(Python을 이용한 Quant 투자) 변동성 돌파 전략 구현해보기

Posted by : Python at Sep 1, 2021

Category : Python

참고사이트

변동성 돌파 전략 간단 정리
- 가격 변동폭 계산 : ‘전일 고가’ 에서 ‘전일 저가’를 빼서 가격 변동폭을 구한다
- 매수 기준 : 당일 시간에서 변동폭 * 0.5 이상 상승시 매수
- 매도 기준 : 당일 종가에 매도

# 주기적으로 현재가를 받아보자
import pybithumb
import time

while True:
    price = pybithumb.get_current_price("BTC")
    print(price)
    time.sleep(0.2)

# 목표가 계산하기
import pybithumb

df = pybithumb.get_ohlcv("BTC")
yesterday = df.iloc[-2]

today_open = yesterday['close']
yesterday_high = yesterday['high']
yesterday_low = yesterday['low']
target = today_open + (yesterday_high - yesterday_low) * 0.5
print(target)

함수로 묶어보자

def get_target_price(ticker):
    df = pybithumb.get_ohlcv(ticker)
    yesterday = df.iloc[-2]

    today_open = yesterday['close']
    yesterday_high = yesterday['high']
    yesterday_low = yesterday['low']
    target = today_open + (yesterday_high - yesterday_low) * 0.5
    return target

# 매수시도
import time
import pybithumb
import datetime

def get_target_price(ticker):
    df = pybithumb.get_ohlcv(ticker)
    yesterday = df.iloc[-2]

    today_open = yesterday['close']
    yesterday_high = yesterday['high']
    yesterday_low = yesterday['low']
    target = today_open + (yesterday_high - yesterday_low) * 0.5
    return target

# 변수 초기화
now = datetime.datetime.now()
mid = datetime.datetime(now.year, now.month, now.day) + datetime.timedelta(1) # datetime.timedelta(1) = 1일 후
target_price = get_target_price("BTC")

while True:
    now = datetime.datetime.now()
    if mid < now < mid + datetime.timedelta(seconds=10): 
        target_price = get_target_price("BTC")
        mid = datetime.datetime(now.year, now.month, now.day) + datetime.timedelta(1)

    current_price = pybithumb.get_current_price("BTC")
    # 목표가 보다 시장가가 높다면
    if current_price > target_price:
        # 보유중인 원화 조회
        krw = bithumb.get_balance("BTC")[2]
        orderbook = pybithumb.get_orderbook("BTC")
        # 최우선 매도 호가를 조회
        sell_price = orderbook['asks'][0]['price']  
        unit = krw/float(sell_price)

        # 시장가가 되기에 시장가로 매수
        bithumb.buy_market_order("BTC", unit)

    time.sleep(1)

# 매도시도
import time
import pybithumb
import datetime

def get_target_price(ticker):
    df = pybithumb.get_ohlcv(ticker)
    yesterday = df.iloc[-2]

    today_open = yesterday['close']
    yesterday_high = yesterday['high']
    yesterday_low = yesterday['low']
    target = today_open + (yesterday_high - yesterday_low) * 0.5
    return target

def buy_crypto_currency(ticker):
    krw = bithumb.get_balance(ticker)[2]
    orderbook = pybithumb.get_orderbook(ticker)
    sell_price = orderbook['asks'][0]['price']   
    unit = krw/float(sell_price)
    bithumb.buy_market_order(ticker, unit)

def sell_crypto_currency(ticker):
    unit = bithumb.get_balance(ticker)[0]
    bithumb.sell_market_order(ticker, unit)

now = datetime.datetime.now()
mid = datetime.datetime(now.year, now.month, now.day) + datetime.timedelta(1)
target_price = get_target_price("BTC")

while True:
    now = datetime.datetime.now()
    if mid < now < mid + datetime.timedelta(seconds=10): 
        target_price = get_target_price("BTC")
        mid = datetime.datetime(now.year, now.month, now.day) + datetime.timedelta(1)
        # 매도
        sell_crypto_currency("BTC")

    current_price = pybithumb.get_current_price("BTC")

    if current_price > target_price:
        buy_crypto_currency("BTC")

    time.sleep(1)

Connect Key, Secret Key txt에 저장하기

# 매도시도
import time
import pybithumb
import datetime

def get_target_price(ticker):
    df = pybithumb.get_ohlcv(ticker)
    yesterday = df.iloc[-2]

    today_open = yesterday['close']
    yesterday_high = yesterday['high']
    yesterday_low = yesterday['low']
    target = today_open + (yesterday_high - yesterday_low) * 0.5
    return target

def buy_crypto_currency(ticker):
    krw = bithumb.get_balance(ticker)[2]
    orderbook = pybithumb.get_orderbook(ticker)
    sell_price = orderbook['asks'][0]['price']   
    unit = krw/float(sell_price)
    bithumb.buy_market_order(ticker, unit)

def sell_crypto_currency(ticker):
    unit = bithumb.get_balance(ticker)[0]
    bithumb.sell_market_order(ticker, unit)

now = datetime.datetime.now()
mid = datetime.datetime(now.year, now.month, now.day) + datetime.timedelta(1)
target_price = get_target_price("BTC")

# bithumb.txt에 저장된 키를 읽어온다
with open("bithumb.txt") as f:
    lines = f.readlines()
    key = lines[0].strip()
    secret = lines[1].strip()
    bithumb = pybithumb.Bithumb(key, secret)

while True:
    try:    # 혹시나 모를 예외처리
        now = datetime.datetime.now()
        if mid < now < mid + datetime.timedelta(seconds=10): 
            target_price = get_target_price("BTC")
            mid = datetime.datetime(now.year, now.month, now.day) + datetime.timedelta(1)
            sell_crypto_currency("BTC")

        current_price = pybithumb.get_current_price("BTC")

        if current_price > target_price:
            buy_crypto_currency("BTC")
    except:
        print("에러 발생")

    time.sleep(1)

변동성 돌파 + 상승장 투자 복합

# 복습삼아 5일 이평선 구하기
import pybithumb

df = pybithumb.get_ohlcv("BTC")
close = df['close']
ma5 = close.rolling(5).mean()
print(ma5)

함수로 묶자

def get_yesterday_ma5(ticker):
    df = pybithumb.get_ohlcv(ticker)
    close = df['close']
    ma = close.rolling(window=5).mean()
    return ma[-2]

적용해보자

def get_yesterday_ma5(ticker):
    df = pybithumb.get_ohlcv(ticker)
    close = df['close']
    ma = close.rolling(5).mean()
    return ma[-2]

now = datetime.datetime.now()
mid = datetime.datetime(now.year, now.month, now.day) + datetime.timedelta(1)
ma5 = get_yesterday_ma5("BTC")
target_price = get_target_price(“BTC”)

while True:
    try:
        now = datetime.datetime.now()
        if mid < now < mid + datetime.delta(seconds=10): 
            target_price = get_target_price("BTC")
            mid = datetime.datetime(now.year, now.month, now.day) + datetime.timedelta(1)
            ma5 = get_yesterday_ma5("BTC")
            sell_crypto_currency("BTC")
    
        current_price = pybithumb.get_current_price("BTC")        
        # 현재가가 5일 이평을 넘어야 매수한다.
        if (current_price > target_price) and (current_price > ma5):
            buy_crypto_currency("BTC")        
    except:
        print("에러 발생")        
    time.sleep(1)