candlestick_pattern_backtest.py

final_result_df = pd.DataFrame()

# read from local data
for symbol in os.listdir('price_data/'):      
    df = pd.read_csv(f'price_data/{symbol}')
    if df.empty:
        continue
    df.replace('', np.nan, inplace=True)
    df.dropna(inplace=True)
    df.ta.cdl_pattern(name="all", append=True)
    
    result_df = pd.DataFrame(columns = ['Trade', 'Win', 'Loss'])
    
    # for each candlestick pattern
    for pattern in df.columns[7:]:
        hold = False
        trades = 0
        success_trades = 0
        fail_trades = 0
        for i in range(len(df.index)-1):
            try:
                # if value is 100 -> pattern is detected
                if not hold and df[pattern][i] == 100.0:
                    # enter at open price the next day
                    entry = df['Open'][i+1]
                    hold = True
                    # set Stop Loss (SL) = 5%, Profit Target (PT) = 10%
                    stop_loss = entry * 0.95
                    profit_target = entry * 1.1
                # see which one is hit first
                elif hold and df['Close'][i] > profit_target:
                    hold = False
                    trades += 1
                    success_trades += 1
                elif hold and df['Close'][i] < stop_loss:
                    hold = False
                    trades += 1
                    fail_trades += 1
            except:
                continue
        result_df.loc[pattern] = [trades, success_trades, fail_trades]
    # append to final_result_df
    if final_result_df.empty:
        final_result_df = result_df
    else:
        final_result_df = final_result_df.add(result_df)

Hi, great post, and thanks for providing the code!

Shouldn't line 31 be df['High'] rather than close? The stock might have reached the profit target before close and then dropped...

(similarly, in line 35 - 'Low' instead of 'Close')

Curious how that would impact the results 🤔