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AssertionError while using TrailingStrategy #322

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Merged
merged 14 commits into from
Apr 29, 2021
Merged

AssertionError while using TrailingStrategy #322

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5a59a97
AssertionError while using TrailingStrategy #316
zlpatel Apr 27, 2021
19dde7a
AssertionError while using TrailingStrategy - Adding Unit Test kernc…
zlpatel Apr 27, 2021
427d4dc
Adding AMZN test data file kernc#316
zlpatel Apr 27, 2021
fc62a86
Added AMZN data kernc#316
zlpatel Apr 27, 2021
50f0daf
Fix inconsistent tabs issue kernc#316
zlpatel Apr 27, 2021
bd2c7bb
Removed Tabs and used Spaces kernc#316
zlpatel Apr 28, 2021
275cc8f
Backing out additional test case kernc#316
zlpatel Apr 28, 2021
cc0b4b3
Delete AMZN.csv file kernc#316
zlpatel Apr 28, 2021
8be5e18
Remove AMZN data import kernc#316
zlpatel Apr 28, 2021
4312281
Add code comment for change kernc#316
zlpatel Apr 28, 2021
f819e5d
Update backtesting/lib.py
kernc Apr 28, 2021
526a4b8
Added extra line as lint was complaining kernc#316
zlpatel Apr 28, 2021
76bb895
Added extra line as lint was complaining kernc#316
zlpatel Apr 28, 2021
3644b55
Added extra line as lint was complaining kernc#316
zlpatel Apr 28, 2021
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6 changes: 4 additions & 2 deletions backtesting/lib.py
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Original file line number Diff line number Diff line change
Expand Up @@ -441,13 +441,15 @@ def set_trailing_sl(self, n_atr: float = 6):

def next(self):
super().next()
# Can't use index=-1 because self.__atr is not an Indicator type
index = len(self.data)-1
for trade in self.trades:
if trade.is_long:
trade.sl = max(trade.sl or -np.inf,
self.data.Close[-1] - self.__atr[-1] * self.__n_atr)
self.data.Close[index] - self.__atr[index] * self.__n_atr)
else:
trade.sl = min(trade.sl or np.inf,
self.data.Close[-1] + self.__atr[-1] * self.__n_atr)
self.data.Close[index] + self.__atr[index] * self.__n_atr)


# Prevent pdoc3 documenting __init__ signature of Strategy subclasses
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2 changes: 1 addition & 1 deletion backtesting/test/_test.py
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Original file line number Diff line number Diff line change
Expand Up @@ -860,7 +860,7 @@ def next(self):
self.buy()

stats = Backtest(GOOG, S).run()
self.assertEqual(stats['# Trades'], 51)
self.assertEqual(stats['# Trades'], 57)


class TestUtil(TestCase):
Expand Down