@backtrader said in Set minimum trade time / don't sell until certain amount of time has elapsed:
(time_now - time_market_entry) >= time_delta ?
Yeah, that's basically what I've done, but apparently incorrectly.
Here's what i'm currently doing but it seems to be generating some odd results:
def __init__(self):
self.startcash = self.broker.getvalue()
self.custom_orders = {}
for i, d in enumerate(self.datas):
# Instantiate order keeper for all your datas
self.custom_orders[d] = dict()
def next(self)
'''
...
'''
for index, data in enumerate(self.datas):
datetime, dataname = self.datetime.date(), data._name
pos = self.getposition(data).size
# If we're not in a position, and we have a long trade signal, place a buy
if not pos and trade_signal == True:
self.custom_orders[data]['entry'] = self.buy(
data = data,
exectype = bt.Order.Limit,
price = data.close[0],
transmit = True,
info = {'ticker':dataname, 'price_range':(round(data.low[0], 2), round(data.high[0], 2)),
'direction':'LONG', 'type':'Limit Entry',
'SL': stop_loss, 'TP': take_profit, 'datetime': datetime},
)
# If we're already in a position, look for an exit
if pos:
# Retrieve order info
entry_order_info = self.custom_orders[data]['entry'].info['info']
# Check if the order was opened a day ago (to avoid PDT)
if (entry_order_info['datetime'] + pd.Timedelta(days=1)) < datetime:
if np.any(np.array([data.open[0], data.high[0], data.low[0], data.close[0]]) < entry_order_info['SL']):
self.custom_orders[data]['stop_loss'] = self.close(
data = data,
info = {'ticker':dataname, 'price_range':(round(data.low[0], 2), round(data.high[0], 2)),
'direction':'LONG', 'type':'Stop Loss',
'setup': 'close long trade SL', 'datetime': datetime},
)
elif np.any(np.array([data.open[0], data.high[0], data.low[0], data.close[0]]) > entry_order_info['TP']):
self.custom_orders[data]['take_profit'] = self.close(
data = data,
info = {'ticker':dataname, 'price_range':(round(data.low[0], 2), round(data.high[0], 2)),
'direction':'LONG', 'type':'Take Profit',
'setup': 'close long trade TP', 'datetime': datetime},
)
Weird things:
-
Some trades are being closed after 1 bar, despite my logic seeming to point to this not being allowed
-
There are short trades being opened?!
trade_analyzer = strategy.analyzers.trade_analyzer.get_analysis()
print("N short trades: {}".format(trade_analyzer.short.total))
print("N long trades: {}".format(trade_analyzer.long.total))
print("Average trade length: {}".format(trade_analyzer.len.average))
print("Max trade length: {}".format(trade_analyzer.len.max))
print("Min trade length: {}".format(trade_analyzer.len.min))
N short trades: 2
N long trades: 27
Average trade length: 20.103448275862068
Max trade length: 33
Min trade length: 1
(Timeframe is 1H, and is correctly configured)
PS: I also tried market orders for the entry, thinking that might be the problem (i.e. limit orders not being executed for a while and then the close logic detecting when the order was placed not executed). Different results, but similar.
PPS: I'm interested in hearing the correct use of data vs. dataname in my code here, when being used in placing orders, accessing my custom_orders dictionaries inside of next, etc.