trailing stop long/short working

clojure-quant · Oct 10, 2024 · 8541a15 · 8541a15
1 parent 1d508d7
commit 8541a15
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Showing 3 changed files with 28 additions and 22 deletions.
diff --git a/dev/src/dev/backtest/backtest.clj b/dev/src/dev/backtest/backtest.clj
@@ -16,25 +16,29 @@
                       (t/instant "2024-09-08T00:00:00Z")
                       (t/instant "2024-09-09T00:00:00Z")
                       (t/instant "2024-09-10T00:00:00Z")
-                      (t/instant "2024-09-11T00:00:00Z")]
+                      (t/instant "2024-09-11T00:00:00Z")
+                      (t/instant "2024-09-12T00:00:00Z")
+                      (t/instant "2024-09-13T00:00:00Z")
+                      ]
                :open [100 100 120 120
                       100 100 120 
-                      100 90 100 100]
+                      100 90 100 100 110 110]
                :high [100 100 120 120
                       100 100 120
-                      100 90 100 100]
+                      100 90 100 100 110 110]
                :low [100 100 120 120
                      100 100 120
-                     100 90 100 100]
+                     100 90 100 100 110 110]
                :close [100 100 120 120
                        100 100 120
-                       100 90 100 100]
+                       100 90 100 100 110 110]
                :atr [ 5 5 5 5
                      5 5 5
-                     5 5 5 5]
+                     5 5 5 5 5 5]
                :entry [nil :long nil nil
                        :long nil nil 
-                       :short nil nil nil]}))
+                       :short nil nil nil nil]}))
+
 
 
 bar-ds
@@ -70,9 +74,6 @@ bar-ds
                 :exit [{:type :trailing-stop-offset :col :atr }
                        ]}
                bar-ds)
-     ;; => Evaluation was interrupted
-
-
      (print-table [;  :id
                     ; :asset 
                    :side
@@ -86,7 +87,8 @@ bar-ds
                     ; :exit-idx
                    ]))
 
-; | :side | :qty | :entry-price | :exit-price |          :entry-date |           :exit-date |        :reason |
-; |-------+------+--------------+-------------+----------------------+----------------------+----------------|
-; | :long |  1.0 |          100 |         115 | 2024-09-02T00:00:00Z | 2024-09-05T00:00:00Z | :trailing-stop |
-; | :long |  1.0 |          100 |         115 | 2024-09-05T00:00:00Z | 2024-09-08T00:00:00Z | :trailing-stop |
+; |  :side | :qty | :entry-price | :exit-price |          :entry-date |           :exit-date |        :reason |
+; |--------+------+--------------+-------------+----------------------+----------------------+----------------|
+; |  :long |  1.0 |          100 |         115 | 2024-09-02T00:00:00Z | 2024-09-05T00:00:00Z | :trailing-stop |
+; |  :long |  1.0 |          100 |         115 | 2024-09-05T00:00:00Z | 2024-09-08T00:00:00Z | :trailing-stop |
+; | :short |  1.0 |          100 |         105 | 2024-09-08T00:00:00Z | 2024-09-12T00:00:00Z | :trailing-stop |
diff --git a/src/quanta/trade/entry_signal/exit/config.clj b/src/quanta/trade/entry_signal/exit/config.clj
@@ -34,7 +34,7 @@
                          (let [{:keys [entry-price side]} position
                                close (:close row)
                                offset (get row col)]
-                           (println "new-level offset: " offset)
+                           (println "trailing offset: " offset " close: " close " level: " level "entry: " entry-price)
                            (if level 
                              (case side
                                :long (- close offset)

diff --git a/src/quanta/trade/entry_signal/exit/position.clj b/src/quanta/trade/entry_signal/exit/position.clj
@@ -78,8 +78,7 @@
 (defrecord TrailingStopLoss [position level-a new-level-fn label]
   IExit
   (check-exit [_ {:keys [high low] :as row}]
-    (let [; first check if there is an exit at curent level
-          _ (println "chekcintg TrailingStopLoss...")
+    (let [; first check if there is an exit at current level
           r (when (not (nil? @level-a))
               (case (:side position)
               :short
@@ -89,19 +88,24 @@
               (when (<= low @level-a)
                 [label @level-a])))
           ; second calculate new level, and possibly move level
-          new-level (new-level-fn position @level-a row)
+          unchecked-level (new-level-fn position @level-a row)
+          _ (println "trailing unchecked-level: " unchecked-level)
           new-level (case (:side position)
                       :short 
                       (when (or (nil? @level-a)
-                                (< new-level @level-a))
-                        new-level)
+                                (< unchecked-level @level-a))
+                        unchecked-level)
                       :long 
                       (when (or (nil? @level-a) 
-                                (> new-level @level-a))
-                        new-level))]
+                                (> unchecked-level @level-a))
+                        unchecked-level))]
       (when new-level
         (println "TrailingStopLoss changes from " @level-a " to: " new-level)
         (reset! level-a new-level))
+      (when (not new-level)
+        (println "TrailingStopLoss unchanged level: " @level-a 
+                 " side: " (:side position) " unchecked level: " unchecked-level)
+        )
       r)))