Hi,
I'm trying to write a piece of code which would allow me to enter a bucket of trades (with stop loss and take profit) and I want to make it possible to close within the same candle if TP/SL is hit. My trades are closed the next candle instead of the same as enter.
I tried cheat on open, cheat on close, sample code from this one: https://www.backtrader.com/docu/cerebro/cheat-on-open/cheat-on-open/#sample-source
but probably I did sth wrong and it didn't work for me.
Here is my code:
class StopLossTakeProfitStrategy(bt.Strategy):
params = dict(
period=14,
target_profit=0.03,
quantity=None,
printlog=False,
)
def log(self, txt, dt=None, doprint=False):
''' Logging function for this strategy'''
if self.params.printlog or doprint:
dt = dt or self.datas[0].datetime.date(0)
print('%s, %s' % (dt.isoformat(), txt))
def __init__(self):
self.rsi = bt.indicators.RSI(self.datas[0], period=self.p.period)
self.order_refs = list()
self.portfolio_initial_value = self.broker.getvalue()
self.risk_per_trade = 0.01
self.risk_per_trade_amount = self.risk_per_trade * self.portfolio_initial_value
self.broker.set_coo(True)
print('-' * 5, 'Using buy_bracket')
def notify_order(self, order):
print('{}: Order ref: {} / Type {} / Status {}'.format(
self.data.datetime.date(0),
order.ref, 'Buy' * order.isbuy() or 'Sell',
order.getstatusname()))
if order.status == order.Completed:
self.holdstart = len(self)
if not order.alive() and order.ref in self.order_refs:
self.order_refs.remove(order.ref)
def operate(self, fromopen):
if self.order_refs:
return # pending orders, do nothing
if not self.position:
if self.rsi[0] > 80.0:
print("rsi is {}".format(self.rsi[0]))
close = self.data.close[0]
low = self.data.low[0]
price_buy = close
price_stop_loss = low
price_take_profit = price_buy + self.p.target_profit * close
amount = self.risk_per_trade_amount / (price_buy - price_stop_loss)
orders = self.buy_bracket(
price=price_buy,
size=amount,
stopprice=price_stop_loss,
limitprice=price_take_profit,
)
self.order_refs = [o.ref for o in orders]
def next(self):
# if self.cheating:
# return
self.operate(fromopen=False)
# def next_open(self):
# # if not self.cheating:
# # return
# self.operate(fromopen=True)
def stop(self):
self.log('(TPSL Period %2d) Ending Value %.2f' %
(self.p.period, self.broker.getvalue()), doprint=True)
fragment of an output:
Open time,Open,High,Low,Close
1606780800.0,19722.09,29376.70,17555.00,28951.68 # signal candle (rsi >80)
1609459200.0,28948.19,42125.51,27800.00,33126.21 # enter 28951.68, TP 29820.23, SL 17555
1612137600.0,33125.11,58472.14,32322.47,45163.36 # trade exited here (TP was hit previous bar)
and output:
----- Using buy_bracket
rsi is 81.94232511926687
2021-01-01: Order ref: 1 / Type Buy / Status Submitted
2021-01-01: Order ref: 2 / Type Sell / Status Submitted
2021-01-01: Order ref: 3 / Type Sell / Status Submitted
2021-01-01: Order ref: 1 / Type Buy / Status Accepted
2021-01-01: Order ref: 2 / Type Sell / Status Accepted
2021-01-01: Order ref: 3 / Type Sell / Status Accepted
2021-01-01: Order ref: 1 / Type Buy / Status Completed
2021-02-01: Order ref: 3 / Type Sell / Status Completed
2021-02-01: Order ref: 2 / Type Sell / Status Canceled
