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allow open trades at end of backtest. #1102

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allow open trades at end of backtest. #1102

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35dc84b
minor updates. added option to leave orders open at end of backtest
themantalope Jan 2, 2024
84de9ca
formatting
themantalope Jan 2, 2024
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1 change: 1 addition & 0 deletions .gitignore
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Original file line number Diff line number Diff line change
Expand Up @@ -21,3 +21,4 @@ doc/build/*
*~*

.venv/
build/*
18 changes: 13 additions & 5 deletions backtesting/backtesting.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1030,7 +1030,8 @@ def __init__(self,
margin: float = 1.,
trade_on_close=False,
hedging=False,
exclusive_orders=False
exclusive_orders=False,
leave_orders_open=False
):
"""
Initialize a backtest. Requires data and a strategy to test.
Expand Down Expand Up @@ -1073,7 +1074,11 @@ def __init__(self,

If `exclusive_orders` is `True`, each new order auto-closes the previous
trade/position, making at most a single trade (long or short) in effect
at each time.
at each time.

If `leave_orders_open` is `True`, trades are not automatically closed at
completion of the backtest. This allows strategies to be run in a "forward"
manner, where a user can see open trades with updated data.

[FIFO]: https://www.investopedia.com/terms/n/nfa-compliance-rule-2-43b.asp
"""
Expand Down Expand Up @@ -1133,6 +1138,7 @@ def __init__(self,
)
self._strategy = strategy
self._results: Optional[pd.Series] = None
self.leave_orders_open = leave_orders_open

def run(self, **kwargs) -> pd.Series:
"""
Expand Down Expand Up @@ -1218,9 +1224,11 @@ def run(self, **kwargs) -> pd.Series:
# Next tick, a moment before bar close
strategy.next()
else:
# Close any remaining open trades so they produce some stats
for trade in broker.trades:
trade.close()
# Close any remaining open trades so they produce some stats
# if self.leave_orders_open is False
if self.leave_orders_open is False:
for trade in broker.trades:
trade.close()

# Re-run broker one last time to handle orders placed in the last strategy
# iteration. Use the same OHLC values as in the last broker iteration.
Expand Down