업비트 자동매매,AI,변동성돌파,이동평균선

GwangCheon-Lee · GwangCheon-Lee · commit 76f8eabe46a0 · 2021-12-05T00:09:31.000+09:00
diff --git a/backtest.py b/backtest.py
@@ -0,0 +1,16 @@
+import pyupbit
+import numpy as np
+
+df = pyupbit.get_ohlcv("KRW-BTC", count=100)
+df['range'] = (df['high'] - df['low']) * 0.5
+df['target'] = df['open'] + df['range'].shift(1)
+
+fee = 0.05
+df['ror'] = np.where(df['high'] > df['target'],
+                     df['close'] / df['target'] - fee,
+                     1)
+
+df['hpr'] = df['ror'].cumprod()
+df['dd'] = (df['hpr'].cummax() - df['hpr']) / df['hpr'].cummax() * 100
+print("MDD(%): ", df['dd'].max())
+df.to_excel("dd.xlsx")
diff --git a/bestk.py b/bestk.py
@@ -0,0 +1,21 @@
+import pyupbit
+import numpy as np
+
+
+def get_ror(k=0.5):
+    df = pyupbit.get_ohlcv("KRW-BTC",count=7)
+    df['range'] = (df['high'] - df['low']) * k
+    df['target'] = df['open'] + df['range'].shift(1)
+
+    fee = 0.0032
+    df['ror'] = np.where(df['high'] > df['target'],
+                         df['close'] / df['target'] - fee,
+                         1)
+
+    ror = df['ror'].cumprod()[-2]
+    return ror
+
+
+for k in np.arange(0.1, 1.0, 0.1):
+    ror = get_ror(k)
+    print("%.1f %f" % (k, ror))
diff --git a/bitcoinAutoTrade.py b/bitcoinAutoTrade.py
@@ -0,0 +1,63 @@
+import time
+import pyupbit
+import datetime
+
+access = ""
+secret = ""
+
+def get_target_price(ticker, k):
+    """변동성 돌파 전략으로 매수 목표가 조회"""
+    df = pyupbit.get_ohlcv(ticker, interval="minute60")
+    target_price = df.iloc[0]['close'] + (df.iloc[0]['high'] - df.iloc[0]['low']) * k
+    return target_price
+
+def get_start_time(ticker):
+    """시작 시간 조회"""
+    df = pyupbit.get_ohlcv(ticker, interval="day", count=1)
+    start_time = df.index[0]
+    return start_time
+
+def get_balance(ticker):
+    """잔고 조회"""
+    balances = upbit.get_balances()
+    for b in balances:
+        if b['currency'] == ticker:
+            if b['balance'] is not None:
+                return float(b['balance'])
+            else:
+                return 0
+    return 0
+
+def get_current_price(ticker):
+    """현재가 조회"""
+    return pyupbit.get_orderbook(ticker=ticker)["orderbook_units"][0]["ask_price"]
+
+# 로그인
+upbit = pyupbit.Upbit(access, secret)
+print("autotrade start")
+
+
+
+# 자동매매 시작
+while True:
+    try:
+        now = datetime.datetime.now()
+        start_time = get_start_time("KRW-BTC")
+        end_time = start_time + datetime.timedelta(days=1)
+
+        # 9:00 < 현재 < 8:59:50
+        if start_time < now < end_time - datetime.timedelta(seconds=10):
+            target_price = get_target_price("KRW-BTC", 0.5)
+            current_price = get_current_price("KRW-BTC")
+            if target_price < current_price:
+                krw = get_balance("KRW")
+                if krw > 5000:
+                    upbit.buy_market_order("KRW-BTC", krw*0.9995)
+        else:
+            btc = get_balance("BTC")
+            if btc > 0.00008:
+                upbit.sell_market_order("KRW-BTC", btc*0.9995)
+        time.sleep(1)
+    except Exception as e:
+        print(e)
+        time.sleep(1)
diff --git a/bitcoinAutoTradeWithAi.py b/bitcoinAutoTradeWithAi.py
@@ -0,0 +1,84 @@
+import time
+import pyupbit
+import datetime
+import schedule
+from fbprophet import Prophet
+
+access = ""
+secret = ""
+
+def get_target_price(ticker, k):
+    """변동성 돌파 전략으로 매수 목표가 조회"""
+    df = pyupbit.get_ohlcv(ticker, interval="day", count=2)
+    target_price = df.iloc[0]['close'] + (df.iloc[0]['high'] - df.iloc[0]['low']) * k
+    return target_price
+
+def get_start_time(ticker):
+    """시작 시간 조회"""
+    df = pyupbit.get_ohlcv(ticker, interval="day", count=1)
+    start_time = df.index[0]
+    return start_time
+
+def get_balance(ticker):
+    """잔고 조회"""
+    balances = upbit.get_balances()
+    for b in balances:
+        if b['currency'] == ticker:
+            if b['balance'] is not None:
+                return float(b['balance'])
+            else:
+                return 0
+    return 0
+
+def get_current_price(ticker):
+    """현재가 조회"""
+    return pyupbit.get_orderbook(ticker=ticker)["orderbook_units"][0]["ask_price"]