rsi is 88.6236883274738
2021-03-01: Order ref: 4 / Type Buy / Status Submitted
2021-03-01: Order ref: 5 / Type Sell / Status Submitted
2021-03-01: Order ref: 6 / Type Sell / Status Submitted
2021-03-01: Order ref: 4 / Type Buy / Status Accepted
2021-03-01: Order ref: 5 / Type Sell / Status Accepted
2021-03-01: Order ref: 6 / Type Sell / Status Accepted
2021-03-01: Order ref: 4 / Type Buy / Status Completed
2021-04-01: Order ref: 6 / Type Sell / Status Completed
2021-04-01: Order ref: 5 / Type Sell / Status Canceled
rsi is 89.50028582092543
2021-05-01: Order ref: 7 / Type Buy / Status Submitted
2021-05-01: Order ref: 8 / Type Sell / Status Submitted
2021-05-01: Order ref: 9 / Type Sell / Status Submitted
2021-05-01: Order ref: 7 / Type Buy / Status Accepted
2021-05-01: Order ref: 8 / Type Sell / Status Accepted
2021-05-01: Order ref: 9 / Type Sell / Status Accepted
2021-05-01: Order ref: 7 / Type Buy / Status Completed
2021-06-01: Order ref: 8 / Type Sell / Status Completed
2021-06-01: Order ref: 9 / Type Sell / Status Canceled
2022-09-01, (TPSL Period 14) Ending Value 995197.19
data processed: BTCUSDT-2019-2022-1mth.csv, TPSL (Period 14) --- Ending Value: 995197.19 --- Total win/loss 2/1, SQN -0.22
and input data file:
Open time,Open,High,Low,Close,Volume,Close time,Quote asset volume,Number of trades,Taker buy base asset volume,Taker buy quote asset volume,Ignore
1567296000.0,8042.08,10475.54,7700.67,8041.96,608742.1109999999,1569887999999,5611879248.96223,998055,298326.244,2736803890.6708302,0
1569888000.0,8285.31,10408.48,7172.76,9150,2439561.887,1572566399999,20900845076.13106,4499243,1193223.223,10227287309.89534,0
1572566400.0,9149.88,9550,6510.19,7542.93,4042674.725,1575158399999,32277119061.90728,10753369,1991808.952,15899706270.44473,0
1575158400.0,7541.08,7800,6427,7189,4063882.296,1577836799999,29376424274.03013,8904364,2014294.618,14563347938.72000,0
1577836800.0,7189.43,9599.00,6863.44,9364.51,5165281.358,1580515199999,43359088639.40782,10281248,2574122.272,21606346426.62990,0
1580515200.0,9364.50,10540.00,8450.00,8531.98,4581788.124,1583020799999,44137073361.63031,9678634,2251806.820,21702064451.58856,0
1583020800.0,8532.50,9204.00,3621.81,6407.10,10859497.479,1585699199999,69290367964.47197,25916221,5541700.351,35267056954.41247,0
1585699200.0,6407.10,9479.77,6140.00,8624.76,11276526.968,1588291199999,82410490800.07623,31809950,5772080.178,42139198821.19463,0
1588291200.0,8623.61,10080.00,7940.00,9446.43,12469561.020,1590969599999,114834224290.91827,34806643,6247508.276,57545278847.80114,0
1590969600.0,9446.49,10497.25,8816.40,9138.87,6684044.201,1593561599999,63286531728.29650,18534625,3356460.417,31783299659.09479,0
1593561600.0,9138.88,11488.00,8900.00,11343.68,5709327.926,1596239999999,56591063438.56854,17170173,2824629.390,28021129320.42297,0
1596240000.0,11343.67,12499.42,10490.00,11658.11,6746487.129,1598918399999,78458077325.24154,22819798,3191982.916,37128863023.31277,0
1598918400.0,11658.11,12061.07,9808.58,10773.00,6442697.051,1601510399999,68405649032.60577,22658879,3202941.217,34027817385.79478,0
1601510400.0,10773.00,14140.00,10371.03,13783.73,7404103.004,1604188799999,90285552644.59755,26891965,3731346.885,45476328237.90976,0
