Add high water mark for stop loss and take profit tests

Author: MDUYN

examples/backtest_example/run_backtest.py

@@ -115,16 +115,6 @@ def apply_strategy(self, context: Context, market_data):
             if not context.has_position(target_symbol) \
                     and is_crossover(fast, slow) \
                     and is_above_trend(fast, trend):
-
-                # print(context.config["BACKTESTING_INDEX_DATETIME"])
-                date = context.config["BACKTESTING_INDEX_DATETIME"]
-
-                # Check if date equals 2023-10-30 04:00
-                if date == datetime(2023, 10, 30, 4, 0):
-                    print("opening trade")
-                    print(price)
-                    print(df[-1]["Close"])
-
                 order = context.create_limit_order(
                     target_symbol=target_symbol,
                     order_side=OrderSide.BUY,
@@ -135,6 +125,7 @@ def apply_strategy(self, context: Context, market_data):
                 trade = context.get_trade(order_id=order.id)
                 context.add_stop_loss(
                     trade=trade,
+                    trade_risk_type="trailing",
                     percentage=5,
                     sell_percentage=50
                 )

investing_algorithm_framework/domain/models/trade/trade_stop_loss.py

@@ -92,6 +92,8 @@ def update_with_last_reported_price(self, current_price: float, date):
 
         if TradeRiskType.FIXED.equals(self.trade_risk_type):
             # Check if the current price is less than the high water mark
+            if current_price > self.high_water_mark:
+                self.high_water_mark = current_price
             return
         else:
             # Check if the current price is less than the stop loss price
@@ -132,12 +134,6 @@ def has_triggered(self, current_price: float) -> bool:
 
         return False
 
-    @property
-    def active(self):
-
-        self.tra
-        return self._active
-
     def get_sell_amount(self) -> float:
         """
         Function to calculate the amount to sell based on the

investing_algorithm_framework/domain/models/trade/trade_take_profit.py

@@ -89,6 +89,17 @@ def update_with_last_reported_price(self, current_price: float, date):
 
         # Do nothing for fixed take profit
         if TradeRiskType.FIXED.equals(self.trade_risk_type):
+
+            if self.high_water_mark is not None:
+                if current_price > self.high_water_mark:
+                    self.high_water_mark = current_price
+                    self.high_water_mark_date = date
+            else:
+                if current_price >= self.take_profit_price:
+                    self.high_water_mark = current_price
+                    self.high_water_mark_date = date
+                return
+
             return
         else:
 
@@ -107,10 +118,6 @@ def update_with_last_reported_price(self, current_price: float, date):
 
             # Check if the current price is less than the take profit price
             if current_price < self.take_profit_price:
-                print("trigger for take profit")
-                print(self.id)
-                print(f"current price: {current_price}")
-                print(f"take profit price: {self.take_profit_price}")
                 return
 
             # Increase the high water mark and take profit price

investing_algorithm_framework/domain/utils/backtesting.py

@@ -7,7 +7,7 @@
 from tabulate import tabulate
 
 from investing_algorithm_framework.domain import DATETIME_FORMAT, \
-    BacktestDateRange, TradeStatus, OrderSide
+    BacktestDateRange, TradeStatus, OrderSide, TradeRiskType
 from investing_algorithm_framework.domain.exceptions import \
     OperationalException
 from investing_algorithm_framework.domain.models.backtesting import \
@@ -141,12 +141,12 @@ def get_high_water_mark(stop_loss):
 
     def get_stop_loss_price(take_profit):
 
-        if take_profit["trade_risk_type"] == "trailing":
+        if TradeRiskType.TRAILING.equals(take_profit["trade_risk_type"]):
             initial_price = take_profit["open_price"]
             percentage = take_profit["percentage"]
             initial_stop_loss_price = \
                 initial_price * (1 - (percentage / 100))
-            return f"{float(take_profit['stop_loss_price']):.{price_precision}f}({take_profit['percentage']})% ({initial_stop_loss_price}:.{price_precision}) {take_profit['trading_symbol']}"
+            return f"{float(take_profit['stop_loss_price']):.{price_precision}f} ({(initial_stop_loss_price):.{price_precision}f}) ({take_profit['percentage']})% {take_profit['trading_symbol']}"
         else:
             return f"{float(take_profit['stop_loss_price']):.{price_precision}f}({take_profit['percentage']})% {take_profit['trading_symbol']}"
 
@@ -217,7 +217,7 @@ def get_stop_loss_price(take_profit):
     stop_loss_table["Type"] = [
         f"{stop_loss['trade_risk_type']}" for stop_loss in selection
     ]
-    stop_loss_table["Stop Loss"] = [
+    stop_loss_table["Stop Loss (Initial Stop Loss)"] = [
         get_stop_loss_price(stop_loss) for stop_loss in selection
     ]
     stop_loss_table["Open price"] = [
@@ -268,12 +268,12 @@ def get_sold_amount(take_profit):
 
     def get_take_profit_price(take_profit):
 
