diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index bec6757a..879e88b1 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -513,6 +513,7 @@ def __eq__(self, other):
is_overlay = value._opts['overlay']
is_scatter = value._opts['scatter']
+ is_histogram = value._opts['histogram']
if is_overlay:
fig = fig_ohlc
else:
@@ -523,6 +524,10 @@ def __eq__(self, other):
colors = colors and cycle(_as_list(colors)) or (
cycle([next(ohlc_colors)]) if is_overlay else colorgen())
legend_label = LegendStr(value.name)
+ indicator_max = value.df.max(axis='columns')
+ indicator_min = value.df.min(axis='columns')
+ source.add(indicator_max, f'indicator_{i}_range_max')
+ source.add(indicator_min, f'indicator_{i}_range_min')
for j, arr in enumerate(value, 1):
color = next(colors)
source_name = f'{legend_label}_{i}_{j}'
@@ -532,7 +537,10 @@ def __eq__(self, other):
tooltips.append(f'@{{{source_name}}}{{0,0.0[0000]}}')
if is_overlay:
ohlc_extreme_values[source_name] = arr
- if is_scatter:
+ if is_histogram:
+ fig.vbar('index', BAR_WIDTH, source_name, source=source,
+ legend_label=legend_label, color=color)
+ elif is_scatter:
fig.scatter(
'index', source_name, source=source,
legend_label=legend_label, color=color,
@@ -544,7 +552,10 @@ def __eq__(self, other):
legend_label=legend_label, line_color=color,
line_width=1.3)
else:
- if is_scatter:
+ if is_histogram:
+ r = fig.vbar('index', BAR_WIDTH, source_name, source=source,
+ legend_label=LegendStr(legend_label), color=color)
+ elif is_scatter:
r = fig.scatter(
'index', source_name, source=source,
legend_label=LegendStr(legend_label), color=color,
@@ -584,7 +595,8 @@ def __eq__(self, other):
figs_above_ohlc.append(_plot_drawdown_section())
if plot_pl:
- figs_above_ohlc.append(_plot_pl_section())
+ fig_pl = _plot_pl_section()
+ figs_above_ohlc.append(fig_pl)
if plot_volume:
fig_volume = _plot_volume_section()
@@ -607,9 +619,15 @@ def __eq__(self, other):
custom_js_args = dict(ohlc_range=fig_ohlc.y_range,
source=source)
+ if plot_pl:
+ custom_js_args.update(pl_range=fig_pl.y_range)
if plot_volume:
custom_js_args.update(volume_range=fig_volume.y_range)
-
+ indicator_ranges = {}
+ for idx, indicator in enumerate(indicator_figs):
+ indicator_range_key = f'indicator_{idx}_range'
+ indicator_ranges.update({indicator_range_key: indicator.y_range})
+ custom_js_args.update({'indicator_ranges': indicator_ranges})
fig_ohlc.x_range.js_on_change('end', CustomJS(args=custom_js_args,
code=_AUTOSCALE_JS_CALLBACK))
diff --git a/backtesting/autoscale_cb.js b/backtesting/autoscale_cb.js
index da888ecf..63135615 100644
--- a/backtesting/autoscale_cb.js
+++ b/backtesting/autoscale_cb.js
@@ -31,5 +31,18 @@ window._bt_autoscale_timeout = setTimeout(function () {
max = Math.max.apply(null, source.data['Volume'].slice(i, j));
_bt_scale_range(volume_range, 0, max * 1.03, false);
}
+
+ if(indicator_ranges){
+ let keys = Object.keys(indicator_ranges);
+ for(var count=0;count<keys.length;count++){
+ if(keys[count]){
+ max = Math.max.apply(null, source.data[keys[count]+'_max'].slice(i, j));
+ min = Math.min.apply(null, source.data[keys[count]+'_min'].slice(i, j));
+ if(min && max){
+ _bt_scale_range(indicator_ranges[keys[count]], min, max, true);
+ }
+ }
+ }
+ }
}, 50);
diff --git a/backtesting/backtesting.py b/backtesting/backtesting.py
index edb7be01..41b7a7d5 100644
--- a/backtesting/backtesting.py
+++ b/backtesting/backtesting.py
@@ -75,7 +75,7 @@ def _check_params(self, params):
def I(self, # noqa: E741, E743
func: Callable, *args,
- name=None, plot=True, overlay=None, color=None, scatter=False,
+ name=None, plot=True, overlay=None, color=None, scatter=False, histogram=False,
**kwargs) -> np.ndarray:
"""
Declare indicator. An indicator is just an array of values,
@@ -105,6 +105,10 @@ def I(self, # noqa: E741, E743
If `scatter` is `True`, the plotted indicator marker will be a
circle instead of a connected line segment (default).
