time and profit prct added

dev/src/dev/algo_bollinger.clj

@@ -10,8 +10,7 @@
    [quanta.algo.dag.spec :refer [spec->ops]]
    [quanta.algo.options :refer [apply-options]]
    [quanta.trade.backtest :as b1]
-   [quanta.trade.backtest2 :as b2]
-   ))
+   [quanta.trade.backtest2 :as b2]))
 
 (defn entry-one [long short]
   (cond
@@ -31,10 +30,9 @@
         long-signal (cross-up (:close ds-bollinger) (:bollinger-upper ds-bollinger))
         short-signal (cross-up (:close ds-bollinger) (:bollinger-lower ds-bollinger))
         entry (dtype/clone (dtype/emap entry-one :keyword long-signal short-signal))
-        ds-signal (tc/add-columns ds-bollinger {:entry entry 
-                                                :atr (ind/atr {:n n} ds-bars)
-
-                                                })]
+        ds-signal (tc/add-columns ds-bollinger {:entry entry
+                                                :atr (ind/atr {:n n} ds-bars)})]
+
     ds-signal))
 
 (defn bollinger-stats [opts ds-d ds-m]
@@ -64,15 +62,16 @@
    :backtest {:formula [:day]
               :algo b2/backtest
               :entry {:type :fixed-qty :fixed-qty 1.0}
-              :exit [{:type :trailing-stop-offset :col :atr}]}
+              :exit [{:type :trailing-stop-offset :col :atr}
+                     {:type :stop-prct :prct 2.0}
+                     {:type :profit-prct :prct 1.0}
+                     {:type :time :max-bars 10}]}
    :backtest-old  {:formula [:day]
                    :algo b1/backtest
                    :entry  [:fixed-amount 100000]
                    :exit [:loss-percent 2.0
-                            :profit-percent 1.0
-                            :time 5]}
-
-   ])
+                          :profit-percent 1.0
+                          :time 5]}])
 
 (spec->ops bollinger-algo)
 ;; => [[:day {:calendar [:forex :d],

dev/src/dev/algo_bollinger_backtest.clj

@@ -28,5 +28,6 @@
 
 (dag/start-log-cell bollinger :backtest)
 
+
 ;; see .data/ for dag logfile.
 

src/quanta/trade/entry_signal/exit/config.clj

@@ -2,7 +2,11 @@
   (:require
    [quanta.trade.entry-signal.exit.position :as e])
   (:import
-   [quanta.trade.entry_signal.exit.position TakeProfit TrailingStopLoss MultipleRules]))
+   [quanta.trade.entry_signal.exit.position 
+    TakeProfit 
+    StopLoss TrailingStopLoss 
+    MaxTime
+    MultipleRules]))
 
 (defmulti exit-rule
   (fn [{:keys [type] :as opts}]
@@ -21,6 +25,28 @@
                   :short (/ entry-price (+ 1.0 prct)))]
       (TakeProfit. position level label))))
 
+(defmethod exit-rule :stop-prct [{:keys [label prct]
+                                  :or {label :stop-prct}}]
+  (assert prct "stop-prct needs :prct parameter")
+  (fn [{:keys [entry-price side] :as position}]
+    ;(println "creating profit-prct rule for position: " position)
+    (assert entry-price "stop-prct needs :position :entry-price")
+    (assert side "stop-prct needs :position :side")
+    (let [prct (/ prct 100.0)
+          level (case side
+                  :long (/ entry-price (+ 1.0 prct))
+                  :short (* entry-price (+ 1.0 prct)))]
+      (StopLoss. position level label))))
+
+(defmethod exit-rule :time [{:keys [label max-bars]
+                                  :or {label :time}}]
+  (assert max-bars "stop-time needs :max-bars parameter")
+  (fn [{:keys [entry-idx] :as position}]
+    (assert entry-idx "stop-time needs :position :entry-idx")
+    (let [max-idx (+ entry-idx max-bars)]
+      (MaxTime. position max-idx label))))
+
+
 (defmethod exit-rule :trailing-stop-offset [{:keys [col label]
                                              :or {label :trailing-stop}}]
   (assert col "trailing-stop-offset needs :col parameter")