-        if take_profit["trade_risk_type"] == "TRAILING":
+        if TradeRiskType.TRAILING.equals(take_profit["trade_risk_type"]):
             initial_price = take_profit["open_price"]
             percentage = take_profit["percentage"]
             initial_take_profit_price = \
                 initial_price * (1 + (percentage / 100))
-            return f"{float(take_profit['take_profit_price']):.{price_precision}f}({take_profit['percentage']})% ({initial_take_profit_price}) {take_profit['trading_symbol']}"
+            return f"{float(take_profit['take_profit_price']):.{price_precision}f} ({(initial_take_profit_price):.{price_precision}f}) ({take_profit['percentage']})% {take_profit['trading_symbol']}"
         else:
             return f"{float(take_profit['take_profit_price']):.{price_precision}f}({take_profit['percentage']})% {take_profit['trading_symbol']}"
 
@@ -355,7 +355,7 @@ def get_status(take_profit):
         f"{stop_loss['trade_risk_type']}" for stop_loss
         in selection
     ]
-    take_profit_table["Take profit"] = [
+    take_profit_table["Take profit (Initial Take Profit)"] = [
         get_take_profit_price(stop_loss) for stop_loss in selection
     ]
     take_profit_table["Open price"] = [
@@ -772,7 +772,7 @@ def pretty_print_backtest(
               .:=+#%%%%%*###%%%%#*+#%%%%%%*+-:    {COLOR_YELLOW}Initial balance:{COLOR_RESET}{COLOR_GREEN} {backtest_report.initial_unallocated}{COLOR_RESET}
                     +%%%%%%%%%%%%%%%%%%%=         {COLOR_YELLOW}Final balance:{COLOR_RESET}{COLOR_GREEN} {float(backtest_report.total_value):.{price_precision}f}{COLOR_RESET}
                 :++  .=#%%%%%%%%%%%%%*-           {COLOR_YELLOW}Total net gain:{COLOR_RESET}{COLOR_GREEN} {float(backtest_report.total_net_gain):.{price_precision}f} {float(backtest_report.total_net_gain_percentage):.{percentage_precision}}%{COLOR_RESET}
-               :++:      :+%%%%%%#-.              {COLOR_YELLOW}Growth:{COLOR_RESET}{COLOR_GREEN} {float(backtest_report.growth):.{price_precision}f} {float(backtest_report.growth_rate):.{percentage_precision}}%{COLOR_RESET}
+               :++:      :+%%%%%%#-.              {COLOR_YELLOW}Growth:{COLOR_RESET}{COLOR_GREEN} {float(backtest_report.growth):.{price_precision}f} {float(backtest_report.growth_rate):.{percentage_precision}f}%{COLOR_RESET}
               :++:        .%%%%%#=                {COLOR_YELLOW}Number of trades closed:{COLOR_RESET}{COLOR_GREEN} {backtest_report.number_of_trades_closed}{COLOR_RESET}
              :++:        .#%%%%%#*=               {COLOR_YELLOW}Number of trades open(end of backtest):{COLOR_RESET}{COLOR_GREEN} {backtest_report.number_of_trades_open}{COLOR_RESET}
             :++-        :%%%%%%%%%+=              {COLOR_YELLOW}Percentage positive trades:{COLOR_RESET}{COLOR_GREEN} {backtest_report.percentage_positive_trades}%{COLOR_RESET}

investing_algorithm_framework/services/trade_service/trade_service.py

@@ -881,12 +881,6 @@ def get_triggered_take_profit_orders(self):
                     take_profit.active and
                     take_profit.has_triggered(open_trade.last_reported_price)
                 ):
-                    print("Triggered take profit")
-                    print(f"take profit id: {take_profit.id}")
-                    print(f"take profit price: {take_profit.take_profit_price}")
-                    print(open_trade.last_reported_price)
-                    print(open_trade.last_reported_price_datetime)
-
                     triggered_take_profits.append(take_profit)
 
                 to_be_saved_take_profit_objects.append(take_profit)

tests/domain/models/trades/test_trade_take_profit.py

@@ -52,6 +52,16 @@ def test_is_triggered_default(self):
         self.assertTrue(take_profit.has_triggered(22))
 
     def test_is_triggered_trailing(self):
+        """
+        Test the trailing stop loss
+
+        * Open price: 20
+        * Percentage: 10%
+        * Sell percentage: 50%
+
+        Initial take profit price: 22
+
+        """
         take_profit = TradeTakeProfit(
             trade_id=1,
             trade_risk_type="trailing",