Level Break Out

Load the data

import pandas as pd
import pandas_ta as ta
import pandas as pd
import numpy as np
import plotly.graph_objects as go
from scipy import stats

df = pd.read_csv("EURUSD_Candlestick_1_D_BID_05.05.2003-28.10.2023.csv")

df.rename(columns={
'Open': 'open',
'High': 'high',
'Low': 'low',
'Close': 'close',
'Volume': 'volume'
}, inplace=True)

df=df[df['volume']!=0]
df.reset_index(drop=True, inplace=True)

df['EMA'] = ta.ema(df.close, length=50)

df.tail()

df=df[0:]
df.reset_index(drop=True, inplace=True)

Trend detection
EMAsignal = [0]*len(df)
backcandles = 10

for row in range(backcandles, len(df)):

upt = 1
dnt = 1
for i in range(row-backcandles, row+1):
if max(df.open[i], df.close[i])>=df.EMA[i]:
dnt=0
if min(df.open[i], df.close[i])<=df.EMA[i]:
upt=0
if upt==1 and dnt==1:
EMAsignal[row]=3
elif upt==1:
EMAsignal[row]=2
elif dnt==1:
 EMAsignal[row]=1

df['EMASignal'] = EMAsignal

df

Gmt time open high low close \

0 05.05.2003 00:00:00.000 1.12161 1.13009 1.12014 1.12924
1 06.05.2003 00:00:00.000 1.12921 1.14506 1.12723 1.14234
2 07.05.2003 00:00:00.000 1.14218 1.14323 1.13265 1.13494
3 08.05.2003 00:00:00.000 1.13507 1.15077 1.13006 1.14820
4 09.05.2003 00:00:00.000 1.14831 1.15366 1.14346 1.14867
... ... ... ... ... ...
6405 24.10.2023 00:00:00.000 1.06699 1.06942 1.05830 1.05949
6406 25.10.2023 00:00:00.000 1.05952 1.06067 1.05601 1.05661
6407 26.10.2023 00:00:00.000 1.05661 1.05691 1.05221 1.05638
6408 27.10.2023 00:00:00.000 1.05637 1.05970 1.05354 1.05605
6409 29.10.2023 00:00:00.000 1.05644 1.05749 1.05588 1.05618

volume EMA EMASignal

0 1.276006e+06 NaN 0
1 1.281467e+06 NaN 0
2 1.272597e+06 NaN 0
3 1.266581e+06 NaN 0
4 1.273339e+06 NaN 0
... ... ... ...
6405 2.703091e+05 1.064827 0
6406 2.475389e+05 1.064505 0
6407 2.871348e+05 1.064186 0
6408 2.156052e+05 1.063867 0
6409 7.605180e+03 1.063566 0

[6410 rows x 8 columns]

def isPivot(candle, window):

"""
function that detects if a candle is a pivot/fractal point
args: candle index, window before and after candle to test if pivot
returns: 1 if pivot high, 2 if pivot low, 3 if both and 0 default
"""
if candle-window < 0 or candle+window >= len(df):
return 0

pivotHigh = 1
pivotLow = 2
for i in range(candle-window, candle+window+1):
if df.iloc[candle].low > df.iloc[i].low:
pivotLow=0
if df.iloc[candle].high < df.iloc[i].high:
pivotHigh=0
 if (pivotHigh and pivotLow):
return 3
elif pivotHigh:
return pivotHigh
elif pivotLow:
return pivotLow
else:
return 0

window=6
df['isPivot'] = df.apply(lambda x: isPivot(x.name,window), axis=1)

def pointpos(x):
if x['isPivot']==2:
return x['low']-1e-3
elif x['isPivot']==1:
return x['high']+1e-3
else:
return np.nan
df['pointpos'] = df.apply(lambda row: pointpos(row), axis=1)

dfpl = df[4300:4600]
fig = go.Figure(data=[go.Candlestick(x=dfpl.index,
open=dfpl['open'],
high=dfpl['high'],
low=dfpl['low'],
close=dfpl['close'])])

fig.add_scatter(x=dfpl.index, y=dfpl['pointpos'], mode="markers",

marker=dict(size=5, color="MediumPurple"),
name="pivot")
fig.update_layout(xaxis_rangeslider_visible=False)
fig.show()

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def detect_structure(candle, backcandles, window):

if (candle <= (backcandles+window)) or (candle+window+1 >= len(df)):
return 0

localdf = df.iloc[candle-backcandles-window:candle-window] #window must

be greater than pivot window to avoid look ahead bias
highs = localdf[localdf['isPivot'] == 1].high.tail(3).values
lows = localdf[localdf['isPivot'] == 2].low.tail(3).values
levelbreak = 0
zone_width = 0.01
if len(lows)==3:
support_condition = True
mean_low = lows.mean()
for low in lows:
if abs(low-mean_low)>zone_width:
support_condition = False
break
if support_condition and (mean_low -
df.loc[candle].close)>zone_width*2:
levelbreak = 1

if len(highs)==3:
resistance_condition = True
mean_high = highs.mean()
for high in highs:
if abs(high-mean_high)>zone_width:
resistance_condition = False
break
if resistance_condition and (df.loc[candle].close-
mean_high)>zone_width*2:
levelbreak = 2
return levelbreak

