Added stop_stops
stop_stops is an int value when number of stops in a pair reached the int the pair is stopped trading. This allows backtest to align with my pre_trade_mgt that does the same in dry and live operations
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@ -95,14 +95,16 @@ class Backtesting(object):
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#self.np_sco: int = self.np_close # stops_calculated_on - Should be stop, FT uses close
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self.use_backslap = True # Enable backslap - if false Orginal code is executed.
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self.debug = True # Main debug enable, very print heavy, enable 2 loops recommended
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self.debug = False # Main debug enable, very print heavy, enable 2 loops recommended
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self.debug_timing = False # Stages within Backslap
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self.debug_2loops = False # Limit each pair to two loops, useful when debugging
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self.debug_vector = True # Debug vector calcs
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self.debug_vector = False # Debug vector calcs
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self.debug_timing_main_loop = False # print overall timing per pair - works in Backtest and Backslap
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self.backslap_show_trades = False # prints trades in addition to summary report
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self.backslap_save_trades = True # saves trades as a pretty table to backslap.txt
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self.backslap_show_trades = True # prints trades in addition to summary report
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self.backslap_save_trades = True # saves trades as a pretty table to backslap.txt
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self.stop_stops: int = 9999 # stop back testing any pair with this many stops, set to 999999 to not hit
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@staticmethod
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@ -389,7 +391,6 @@ class Backtesting(object):
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- Profit
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- trade duration
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- profit abs
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:param bslap_results Dataframe
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:return: bslap_results Dataframe
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"""
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@ -443,14 +444,19 @@ class Backtesting(object):
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return bslap_results_df
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def np_get_t_open_ind(self, np_buy_arr, t_exit_ind: int, np_buy_arr_len: int):
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def np_get_t_open_ind(self, np_buy_arr, t_exit_ind: int, np_buy_arr_len: int, stop_stops: int, stop_stops_count: int):
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import utils_find_1st as utf1st
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"""
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The purpose of this def is to return the next "buy" = 1
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after t_exit_ind.
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This function will also check is the stop limit for the pair has been reached.
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if stop_stops is the limit and stop_stops_count it the number of times the stop has been hit.
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t_exit_ind is the index the last trade exited on
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or 0 if first time around this loop.
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stop_stops i
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"""
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# Timers, to be called if in debug
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def s():
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@ -478,6 +484,10 @@ class Backtesting(object):
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if t_open_ind == np_buy_arr_len -1 : # If buy found on last candle ignore, there is no OPEN in next to use
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t_open_ind = -1 # -1 ends the loop
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if stop_stops_count >= stop_stops: # if maximum number of stops allowed in a pair is hit, exit loop
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t_open_ind = -1 # -1 ends the loop
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print("Max stop limit ", stop_stops, "reached. Moving to next pair")
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return t_open_ind
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def backslap_pair(self, ticker_data, pair):
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@ -564,6 +574,9 @@ class Backtesting(object):
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t_exit_ind = 0 # Start loop from first index
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t_exit_last = 0 # To test for exit
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stop_stops = self.stop_stops # Int of stops within a pair to stop trading a pair at
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stop_stops_count = 0 # stop counter per pair
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st = s() # Start timer for processing dataframe
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if debug:
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print('Processing:', pair)
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@ -604,11 +617,13 @@ class Backtesting(object):
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Requires: np_buy_arr - a 1D array of the 'buy' column. To find next "1"
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Required: t_exit_ind - Either 0, first loop. Or The index we last exited on
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Requires: np_buy_arr_len - length of pair array.
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Requires: stops_stops - number of stops allowed before stop trading a pair
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Requires: stop_stop_counts - count of stops hit in the pair
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Provides: The next "buy" index after t_exit_ind
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If -1 is returned no buy has been found in remainder of array, skip to exit loop
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'''
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t_open_ind = self.np_get_t_open_ind(np_buy_arr, t_exit_ind, np_buy_arr_len)
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t_open_ind = self.np_get_t_open_ind(np_buy_arr, t_exit_ind, np_buy_arr_len, stop_stops, stop_stops_count)
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if debug:
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print("\n(0) numpy debug \nnp_get_t_open, has returned the next valid buy index as", t_open_ind)
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@ -971,6 +986,9 @@ class Backtesting(object):
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# append the dict to the list and print list
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bslap_pair_results.append(bslap_result)
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if t_exit_type is "stop":
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stop_stops_count = stop_stops_count + 1
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if debug:
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print("The trade dict is: \n", bslap_result)
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print("Trades dicts in list after append are: \n ", bslap_pair_results)
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