ETH SMA Crossover Backtest

"""
TikTape ETH 1h SMA crossover recipe.

No lookahead bias: both SMAs use trailing windows and the crossover is
evaluated only after each candle close.

Expected output for this exact range:
candles=8664
usable_after_sma200=8465
golden_crosses=26
death_crosses=26
latest_signal=2026-05-09T00:59:59Z death_cross
"""
import datetime
import json
import os
import urllib.parse
import urllib.request

BASE_URL = os.getenv("TIKTAPE_OHLCV_URL", "https://tiktape.xyz/api/v1/ohlcv")
API_KEY = os.getenv("TIKTAPE_API_KEY", "YOUR_TIKTAPE_API_KEY")
COIN = "ETH"
INTERVAL = "1h"
START_MS = 1742688000000
END_MS = 1778461199999
PAGE_LIMIT = 10000
INTERVAL_MS = 60 * 60 * 1000


def fetch_all_candles():
    rows = []
    cursor = START_MS
    while cursor < END_MS:
        query = urllib.parse.urlencode(
            {
                "coin": COIN,
                "interval": INTERVAL,
                "startTime": cursor,
                "endTime": END_MS,
                "limit": PAGE_LIMIT,
            }
        )
        req = urllib.request.Request(
            f"{BASE_URL}?{query}",
            headers={"X-API-Key": API_KEY},
        )
        with urllib.request.urlopen(req, timeout=30) as resp:
            payload = json.load(resp)
        batch = payload["data"]
        if not batch:
            break
        rows.extend(batch)
        next_cursor = int(batch[-1][0]) + INTERVAL_MS
        if next_cursor <= cursor:
            raise RuntimeError("cursor did not advance; aborting pagination")
        cursor = next_cursor
    return rows


def rolling_sma(values, window):
    out = [None] * len(values)
    window_sum = 0.0
    for idx, value in enumerate(values):
        window_sum += value
        if idx >= window:
            window_sum -= values[idx - window]
        if idx >= window - 1:
            out[idx] = window_sum / window
    return out


def main():
    candles = fetch_all_candles()
    closes = [float(row[4]) for row in candles]
    sma50 = rolling_sma(closes, 50)
    sma200 = rolling_sma(closes, 200)

    golden_crosses = 0
    death_crosses = 0
    latest_signal = "none"

    for idx in range(1, len(candles)):
        if None in (sma50[idx - 1], sma200[idx - 1], sma50[idx], sma200[idx]):
            continue
        if sma50[idx - 1] <= sma200[idx - 1] and sma50[idx] > sma200[idx]:
            golden_crosses += 1
            signal_at = datetime.datetime.fromtimestamp(candles[idx][0] / 1000, tz=datetime.timezone.utc)
            latest_signal = f"{signal_at.strftime('%Y-%m-%dT%H:%M:%SZ')} golden_cross"
        elif sma50[idx - 1] >= sma200[idx - 1] and sma50[idx] < sma200[idx]:
            death_crosses += 1
            signal_at = datetime.datetime.fromtimestamp(candles[idx][0] / 1000, tz=datetime.timezone.utc)
            latest_signal = f"{signal_at.strftime('%Y-%m-%dT%H:%M:%SZ')} death_cross"

    usable_after_sma200 = max(len(candles) - 200 + 1, 0)
    print(f"candles={len(candles)}")
    print(f"usable_after_sma200={usable_after_sma200}")
    print(f"golden_crosses={golden_crosses}")
    print(f"death_crosses={death_crosses}")
    print(f"latest_signal={latest_signal}")


if __name__ == "__main__":
    main()

candles=8664
usable_after_sma200=8465
golden_crosses=26
death_crosses=26
latest_signal=2026-05-09T00:59:59Z death_cross