1604188800.0,13783.73,19944.00,13195.00,19720.00,12328272.549,1606780799999,205174686411.77548,50156582,6002993.244,99837928249.42641,0
1606780800.0,19722.09,29376.70,17555.00,28951.68,10067314.240,1609459199999,223539719868.36648,56471471,4987092.911,110669755265.00594,0
1609459200.0,28948.19,42125.51,27800.00,33126.21,12408873.079,1612137599999,428207757018.68621,106732182,6126005.416,211457329506.98378,0
1612137600.0,33125.11,58472.14,32322.47,45163.36,8784474.482,1614556799999,407139864984.95929,92708479,4336736.703,200859343716.50133,0
1614556800.0,45162.64,61950.00,44972.49,58807.24,9459821.267,1617235199999,515867567310.71965,106977654,4657621.868,253975599773.36731,0
1617235200.0,58810.99,64986.11,46930.43,57684.16,7895051.389,1619827199999,444098532734.84662,86937933,3881250.979,218225177973.12438,0
1619827200.0,57688.29,59654.00,28688.00,37243.38,16790964.443,1622505599999,726896718668.49988,176302045,8337613.985,360281599856.38541,0
1622505600.0,37244.36,41413.00,28780.01,35031.39,23474519.886,1625097599999,825375165660.43228,200687155,11797272.719,414742307422.05700,0
1625097600.0,35031.39,48168.60,29242.24,41448.11,16932491.175,1627775999999,582324802432.35412,137141278,8513572.146,292785286078.93728,0
1627776000.0,41448.10,50600.00,37291.00,47150.32,13645800.254,1630454399999,613715176710.14350,131302336,6783174.478,305113731180.96312,0
1630454400.0,47150.32,52950.00,39503.58,43796.57,10734742.869,1633046399999,490529663369.79871,102387222,5349526.999,244446194338.76783,0
1633046400.0,43799.49,67150.00,43260.01,61348.61,9111112.847,1635724799999,525588747913.36593,100659155,4521267.085,260426674720.22897,0
1635724800.0,61347.14,69198.70,53245.00,56975.00,7111424.463,1638316799999,429840897485.42452,84511349,3459995.964,209189206890.99687,0
1638316800.0,56978.06,59100.00,40888.89,46210.56,8404449.024,1640995199999,414380311908.32670,94255575,4152082.213,204671037299.49594,0
1640995200.0,46210.57,48000.00,32853.83,38439.04,11047479.277,1643673599999,443147264001.40163,107557904,5519446.078,221267274551.90543,0
1643673600.0,38439.04,45847.50,34303.70,43155.00,10910339.910,1646092799999,438804840908.80940,105741649,5526068.307,222253618818.46431,0
1646092800.0,43155.00,48200.00,37134.00,45506.00,10459721.586,1648771199999,435927005576.82487,101637453,5226683.889,217887069883.35618,0
1648771200.0,45505.90,47448.00,37550.00,37614.50,8463568.862,1651363199999,350657319838.91081,83927632,4189208.571,173568092615.81580,0
1651363200.0,37614.40,40071.70,26631.00,31797.80,14463715.774,1654041599999,454967217955.49379,138388088,7232146.846,227443488756.15958,0
1654041600.0,31797.90,31986.10,17593.20,19923.50,20710810.306,1656633599999,478152418167.20749,170448151,10409325.478,240138478975.43262,0
1656633600.0,19923.30,24700.00,18780.10,23290.10,20582518.513,1659311999999,441932404680.77634,165123489,10423826.228,223838747312.04697,0
1659312000.0,23290.10,25200.00,19508.00,20041.50,17221921.557,1661990399999,385803341947.33471,129508352,8599391.966,192638347777.43339,0
1661990400.0,20041.40,22850.00,18215.00,18969.50,11997189.139,1664582399999,242571782718.32101,74044863,6002417.324,121461546968.27539,0