Order limit backtesting

Question

I started to study "backtesting" and during testing I encountered one incomprehensible situation.

class MyCandlesStrat(Strategy):
    def init(self):
        super().init()
        self.signal1 = self.I(SIGNAL)

    def next(self):
        super().next()
        if self.signal1==1:
            self.buy()
        elif self.signal1==-1:
            self.sell()

above is the strategy test code, but I can't figure out how to indicate that the signal = 0, did it close the order?

UPD : Signal column contains signals. in the code above, only trades are opened and not closed.

after a little digging on the net, I added the code class MyCandlesStrat(Strategy): def init(self): super().init() self.signal1 = self.I(SIGNAL)

def next(self):
    super().next()
    if self.signal1 ==1:
        self.position.close()
        self.buy()

    elif self.signal1 ==-1:
        self.position.close()
        self.sell()

    else:
        self.signal1 == 0
        self.position.close()

But it's still not what I want. This code closes deals with the same signals and does not

I want to understand how to implement "buy and hold until the signal is the same" or "sell and hold while the signal is the same" ??

Your query is not clear enough. If the signal is coming from somewhere, and there is signal with value 0, then doesn't another `elif` statement work, `elif self.signal`==0`? — Anand Gautam, Aug 20 '22 at 14:27

score 0 · Answer 1 · answered Oct 31 '22 at 01:59

Try this, it would probably work for you:

if len(self.trades) > 0:
    if self.trades[-1].is_long and <your logic>:
        self.trades[-1].close()
    elif self.trades[-1].is_short and <your logic>:
        self.trades[-1].close()

PD: The index for self.trades doesn't have to be the last trade, it's your call which trade you want to close

Order limit backtesting

1 Answers1