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backtest.py
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import MetaTrader5 as mt5
import pandas as pd
import time
J=""
S=""
high_TIMEFRAME=[mt5.TIMEFRAME_M30,mt5.TIMEFRAME_M15,mt5.TIMEFRAME_H1,mt5.TIMEFRAME_H4]
STARTT_POS= 0
SYMBOL=["XAUUSD","EURUSD","USDCAD","USDJPY","AUDCAD"]
NUM_BARS= int(200)
# HIGH DICTIONARY
xau_DictHigh={15:[],30:[],16385:[],16388:[]}
eur_DictHigh={15:[],30:[],16385:[],16388:[]}
cad_DictHigh={15:[],30:[],16385:[],16388:[]}
jpy_DictHigh={15:[],30:[],16385:[],16388:[]}
aud_DictHigh={15:[],30:[],16385:[],16388:[]}
# counterHigh value dictionary
counterHigh={"XAUUSD":{15:int(0),30:int(0),16385:int(0),16388:int(0)}
,"EURUSD":{15:int(0),30:int(0),16385:int(0),16388:int(0)}
,"USDCAD":{15:int(0),30:int(0),16385:int(0),16388:int(0)}
,"USDJPY":{15:int(0),30:int(0),16385:int(0),16388:int(0)}
,"AUDCAD":{15:int(0),30:int(0),16385:int(0),16388:int(0)}}
# low dictionary
xau_Dictlow={15:[],30:[],16385:[],16388:[]}
eur_Dictlow={15:[],30:[],16385:[],16388:[]}
cad_Dictlow={15:[],30:[],16385:[],16388:[]}
jpy_Dictlow={15:[],30:[],16385:[],16388:[]}
aud_Dictlow={15:[],30:[],16385:[],16388:[]}
# counterLow value dictionary
counterLow={"XAUUSD":{15:int(0),30:int(0),16385:int(0),16388:int(0)}
,"EURUSD":{15:int(0),30:int(0),16385:int(0),16388:int(0)}
,"USDCAD":{15:int(0),30:int(0),16385:int(0),16388:int(0)}
,"USDJPY":{15:int(0),30:int(0),16385:int(0),16388:int(0)}
,"AUDCAD":{15:int(0),30:int(0),16385:int(0),16388:int(0)}}
def conn():
# initialise mt5
valid_init= mt5.initialize()
if not valid_init:
print(f"The intialisation error was {mt5.last_error()}")
quit()
# proceed to login
account=int(810414810)
password= "Marichu12"
server="EGMSecurities-Live"
# login
login=mt5.login(account,password,server)
if not login:
print(f"The login error was {mt5.last_error}")
def startBackTest(TIMEFRAMEs):
bars=mt5.copy_rates_from_pos(J,TIMEFRAMEs,STARTT_POS,NUM_BARS)
df=pd.DataFrame(data=bars)[["time","open","high","low","close"]]
df["time"]=pd.to_datetime(df["time"],unit='s')
df=df[df["time"]>"2021 *-05-01"]
# max closing prices
high_Close=df[df["close"]==df["close"].max()]
highestPrice=high_Close.iloc[-1]["close"]
# low closing prices
low_Close=df[df["close"]==df["close"].min()]
lowestPrice=low_Close.iloc[-1]["close"]
# function to fill the dictionaries
def fillDictHigh(we,you,vecna):
if we=="XAUUSD":
# if the length of gold is below 2 elements,
if len(xau_DictHigh[you]) <2:
# append to the high dictionary
xau_DictHigh[you].append(vecna)
# append the length of the gold high dictionary at a specific timeframe to the counterHigh dictionary
counterHigh[we][you]=(len(xau_DictHigh[you]))
counterXH=counterHigh[we][you]
elif len(xau_DictHigh[you])>2:
if xau_DictHigh[you][counterXH] != xau_DictHigh[you][counterXH-1]:
xau_DictHigh[you].append(vecna)
counterHigh[we][you]=(len(xau_DictHigh[you]))
counterXH=counterHigh[we][you]
if we =="EURUSD":
if len(eur_DictHigh[you])<2:
eur_DictHigh[you].append(vecna)
counterHigh[we][you]=(len(eur_DictHigh[you]))
counterEH=counterHigh[we][you]
elif len(eur_DictHigh[you])>2:
counterEH=counterHigh[we][you]
if eur_DictHigh[you][counterEH] != eur_DictHigh[you][counterEH-1]:
eur_DictHigh[you].append(vecna)
counterHigh[we][you]=(len(eur_DictHigh[you]))
counterEH=counterHigh[we][you]
if we =="USDCAD":
if len(cad_DictHigh[you])<2:
cad_DictHigh[you].append(vecna)
counterHigh[we][you]=(len(cad_DictHigh[you]))
counterCH=counterHigh[we][you]
elif len(cad_DictHigh[you])>2:
counterCH=counterHigh[we][you]
if cad_DictHigh[you][counterCH] != cad_DictHigh[you][counterCH-1]:
cad_DictHigh[you].append(vecna)
counterHigh[we][you]=(len(cad_DictHigh[you]))
counterCH=counterHigh[we][you]
