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Thank you for this library. I’ve only started learning about programming half a year ago so I still lack a lot of knowledge, but your library is quite intuitive. But I can’t figure out if there is anything I can do to solve the following issues:
Quite a lot of trades execute on the same bar as the entry, so I get a bunch of these warnings:
UserWarning: (2023年05月09日 17:00:00) A contingent SL/TP order would execute in the same bar its parent stop/limit order was turned into a trade. Since we can't assert the precise intra-candle price movement, the affected SL/TP order will instead be executed on the next (matching) price/bar, making the result (of this trade) somewhat dubious. See #119
My orders are always set up like this for both sides:
self.sell_order = self.sell(size=self.sell_size, limit=self.sell_price, sl=self.sell_sl, tp=self.sell_tp)
So entry and tp are always limit orders and stop loss is a always a market order.
However, stop loss order doesn’t get registered if it happens on the same candle as when the trade is opened, and if it is reached only by a wick. For example, the following trade registers as a win instead of a loss, even though the stop loss is hit:
Is there anything I can do so that stop loss would always get triggered even if it happens on the same candle as the open? I’ve asked ChatGPT and it suggested some edits to the copy of backtesting.py, but that didn’t go anywhere. I’m not yet capable of understanding that code very well. If you have any suggestions about how I can work around this issue, please let me know.
It would also be OK if other stuff wouldn’t work because of the required edits, I would be satisfied if I could get a proper Win Rate % for now.
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Replies: 2 comments
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Might indeed be a bug, see #119 (comment). Thanks.
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I'm jumping on this conversation but happy to post this as a new question.
I'm seeking clarification on the execution of orders in relation to the trade_on_close flag and intra-candle price movements. If I understand correctly, orders are executed either at the close of the current bar or at the open of the next bar, depending on the trade_on_close setting. For instance, if a take-profit order is set at 105, but during the candle, the price reaches a high of 110, then falls back to close at 104, would the take-profit order at 105 be triggered, considering the high was 110?
Essentially, I'm inquiring whether the High and Low of a candle are considered for triggering take-profit and stop-loss orders. I'm working with large datasets and moving to a more granular time frame for every trade could be challenging. I'm wondering if there's a possible workaround or if a feature like trade_intra_candle=True could be considered to accommodate such scenarios. I imagine this might have been brought up before but had a difficult time sussing out the answers @kernc , so I thought I'd ask.
Thank you!
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