openbacktesting 0.2.0__py3-none-any.whl

openbacktesting/strategy/templates.py

@@ -0,0 +1,160 @@
+"""Existing implementations moved from lib: SignalStrategy, TrailingStrategy."""
+
+from __future__ import annotations
+
+from collections.abc import Sequence
+
+import numpy as np
+import pandas as pd
+
+from openbacktesting.helpers import _set_legacy_module
+from openbacktesting.strategy.base import Strategy
+
+
+class SignalStrategy(Strategy):
+    """Composable strategy base class driven by precomputed entry and exit signals.
+
+
+    A simple helper strategy that operates on position entry/exit signals.
+    This makes the backtest of the strategy simulate a [vectorized backtest].
+    See runnable examples in the user guide.
+
+    [vectorized backtest]: https://altpower.app/?q=vectorized+backtest
+
+    To use this helper strategy, subclass it, override its
+    `openbacktesting.engine.Strategy.init` method,
+    and set the signal vector by calling
+    `openbacktesting.lib.SignalStrategy.set_signal` method from within it.
+
+        class ExampleStrategy(SignalStrategy):
+            def init(self):
+                super().init()
+                self.set_signal(sma1 > sma2, sma1 < sma2)
+
+    Remember to call `super().init()` and `super().next()` in your
+    overridden methods.
+    """
+
+    __entry_signal = (0,)
+    __exit_signal = (False,)
+
+    def set_signal(
+        self,
+        entry_size: Sequence[float],
+        exit_portion: Sequence[float] | None = None,
+    ):
+        """Register actual asset quantities and exit-fraction sequences; positive opens long, negative opens short, zero does not enter.
+
+
+        Set entry/exit signal vectors (arrays).
+
+        A long entry signal is considered present wherever `entry_size`
+        is greater than zero, and a short signal wherever `entry_size`
+        is less than zero, following `openbacktesting.engine.Order.size` semantics.
+
+        If `exit_portion` is provided, a nonzero value closes portion the position
+        (see `openbacktesting.engine.Trade.close()`) in the respective direction
+        (positive values close long trades, negative short).
+
+        Sparse signals do not affect per-bar callbacks; NaN does not trigger trades.
+        """
+        self.__entry_signal = self.ind(  # type: ignore
+            lambda: pd.Series(entry_size, dtype=float).replace(0, np.nan).to_numpy(),
+            name="entry size",
+        )
+
+        if exit_portion is not None:
+            self.__exit_signal = self.ind(  # type: ignore
+                lambda: pd.Series(exit_portion, dtype=float).replace(0, np.nan).to_numpy(),
+                name="exit portion",
+            )
+
+    def next(self):
+        super().next()
+
+        exit_portion = self.__exit_signal[-1]
+        if exit_portion > 0:
+            for trade in self.trades:
+                if trade.is_long:
+                    trade.close(exit_portion)
+        elif exit_portion < 0:
+            for trade in self.trades:
+                if trade.is_short:
+                    trade.close(-exit_portion)
+
+        entry_size = self.__entry_signal[-1]
+        if entry_size > 0:
+            self.buy(qty=entry_size)
+        elif entry_size < 0:
+            self.sell(qty=-entry_size)
+
+
+class TrailingStrategy(Strategy):
+    """Composable strategy base class that updates trade stop losses using ATR.
+
+
+    A strategy with automatic trailing stop-loss, trailing the current
+    price at distance of some multiple of average true range (ATR). Call
+    `TrailingStrategy.set_trailing_sl()` to set said multiple
+    (`6` by default).
+    See runnable examples in the user guide.
+
+
+    Remember to call `super().init()` and `super().next()` in your
+    overridden methods.
+    """
+
+    __n_atr = 6.0
+    __atr = None
+    __pct = None
+
+    def init(self):
+        super().init()
+        self.set_atr_periods()
+
+    def set_atr_periods(self, periods: int = 100):
+        """Set the causal ATR window, default 100; do not backfill or set ATR stops during warmup."""
+        hi, lo, c_prev = self.data.High, self.data.Low, pd.Series(self.data.Close).shift(1)
+        tr = np.max([hi - lo, (c_prev - hi).abs(), (c_prev - lo).abs()], axis=0)
+        atr = pd.Series(tr).rolling(periods).mean().values
+        self.__atr = atr
+
+    def set_trailing_sl(self, n_atr: float = 6):
+        """Set the ATR multiple for subsequent trailing stops.
+
+
+        Set the future trailing stop-loss as some multiple (`n_atr`)
+        average true bar ranges away from the current price.
+        """
+        self.__n_atr = n_atr
+        self.__pct = None
+
+    def set_trailing_pct(self, pct: float = 0.05):
+        """Calculate percentage distance from the currently confirmed price, default 5%, without full-sample estimation.
+
+        pct must be between 0 and 1. Long stops move only upward, short stops only downward; updates take effect no earlier than the next bar.
+        next runs on each bar; skip stop updates until ATR is ready, while percentage mode is independent of ATR.
+        """
+        assert 0 < pct < 1, "Need pct= as rate, i.e. 5% == 0.05"
+        self.__pct = pct
+
+    def next(self):
+        super().next()
+        # Can't use index=-1 because self.__atr is not an Indicator type
+        index = len(self.data) - 1
+        distance = (
+            self.data.Close[index] * self.__pct
+            if self.__pct is not None
+            else self.__atr[index] * self.__n_atr
+        )
+        if not np.isfinite(distance):
+            return
+        for trade in self.trades:
+            if trade.is_long:
+                trade.sl = max(trade.sl or -np.inf, self.data.Close[index] - distance)
+            else:
+                trade.sl = min(trade.sl or np.inf, self.data.Close[index] + distance)
+
+
+_set_legacy_module(SignalStrategy, "openbacktesting.lib")
+_set_legacy_module(TrailingStrategy, "openbacktesting.lib")

openbacktesting/strategy_data.py

@@ -0,0 +1,10 @@
+"""Compatibility exports for the old strategy_data path; implemented in data.strategy_data."""
+
+from openbacktesting.data.strategy_data import (
+    DATA_NAMES,
+    DERIVED,
+    PRICE_COLUMNS,
+    StrategyData,
+)
+
+__all__ = ["DATA_NAMES", "DERIVED", "PRICE_COLUMNS", "StrategyData"]

openbacktesting/test/BTCUSD.csv

@@ -0,0 +1,157 @@
+,Open,High,Low,Close,Volume
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