Trailing pct instead of ATR #223

backtesting/lib.py

@@ -452,6 +452,43 @@ def next(self):
                                self.data.Close[index] + self.__atr[index] * self.__n_atr)
 
 
+class PercentageTrailingStrategy(Strategy):
+    """
+    A strategy with automatic trailing stop-loss, trailing the current
+    price at distance of some percentage. Call
+    `PercentageTrailingStrategy.set_trailing_sl()` to set said percentage
+    (`5` by default). See [tutorials] for usage examples.
+
+    [tutorials]: index.html#tutorials
+
+    Remember to call `super().init()` and `super().next()` in your
+    overridden methods.
+    """
+    _sl_pct = 5.
+
+    def init(self):
+        super().init()
+
+    def set_trailing_sl(self, percentage: float = 5):
+        assert percentage > 0, "percentage must be greater than 0"
+        """
+        Sets the future trailing stop-loss as some (`percentage`)
+        percentage away from the current price.
+        """
+        self._sl_pct = percentage/100
+
+    def next(self):
+        super().next()
+        index = len(self.data)-1
+        for trade in self.trades:
+            if trade.is_long:
+                trade.sl = max(trade.sl or -np.inf,
+                               self.data.Close[index]*(1-self._sl_pct))
+            else:
+                trade.sl = min(trade.sl or np.inf,
+                               self.data.Close[index]*(1+self._sl_pct))
+
+
 # Prevent pdoc3 documenting __init__ signature of Strategy subclasses
 for cls in list(globals().values()):
     if isinstance(cls, type) and issubclass(cls, Strategy):

backtesting/test/_test.py

@@ -24,6 +24,7 @@
     quantile,
     SignalStrategy,
     TrailingStrategy,
+    PercentageTrailingStrategy,
     resample_apply,
     plot_heatmaps,
     random_ohlc_data,
@@ -862,6 +863,21 @@ def next(self):
         stats = Backtest(GOOG, S).run()
         self.assertEqual(stats['# Trades'], 57)
 
+    def test_PercentageTrailingStrategy(self):
+        class S(PercentageTrailingStrategy):
+            def init(self):
+                super().init()
+                self.set_trailing_sl(5)
+                self.sma = self.I(lambda: self.data.Close.s.rolling(10).mean())
+
+            def next(self):
+                super().next()
+                if not self.position and self.data.Close > self.sma:
+                    self.buy()
+
+        stats = Backtest(GOOG, S).run()
+        self.assertEqual(stats['# Trades'], 91)
+
 
 class TestUtil(TestCase):
     def test_as_str(self):