#df['pattern_detected'] = df.index.map(lambda x: detect_structure(x,

backcandles=40, window=15))
df['pattern_detected'] = df.apply(lambda row: detect_structure(row.name,
backcandles=40, window=6), axis=1)
df[df['pattern_detected']!=0].head(20)

Gmt time open high low close \

1507 27.02.2008 00:00:00.000 1.49948 1.51435 1.49774 1.51150
2418 25.01.2011 00:00:00.000 1.36425 1.37038 1.35742 1.36846
2419 26.01.2011 00:00:00.000 1.36845 1.37212 1.36449 1.37097
3049 30.01.2013 00:00:00.000 1.34874 1.35870 1.34817 1.35682
3050 31.01.2013 00:00:00.000 1.35680 1.36165 1.35408 1.36115
3051 01.02.2013 00:00:00.000 1.36115 1.37108 1.35860 1.36391
3052 03.02.2013 00:00:00.000 1.36521 1.36571 1.36449 1.36449
3054 05.02.2013 00:00:00.000 1.35103 1.35972 1.34577 1.35825
3649 31.12.2014 00:00:00.000 1.21613 1.21697 1.20968 1.20976
3757 06.05.2015 00:00:00.000 1.11794 1.13700 1.11750 1.13391
3758 07.05.2015 00:00:00.000 1.13391 1.13916 1.12282 1.12444
3851 24.08.2015 00:00:00.000 1.13761 1.17139 1.13692 1.15804
3852 25.08.2015 00:00:00.000 1.15806 1.15845 1.13968 1.15530
4394 19.05.2017 00:00:00.000 1.11100 1.12117 1.10995 1.12065
5501 02.12.2020 00:00:00.000 1.20707 1.21183 1.20399 1.21138
6108 11.11.2022 00:00:00.000 1.01915 1.03640 1.01630 1.03538
6109 13.11.2022 00:00:00.000 1.03354 1.03411 1.03141 1.03266
6110 14.11.2022 00:00:00.000 1.03266 1.03584 1.02713 1.03196
6111 15.11.2022 00:00:00.000 1.03196 1.04808 1.02799 1.03572
6112 16.11.2022 00:00:00.000 1.03574 1.04384 1.03307 1.03932

volume EMA EMASignal isPivot pointpos pattern_detected

1507 858801.3125 1.470108 2 0 NaN 2
2418 214800.8750 1.333875 0 0 NaN 2
2419 182469.0625 1.335330 2 0 NaN 2
3049 175367.4844 1.322583 2 0 NaN 2
3050 166226.0625 1.324095 2 0 NaN 2
3051 204622.9844 1.325656 2 1 1.37208 2
3052 4513.7002 1.327179 2 0 NaN 2
3054 197343.0469 1.329297 2 0 NaN 2
3649 73325.1016 1.238216 1 0 NaN 1
3757 240872.4063 1.096869 0 0 NaN 2
3758 253915.2500 1.097950 0 0 NaN 2
3851 291241.8125 1.109272 0 1 1.17239 2
3852 244246.8594 1.111077 0 0 NaN 2
4394 202951.0156 1.085657 2 0 NaN 2
5501 356276.7500 1.184375 2 0 NaN 2
6108 649651.6875 0.993790 0 0 NaN 2
6109 27155.2695 0.995314 0 0 NaN 2
6110 630287.8750 0.996752 0 0 NaN 2
6111 858243.3125 0.998280 0 1 1.04908 2
6112 830625.7500 0.999889 0 0 NaN 2

data = df[:5000].copy()
def SIGNAL():
return data.pattern_detected
data.rename(columns={
 'open': 'Open',
'high': 'High',
'low': 'Low',
'close': 'Close',
'volume': 'Volume'
}, inplace=True)
data

Gmt time Open High Low Close \

0 05.05.2003 00:00:00.000 1.12161 1.13009 1.12014 1.12924
1 06.05.2003 00:00:00.000 1.12921 1.14506 1.12723 1.14234
2 07.05.2003 00:00:00.000 1.14218 1.14323 1.13265 1.13494
3 08.05.2003 00:00:00.000 1.13507 1.15077 1.13006 1.14820
4 09.05.2003 00:00:00.000 1.14831 1.15366 1.14346 1.14867
... ... ... ... ... ...
4995 22.04.2019 00:00:00.000 1.12440 1.12620 1.12357 1.12584
4996 23.04.2019 00:00:00.000 1.12585 1.12612 1.11921 1.12237
4997 24.04.2019 00:00:00.000 1.12239 1.12241 1.11406 1.11533
4998 25.04.2019 00:00:00.000 1.11534 1.11623 1.11178 1.11353
4999 26.04.2019 00:00:00.000 1.11353 1.11739 1.11111 1.11429