+
+predicted_close_price = 0
+def predict_price(ticker):
+    """Prophet으로 당일 종가 가격 예측"""
+    global predicted_close_price
+    df = pyupbit.get_ohlcv(ticker, interval="minute60")
+    df = df.reset_index()
+    df['ds'] = df['index']
+    df['y'] = df['close']
+    data = df[['ds','y']]
+    model = Prophet()
+    model.fit(data)
+    future = model.make_future_dataframe(periods=24, freq='H')
+    forecast = model.predict(future)
+    closeDf = forecast[forecast['ds'] == forecast.iloc[-1]['ds'].replace(hour=9)]
+    if len(closeDf) == 0:
+        closeDf = forecast[forecast['ds'] == data.iloc[-1]['ds'].replace(hour=9)]
+    closeValue = closeDf['yhat'].values[0]
+    predicted_close_price = closeValue
+predict_price("KRW-BTC")
+schedule.every().hour.do(lambda: predict_price("KRW-BTC"))
+
+# 로그인
+upbit = pyupbit.Upbit(access, secret)
+print("autotrade start")
+
+# 자동매매 시작
+while True:
+    try:
+        now = datetime.datetime.now()
+        start_time = get_start_time("KRW-BTC")
+        end_time = start_time + datetime.timedelta(days=1)
+        schedule.run_pending()
+
+        if start_time < now < end_time - datetime.timedelta(seconds=10):
+            target_price = get_target_price("KRW-BTC", 0.5)
+            current_price = get_current_price("KRW-BTC")
+            if target_price < current_price and current_price < predicted_close_price:
+                krw = get_balance("KRW")
+                if krw > 5000:
+                    upbit.buy_market_order("KRW-BTC", krw*0.9995)
+        else:
+            btc = get_balance("BTC")
+            if btc > 0.00008:
+                upbit.sell_market_order("KRW-BTC", btc*0.9995)
+        time.sleep(1)
+    except Exception as e:
+        print(e)
+        time.sleep(1)
diff --git a/bitcoinAutoTradeWithMa.py b/bitcoinAutoTradeWithMa.py
@@ -0,0 +1,67 @@
+import time
+import pyupbit
+import datetime
+
+access = ""
+secret = ""
+
+def get_target_price(ticker, k):
+    """변동성 돌파 전략으로 매수 목표가 조회"""
+    df = pyupbit.get_ohlcv(ticker, interval="day", count=2)
+    target_price = df.iloc[0]['close'] + (df.iloc[0]['high'] - df.iloc[0]['low']) * k
+    return target_price
+
+def get_start_time(ticker):
+    """시작 시간 조회"""
+    df = pyupbit.get_ohlcv(ticker, interval="day", count=1)
+    start_time = df.index[0]
+    return start_time
+
+def get_ma15(ticker):
+    """15일 이동 평균선 조회"""
+    df = pyupbit.get_ohlcv(ticker, interval="day", count=15)
+    ma15 = df['close'].rolling(15).mean().iloc[-1]
+    return ma15
+
+def get_balance(ticker):
+    """잔고 조회"""
+    balances = upbit.get_balances()
+    for b in balances:
+        if b['currency'] == ticker:
+            if b['balance'] is not None:
+                return float(b['balance'])
+            else:
+                return 0
+    return 0
+
+def get_current_price(ticker):
+    """현재가 조회"""
+    return pyupbit.get_orderbook(ticker=ticker)["orderbook_units"][0]["ask_price"]
+
+# 로그인
+upbit = pyupbit.Upbit(access, secret)
+print("autotrade start")
+
+# 자동매매 시작
+while True:
+    try:
+        now = datetime.datetime.now()
+        start_time = get_start_time("KRW-BTC")
+        end_time = start_time + datetime.timedelta(days=1)
+
+        if start_time < now < end_time - datetime.timedelta(seconds=10):
+            target_price = get_target_price("KRW-BTC", 0.5)
+            ma15 = get_ma15("KRW-BTC")
+            current_price = get_current_price("KRW-BTC")
+            if target_price < current_price and ma15 < current_price:
+                krw = get_balance("KRW")
+                if krw > 5000:
+                    print("구매")
+        else:
+            btc = get_balance("BTC")
+            if btc > 0.00008:
+                print("판매")
+        time.sleep(1)
+    except Exception as e:
+        print(e)
+        time.sleep(1)
diff --git a/test.py b/test.py
@@ -0,0 +1,10 @@
+import pyupbit
+import math
+
+access = ""          # 본인 값으로 변경
+secret = ""          # 본인 값으로 변경
+upbit = pyupbit.Upbit(access, secret)
+
+print("현재 보유 현금 : ", math.floor(upbit.get_balance("KRW")), "원")         # 보유 현금 조회
+print("현재 보유 리플 : ",upbit.get_balance("KRW-XRP"))     # KRW-XRP 조회
+math