if we =="USDJPY":
if len(jpy_DictHigh[you])<2:
jpy_DictHigh[you].append(vecna)
counterHigh[we][you]=(len(jpy_DictHigh[you]))
counterJH=counterHigh[we][you]
elif len(jpy_DictHigh[you])>2:
counterJH=counterHigh[we][you]
if jpy_DictHigh[you][counterJH] != jpy_DictHigh[you][counterJH-1]:
jpy_DictHigh[you].append(vecna)
counterHigh[we][you]=(len(jpy_DictHigh[you]))
counterJH=counterHigh[we][you]
if we =="AUDCAD":
if len(aud_DictHigh[you])<2:
aud_DictHigh[you].append(vecna)
counterHigh[we][you]=(len(aud_DictHigh[you]))
counterAH=counterHigh[we][you]
elif len(aud_DictHigh[you])>2:
counterAH=counterHigh[we][you]
if aud_DictHigh[you][counterAH] != aud_DictHigh[you][counterAH-1]:
aud_DictHigh[you].append(vecna)
counterHigh[we][you]=(len(aud_DictHigh[you]))
counterAH=counterHigh[we][you]
def fillDictLow(we,you,vecna):
if we=="XAUUSD":
if len(xau_Dictlow[you]) <2:
xau_Dictlow[you].append(vecna)
counterLow[we][you]=(len(xau_Dictlow[you]))
counterXL=counterLow[we][you]
elif len(xau_Dictlow[you])>2:
counterXL=counterLow[we][you]
if xau_Dictlow[you][counterXL] != xau_Dictlow[you][counterXL-1]:
xau_Dictlow[you].append(vecna)
counterLow[we][you]=(len(xau_Dictlow[you]))
counterXL=counterLow[we][you]
# print(f"The counter value on GOLD low Dict is {counterXL}")
print(f"The Gold Low Dictionary is {xau_Dictlow }")
print(f"The length of Gold'd low dictionary is {len(xau_Dictlow[you])}")
print(f"NUM BARS IS {NUM_BARS}")
if we =="EURUSD":
if len(eur_Dictlow[you])<2:
eur_Dictlow[you].append(vecna)
counterLow[we][you]=(len(eur_Dictlow[you]))
counterEL=counterLow[we][you]
print(f"EL counter value {counterEL}")
elif len(eur_Dictlow[you])>2:
counterEL=counterLow[we][you]
if eur_Dictlow[you][counterEL] != eur_Dictlow[you][counterEL-1]:
eur_Dictlow[you].append(vecna)
counterLow[we][you]=(len(eur_Dictlow[you]))
counterEL=counterLow[we][you]
if we =="USDCAD":
if len(cad_Dictlow[you])<2:
cad_Dictlow[you].append(vecna)
counterLow[we][you]=(len(cad_Dictlow[you]))
counterCL=counterLow[we][you]
elif len(cad_Dictlow[you])>2:
counterCL=counterLow[we][you]
if cad_Dictlow[you][counterCL] != cad_Dictlow[you][counterCL-1]:
cad_Dictlow[you].append(vecna)
counterLow[we][you]=(len(cad_Dictlow[you]))
counterCL=counterLow[we][you]
if we =="USDJPY":
if len(jpy_Dictlow[you])<2:
jpy_Dictlow[you].append(vecna)
counterLow[we][you]=(len(jpy_Dictlow[you]))
counterJL=counterLow[we][you]
elif len(jpy_Dictlow[you])>2:
counterJL=counterLow[we][you]
if jpy_Dictlow[you][counterJL] != jpy_Dictlow[you][counterJL-1]:
jpy_Dictlow[you].append(vecna)
counterLow[we][you]=(len(jpy_Dictlow[you]))
counterJL=counterLow[we][you]
if we =="AUDCAD":
if len(aud_Dictlow[you])<2:
aud_Dictlow[you].append(vecna)
counterLow[we][you]=(len(aud_Dictlow[you]))
counterAL=counterLow[we][you]
elif len(aud_Dictlow[you])>2:
counterAL=counterLow[we][you]
if aud_Dictlow[you][counterAL] != aud_Dictlow[you][counterAL-1]:
aud_Dictlow[you].append(vecna)
counterLow[we][you]=(len(aud_Dictlow[you]))
counterAL=counterLow[we][you]
if TIMEFRAMEs == 15:
# fill high dictionary
fillDictHigh(we=J,you=TIMEFRAMEs,vecna=highestPrice)
# fill the low dictionary
fillDictLow(we=J,you=TIMEFRAMEs,vecna=lowestPrice)
if TIMEFRAMEs == 30:
fillDictHigh(we=J,you=TIMEFRAMEs,vecna=highestPrice)
fillDictLow(we=J,you=TIMEFRAMEs,vecna=lowestPrice)
if TIMEFRAMEs == 16385:
fillDictHigh(we=J,you=TIMEFRAMEs,vecna=highestPrice)
fillDictLow(we=J,you=TIMEFRAMEs,vecna=lowestPrice)
if TIMEFRAMEs == 16388:
fillDictHigh(we=J,you=TIMEFRAMEs,vecna=highestPrice)
fillDictLow(we=J,you=TIMEFRAMEs,vecna=lowestPrice)
def main():
conn()
while True:
for j in SYMBOL:
for s in high_TIMEFRAME:
global J
# print(counter)
J=j
S=s
startBackTest(S)
global NUM_BARS
NUM_BARS=NUM_BARS+50
time.sleep(7)
main()