Volume EMA EMASignal isPivot pointpos pattern_detected

0 1.276006e+06 NaN 0 0 NaN 0
1 1.281467e+06 NaN 0 0 NaN 0
2 1.272597e+06 NaN 0 0 NaN 0
3 1.266581e+06 NaN 0 0 NaN 0
4 1.273339e+06 NaN 0 0 NaN 0
... ... ... ... ... ... ...
4995 1.848423e+05 1.128744 0 0 NaN 0
4996 3.667941e+05 1.128494 0 0 NaN 0
4997 3.960929e+05 1.127978 0 0 NaN 0
4998 3.468432e+05 1.127412 0 0 NaN 0
4999 3.413141e+05 1.126897 0 2 1.11011 0

[5000 rows x 11 columns]

data['RSI'] = ta.rsi(data['Close'])
data.set_index("Gmt time", inplace=True)
data.index = pd.to_datetime(data.index, format='%d.%m.%Y
%H:%M:%S.%f').floor('S')
data

Open High Low Close Volume EMA \

Gmt time
2003-05-05 1.12161 1.13009 1.12014 1.12924 1.276006e+06 NaN
2003-05-06 1.12921 1.14506 1.12723 1.14234 1.281467e+06 NaN
2003-05-07 1.14218 1.14323 1.13265 1.13494 1.272597e+06 NaN
2003-05-08 1.13507 1.15077 1.13006 1.14820 1.266581e+06 NaN
2003-05-09 1.14831 1.15366 1.14346 1.14867 1.273339e+06 NaN
... ... ... ... ... ... ...
2019-04-22 1.12440 1.12620 1.12357 1.12584 1.848423e+05 1.128744
2019-04-23 1.12585 1.12612 1.11921 1.12237 3.667941e+05 1.128494
2019-04-24 1.12239 1.12241 1.11406 1.11533 3.960929e+05 1.127978
2019-04-25 1.11534 1.11623 1.11178 1.11353 3.468432e+05 1.127412
2019-04-26 1.11353 1.11739 1.11111 1.11429 3.413141e+05 1.126897

EMASignal isPivot pointpos pattern_detected RSI

Gmt time
2003-05-05 0 0 NaN 0 NaN
2003-05-06 0 0 NaN 0 NaN
2003-05-07 0 0 NaN 0 NaN
2003-05-08 0 0 NaN 0 NaN
2003-05-09 0 0 NaN 0 NaN
... ... ... ... ... ...
2019-04-22 0 0 NaN 0 47.863943
2019-04-23 0 0 NaN 0 42.087795
2019-04-24 0 0 NaN 0 33.306049
2019-04-25 0 0 NaN 0 31.496496
2019-04-26 0 2 1.11011 0 33.148033

[5000 rows x 11 columns]

from backtesting import Strategy

from backtesting import Backtest

class MyStrat(Strategy):
mysize = 10000
def init(self):
super().init()
self.signal = self.I(SIGNAL)

def next(self):
super().next()
TPSLRatio = 2
perc = 0.03

#Close trades if RSI is above 70 for long positions and below 30 for
short positions
for trade in self.trades:
if trade.is_long and self.data.RSI[-1] > 80:
trade.close()
elif trade.is_short and self.data.RSI[-1] < 20:
trade.close()

if self.signal!=0 and len(self.trades)==0 and

self.data.pattern_detected==2:
sl = self.data.Close[-1]-self.data.Close[-1]*perc
sldiff = abs(sl-self.data.Close[-1])
tp = self.data.Close[-1]+sldiff*TPSLRatio
 self.buy(sl=sl, tp=tp, size=self.mysize)

elif self.signal!=0 and len(self.trades)==0 and

self.data.pattern_detected==1:
sl = self.data.Close[-1]+self.data.Close[-1]*perc
sldiff = abs(sl-self.data.Close[-1])
tp = self.data.Close[-1]-sldiff*TPSLRatio
self.sell(sl=sl, tp=tp, size=self.mysize)

bt = Backtest(data, MyStrat, cash=10000, margin=1/5)