+ If `histogram` is `True`, the indicator values will be plotted
+ as a histogram instead of line or circle. When `histogram` is
+ `True`, 'scatter' value will be ignored even if it's set.
+
Additional `*args` and `**kwargs` are passed to `func` and can
be used for parameters.
@@ -151,7 +155,7 @@ def init():
overlay = ((x < 1.4) & (x > .6)).mean() > .6
value = _Indicator(value, name=name, plot=plot, overlay=overlay,
- color=color, scatter=scatter,
+ color=color, scatter=scatter, histogram=histogram,
# _Indicator.s Series accessor uses this:
index=self.data.index)
self._indicators.append(value)
diff --git a/backtesting/lib.py b/backtesting/lib.py
index f7f61e74..f7715e20 100644
--- a/backtesting/lib.py
+++ b/backtesting/lib.py
@@ -452,6 +452,43 @@ def next(self):
self.data.Close[index] + self.__atr[index] * self.__n_atr)
+class PercentageTrailingStrategy(Strategy):
+ """
+ A strategy with automatic trailing stop-loss, trailing the current
+ price at distance of some percentage. Call
+ `PercentageTrailingStrategy.set_trailing_sl()` to set said percentage
+ (`5` by default). See [tutorials] for usage examples.
+
+ [tutorials]: index.html#tutorials
+
+ Remember to call `super().init()` and `super().next()` in your
+ overridden methods.
+ """
+ _sl_percent = 5.
+
+ def init(self):
+ super().init()
+
+ def set_trailing_sl(self, percentage: float = 5):
+ assert percentage > 0, "percentage must be greater than 0"
+ """
+ Sets the future trailing stop-loss as some (`percentage`)
+ percentage away from the current price.
+ """
+ self._sl_percent = percentage
+
+ def next(self):
+ super().next()
+ 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[index]*(1-(self._sl_percent/100)))
+ else:
+ trade.sl = min(trade.sl or np.inf,
+ self.data.Close[index]*(1+(self._sl_percent/100)))
+
+
# Prevent pdoc3 documenting __init__ signature of Strategy subclasses
for cls in list(globals().values()):
if isinstance(cls, type) and issubclass(cls, Strategy):
diff --git a/backtesting/test/_test.py b/backtesting/test/_test.py
index 85ecea6a..0b0c1a51 100644
--- a/backtesting/test/_test.py
+++ b/backtesting/test/_test.py
@@ -24,6 +24,7 @@
quantile,
SignalStrategy,
TrailingStrategy,
+ PercentageTrailingStrategy,
resample_apply,
plot_heatmaps,
random_ohlc_data,
@@ -771,6 +772,24 @@ def next(self):
plot_drawdown=False, plot_equity=False, plot_pl=False, plot_volume=False,
open_browser=False)
+ def test_indicator_histogram(self):
+ class S(Strategy):
+ def init(self):
+ self.I(SMA, self.data.Close, 5, overlay=True, scatter=False, histogram=True)
+ self.I(SMA, self.data.Close, 10, overlay=False, scatter=False, histogram=True)
+
+ def next(self):
+ pass
+
+ bt = Backtest(GOOG, S)
+ bt.run()
+ with _tempfile() as f:
+ bt.plot(filename=f,
+ plot_drawdown=False, plot_equity=False, plot_pl=False, plot_volume=False,
+ open_browser=True)
+ # Give browser time to open before tempfile is removed
+ time.sleep(1)
+
class TestLib(TestCase):
def test_barssince(self):
@@ -862,6 +881,21 @@ def next(self):
stats = Backtest(GOOG, S).run()
self.assertEqual(stats['# Trades'], 57)
+ def test_PercentageTrailingStrategy(self):
+ class S(PercentageTrailingStrategy):
+ def init(self):
+ super().init()
+ self.set_trailing_sl(5)
+ self.sma = self.I(lambda: self.data.Close.s.rolling(10).mean())
+
+ def next(self):
+ super().next()
+ if not self.position and self.data.Close > self.sma:
+ self.buy()
+
+ stats = Backtest(GOOG, S).run()
+ self.assertEqual(stats['# Trades'], 91)
+
class TestUtil(TestCase):
def test_as_str(self):