btcTest.py

from itertools import product
from timeit import timeit

import pandas as pd

# data from https://www.cryptodatadownload.com/data/coinbase/
def profit(n, hPeriod, data):
    return (data[n + hPeriod] - data[n]) / data[n]


def isSameSign(a, b):
    return a * b > 0

def bothGrow(a, b):
    return a > 0 and b > 0

def bothLoss(a, b):
    return a < 0 and b < 0


def cryptoPrices(filePath):
    d = pd.read_csv(filePath, sep=',', skiprows=[0])

    return d["Close"]


def sameGrowth(p1GrowthPeriod, p2GrowthPeriod, growthsDistance, measurePeriod, p1, p2):
    lastHour = len(p1) - (p1GrowthPeriod + p2GrowthPeriod + growthsDistance)
    sameGrowthCounter = 0
    measuresCounter = 0
    # sameGrowth.counter +=1

    for i in range(lastHour - 16000, lastHour, measurePeriod):
        measuresCounter += 1
        if isSameSign(profit(i, p1GrowthPeriod, p1), profit(i + p1GrowthPeriod + growthsDistance, p2GrowthPeriod, p2)):
        # if bothLoss(profit(i, p1GrowthPeriod, p1), profit(i + p1GrowthPeriod + growthsDistance, p2GrowthPeriod, p2)):
        # if bothLoss(profit(i, p1GrowthPeriod, p1), profit(i + p1GrowthPeriod + growthsDistance, p2GrowthPeriod, p2)):
        # if bothLoss(profit(i, p1GrowthPeriod, p1), profit(i + p1GrowthPeriod + growthsDistance, p2GrowthPeriod, p2)):
            sameGrowthCounter += 1

    result = sameGrowthCounter / measuresCounter
    # print(sameGrowth.counter, result)

    return result


sameGrowth.counter = 0

btcPeriods = range(2, 40, 5)
ethPeriods = range(2, 40, 5)
growthDistances = range(35, 80, 2)
measurePeriods = range(16, 80, 2)

testedParameters = list(product(btcPeriods, ethPeriods, growthDistances, measurePeriods))
print(len(testedParameters))

btc = cryptoPrices('./data/Coinbase_BTCUSD_1h.csv')
eth = cryptoPrices('./data/Coinbase_ETHUSD_1h.csv')
results = list(map(lambda p: (sameGrowth(*p, btc, eth), p), testedParameters))

sortedResults = list(reversed(sorted(results, key=lambda el: el[0])))

for x in sortedResults[0:20]:
    print(x)

for x in sortedResults[-20:]:
    print(x)