stat = bt.run()
stat

Start 2003-05-05 00:00:00

End 2019-04-26 00:00:00
Duration 5835 days 00:00:00
Exposure Time [%] 3.64
Equity Final [$] 10951.735
Equity Peak [$] 11165.976
Return [%] 9.51735
Buy & Hold Return [%] -1.323899
Return (Ann.) [%] 0.459252
Volatility (Ann.) [%] 1.875674
Sharpe Ratio 0.244846
Sortino Ratio 0.358288
Calmar Ratio 0.053188
Max. Drawdown [%] -8.634543
Avg. Drawdown [%] -1.604492
Max. Drawdown Duration 2273 days 00:00:00
Avg. Drawdown Duration 196 days 00:00:00
# Trades 7
Win Rate [%] 57.142857
Best Trade [%] 6.140175
Worst Trade [%] -3.001675
Avg. Trade [%] 0.949154
Max. Trade Duration 76 days 00:00:00
Avg. Trade Duration 30 days 00:00:00
Profit Factor 1.793851
Expectancy [%] 1.020694
SQN 0.704579
_strategy MyStrat
_equity_curve E...
_trades Size EntryB...
dtype: object

from backtesting import Strategy

from backtesting import Backtest

class MyStrat(Strategy):
mysize = 5000 #5000
 def init(self):
super().init()
self.signal = self.I(SIGNAL)

def next(self):
super().next()
TPSLRatio = 2
perc = 0.03

if len(self.trades)==1:
for trade in self.trades:
trade.sl = trade.entry_price
#self.trades[-1].sl = self.trades[-1].entry_price

# Close trades if RSI is above 70 for long positions and below 30 for
short positions
# for trade in self.trades:
# if trade.is_long and self.data.RSI[-1] > 80:
# trade.close()
# elif trade.is_short and self.data.RSI[-1] < 20:
# trade.close()

if self.signal!=0 and len(self.trades)==0 and

self.data.pattern_detected==2:
sl1 = self.data.Close[-1]-self.data.Close[-1]*perc
sldiff = abs(sl1-self.data.Close[-1])
tp1 = self.data.Close[-1]+sldiff*TPSLRatio
tp2 = self.data.Close[-1]+sldiff
self.buy(sl=sl1, tp=tp1, size=self.mysize)
self.buy(sl=sl1, tp=tp2, size=self.mysize)

elif self.signal!=0 and len(self.trades)==0 and

self.data.pattern_detected==1:
sl1 = self.data.Close[-1]+self.data.Close[-1]*perc
sldiff = abs(sl1-self.data.Close[-1])
tp1 = self.data.Close[-1]-sldiff*TPSLRatio
tp2 = self.data.Close[-1]-sldiff
self.sell(sl=sl1, tp=tp1, size=self.mysize)
self.sell(sl=sl1, tp=tp1, size=self.mysize)

bt = Backtest(data, MyStrat, cash=10000, margin=1/5)

stat = bt.run()
stat

Start 2003-05-05 00:00:00

End 2019-04-26 00:00:00
Duration 5835 days 00:00:00
Exposure Time [%] 3.2
Equity Final [$] 10977.233
Equity Peak [$] 11195.828
Return [%] 9.77233
Buy & Hold Return [%] -1.323899
Return (Ann.) [%] 0.471027
Volatility (Ann.) [%] 1.606914
Sharpe Ratio 0.293125
Sortino Ratio 0.426861
Calmar Ratio 0.083404
Max. Drawdown [%] -5.64755
Avg. Drawdown [%] -1.563433
Max. Drawdown Duration 1442 days 00:00:00
Avg. Drawdown Duration 202 days 00:00:00
# Trades 14
Win Rate [%] 57.142857
Best Trade [%] 4.13753
Worst Trade [%] -2.001692
Avg. Trade [%] 0.991537
Max. Trade Duration 60 days 00:00:00
Avg. Trade Duration 23 days 00:00:00
Profit Factor 2.199643
Expectancy [%] 1.028308
SQN 1.456806
_strategy MyStrat
_equity_curve E...
_trades Size EntryB...
dtype: object

bt.plot()

BokehDeprecationWarning: Passing lists of formats for DatetimeTickFormatter

scales was deprecated in Bokeh 3.0. Configure a single string format for each
scale
f:\Python\Lib\site-packages\backtesting\_plotting.py:250: UserWarning:

DatetimeFormatter scales now only accept a single format. Using the first
provided: '%d %b'

BokehDeprecationWarning: Passing lists of formats for DatetimeTickFormatter

scales was deprecated in Bokeh 3.0. Configure a single string format for each
scale
f:\Python\Lib\site-packages\backtesting\_plotting.py:250: UserWarning:

DatetimeFormatter scales now only accept a single format. Using the first
provided: '%m/%Y'

f:\Python\Lib\site-packages\backtesting\_plotting.py:659: UserWarning:

found multiple competing values for 'toolbar.active_drag' property; using the

latest value
f:\Python\Lib\site-packages\backtesting\_plotting.py:659: UserWarning:

found multiple competing values for 'toolbar.active_scroll' property; using

the latest value

GridPlot(id='p1693', ...)