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close position with some note #1298
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I want to add reasons for the end of certain trades, for example, how do I tag the ending order of the buy trade from 2013年02月26日, indicating that I ended the trade due to reason R, and write R into this order and trade.
from datetime import date from backtesting import Backtest, Strategy from backtesting.lib import crossover from backtesting.test import SMA, GOOG class SmaCross(Strategy): n1 = 10 n2 = 20 def init(self): close = self.data.Close self.sma1 = self.I(SMA, close, self.n1) self.sma2 = self.I(SMA, close, self.n2) def next(self): if not self.data.index[-1].date() >= date(2013, 2, 1): if crossover(self.sma1, self.sma2): self.position.close() self.buy() elif crossover(self.sma2, self.sma1): self.position.close() self.sell() else: if self.data.index[-1].date() == date(2013, 2, 26): self.buy(size=1, tag="2013-02-26buy") if self.data.index[-1].date() == date(2013, 2, 27): self.position.close() bt = Backtest(GOOG, SmaCross, cash=10000, commission=0.002) stats = bt.run()
My Hope:
when calling either self.position.close(reason="R") or self.trade.close(reason="R"), I want to update the tag of any canceled order to "R". This makes sense because, at that point, the order looks like this:
{
'is_contingent': False,
'is_long': False,
'is_short': True,
'limit': None,
'parent_trade': <Trade size=34 time=2146- price=801.1- pl=173 tag=2013年02月26日buy>,
'size': -34.0,
'sl': None,
'stop': None,
'tag': '2013-02-26buy',
'tp': None
}
Since the order already contains a parent_trade, updating the tag to "R" clearly indicates that the reason for closing the trade was "R".
Additionally, it would be useful if trades included a new property: close_reason (e.g.), which would display "R" in such cases.
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