missing: raise ValueError( f"{path}: CSV is missing required column(s): " f"{', '.join(missing)}; found: {', '.join(reader.fieldnames)}" ) for row in reader: rows.append([row[c] for c in REQUIRED_COLUMNS]) if not rows: raise ValueError(f"{path}: CSV has a header but no data rows") try: arr = np.array(rows, dtype=np.float64) except (TypeError, ValueError) as exc: # NumPy's own message names neither the row nor the column — locate # the first non-numeric cell and report it precisely. for line_no, row in enumerate(rows, start=2): for col, value in zip(REQUIRED_COLUMNS, row): try: float(value) except (TypeError, ValueError): raise ValueError( f"{path}: row {line_no} column '{col}' is not " f"numeric: {value!r}" ) from exc raise # could not localise — surface the original error return History( timestamp=arr[:, 0].astype(np.int64), open=arr[:, 1], high=arr[:, 2], low=arr[:, 3], close=arr[:, 4], volume=arr[:, 5], ) def parse_args() -> argparse.Namespace: p = argparse.ArgumentParser(description=__doc__.splitlines()[0] if __doc__ else None) p.add_argument("path", help="Path to an OHLCV CSV file") p.add_argument("--rsi", type=int, default=14) p.add_argument("--ema", type=int, default=20) p.add_argument("--bb-period", type=int, default=20) p.add_argument("--bb-mult", type=float, default=2.0) return p.parse_args() def summarize(name: str, values: np.ndarray) -> None: valid = values[~np.isnan(values)] if valid.size == 0: print(f" {name:<12} (no valid samples — series too short)") return print( f" {name:<12} mean={valid.mean():>10.4f} min={valid.min():>10.4f} " f"max={valid.max():>10.4f} last={valid[-1]:>10.4f}" ) def main() -> int: args = parse_args() history = read_history(args.path) rsi = ta.RSI(args.rsi).batch(history.close) ema = ta.EMA(args.ema).batch(history.close) macd = ta.MACD().batch(history.close) # shape (n, 3) bb = ta.BollingerBands(args.bb_period, args.bb_mult).batch(history.close) # (n, 4) atr = ta.ATR(14).batch(history.high, history.low, history.close) adx = ta.ADX(14).batch(history.high, history.low, history.close) # (n, 3) obv = ta.OBV().batch(history.close, history.volume) print(f"Backtest summary for {args.path} ({history.close.size} bars)") summarize(f"RSI({args.rsi})", rsi) summarize(f"EMA({args.ema})", ema) summarize("MACD line", macd[:, 0]) summarize("MACD hist", macd[:, 2]) summarize(f"BB upper", bb[:, 0]) summarize(f"BB lower", bb[:, 2]) summarize("ATR(14)", atr) summarize("ADX(14)", adx[:, 2]) summarize("OBV", obv) return 0 if __name__ == "__main__": sys.exit(main())