From 0581c550e0f654fd683f6fce8fa4db2b7db859cf Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 22 May 2021 19:30:20 -0700
Subject: [PATCH 01/28] Auto-scale Y-axis for indicators when zooming #356
---
backtesting/_plotting.py | 12 ++++++++++++
1 file changed, 12 insertions(+)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index bec6757a..1b01d385 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -523,6 +523,12 @@ 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_{j}_range_max')
+ source.add(indicator_min,f'indicator_{j}_range_min')
+
for j, arr in enumerate(value, 1):
color = next(colors)
source_name = f'{legend_label}_{i}_{j}'
@@ -609,6 +615,12 @@ def __eq__(self, other):
source=source)
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))
From 779258895bc8f6836d9b5483b03244c9d156222f Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 22 May 2021 19:31:43 -0700
Subject: [PATCH 02/28] Auto-scale Y-axis for indicators when zooming #356
---
backtesting/autoscale_cb.js | 13 +++++++++++++
1 file changed, 13 insertions(+)
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);
From 4ff1fe80d0bf5b565e1e1380874ec14305203f80 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 22 May 2021 19:36:10 -0700
Subject: [PATCH 03/28] Auto-scale Y-axis for indicators when zooming #356
---
backtesting/_plotting.py | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index 1b01d385..85c3a251 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -526,8 +526,8 @@ def __eq__(self, other):
indicator_max=value.df.max(axis='columns')
indicator_min=value.df.min(axis='columns')
- source.add(indicator_max, f'indicator_{j}_range_max')
- source.add(indicator_min,f'indicator_{j}_range_min')
+ 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)
From c0dcbbedced95f08b61d9789b09a0b316cbbd99a Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 22 May 2021 20:19:37 -0700
Subject: [PATCH 04/28] Auto-scale Y-axis for indicators when zooming #356
---
backtesting/_plotting.py | 9 +++------
1 file changed, 3 insertions(+), 6 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index 85c3a251..86c1697a 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -523,12 +523,10 @@ 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')
-
+ 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}'
@@ -619,9 +617,8 @@ def __eq__(self, other):
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})
-
+ 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))
From 6b1c436a459d46d9a5e25f07ab232377004f69cf Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 22 May 2021 20:23:02 -0700
Subject: [PATCH 05/28] Auto-scale Y-axis for indicators when zooming #356
---
backtesting/_plotting.py | 9 ++++-----
1 file changed, 4 insertions(+), 5 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index 86c1697a..e22358b0 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -523,8 +523,8 @@ 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')
+ 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):
@@ -612,10 +612,9 @@ def __eq__(self, other):
custom_js_args = dict(ohlc_range=fig_ohlc.y_range,
source=source)
if plot_volume:
- custom_js_args.update(volume_range=fig_volume.y_range)
-
+ custom_js_args.update(volume_range=fig_volume.y_range)
indicator_ranges = {}
- for idx,indicator in enumerate(indicator_figs):
+ 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})
From bf03b63503d28a568b80a440c018e4dc1432f91a Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 22 May 2021 20:34:29 -0700
Subject: [PATCH 06/28] Auto-scale Y-axis for indicators when zooming #356
---
backtesting/_plotting.py | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index e22358b0..424dd18a 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -523,8 +523,8 @@ 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')
+ 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):
@@ -612,7 +612,7 @@ def __eq__(self, other):
custom_js_args = dict(ohlc_range=fig_ohlc.y_range,
source=source)
if plot_volume:
- custom_js_args.update(volume_range=fig_volume.y_range)
+ 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'
From 46cffe3ce75863f6eb934b8f020e4184ce5249c0 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 12 Jun 2021 15:11:58 -0700
Subject: [PATCH 07/28] Trailing pct instead of ATR #223
---
backtesting/lib.py | 18 ++++++++++++++++++
1 file changed, 18 insertions(+)
diff --git a/backtesting/lib.py b/backtesting/lib.py
index f7f61e74..73d5a935 100644
--- a/backtesting/lib.py
+++ b/backtesting/lib.py
@@ -451,6 +451,24 @@ def next(self):
trade.sl = min(trade.sl or np.inf,
self.data.Close[index] + self.__atr[index] * self.__n_atr)
+class PercentageTrailingStrategy(Strategy):
+ _sl_percent = 5
+ def init(self):
+ super().init()
+
+ def set_trailing_sl(self, percentage: float = 5):
+ 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()):
From 8eab87c15b226bc4c9360fe4826204ed46fb3934 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 12 Jun 2021 20:56:32 -0700
Subject: [PATCH 08/28] Trailing pct instead of ATR kernc#223
Add code description and use float type for default percentage value.
---
backtesting/lib.py | 18 +++++++++++++++++-
1 file changed, 17 insertions(+), 1 deletion(-)
diff --git a/backtesting/lib.py b/backtesting/lib.py
index 73d5a935..e1c5b3a4 100644
--- a/backtesting/lib.py
+++ b/backtesting/lib.py
@@ -452,11 +452,27 @@ def next(self):
self.data.Close[index] + self.__atr[index] * self.__n_atr)
class PercentageTrailingStrategy(Strategy):
- _sl_percent = 5
+ """
+ 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):
From d6fa85127f5cdfa34922697e7119ab5e04ee2e4e Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 12 Jun 2021 22:56:35 -0700
Subject: [PATCH 09/28] Test case for PercentageTrailingStrategy kernc#223
---
backtesting/test/_test.py | 15 +++++++++++++++
1 file changed, 15 insertions(+)
diff --git a/backtesting/test/_test.py b/backtesting/test/_test.py
index 85ecea6a..3cbcc372 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,
@@ -862,6 +863,20 @@ 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):
From b045c7cf0901475c7ec2b3c604db6a20db7c8aa1 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 12 Jun 2021 23:05:12 -0700
Subject: [PATCH 10/28] Added blank line to fix lint issue kernc#223
---
backtesting/test/_test.py | 1 +
1 file changed, 1 insertion(+)
diff --git a/backtesting/test/_test.py b/backtesting/test/_test.py
index 3cbcc372..e4cc8d05 100644
--- a/backtesting/test/_test.py
+++ b/backtesting/test/_test.py
@@ -878,6 +878,7 @@ def next(self):
stats = Backtest(GOOG, S).run()
self.assertEqual(stats['# Trades'], 91)
+
class TestUtil(TestCase):
def test_as_str(self):
def func():
From 3ef557a655fe72d829852c6969abd5ce2f7fc33b Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 12 Jun 2021 23:08:27 -0700
Subject: [PATCH 11/28] added blank space to fix lint issue kernc#223
---
backtesting/lib.py | 1 +
1 file changed, 1 insertion(+)
diff --git a/backtesting/lib.py b/backtesting/lib.py
index e1c5b3a4..9df03ca8 100644
--- a/backtesting/lib.py
+++ b/backtesting/lib.py
@@ -486,6 +486,7 @@ def next(self):
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):
From 898969c69756123636af9aec0e43692f6f9f9406 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 12 Jun 2021 23:21:25 -0700
Subject: [PATCH 12/28] added blank line to fix lint issue kernc#223
---
backtesting/lib.py | 1 +
1 file changed, 1 insertion(+)
diff --git a/backtesting/lib.py b/backtesting/lib.py
index 9df03ca8..fe009f51 100644
--- a/backtesting/lib.py
+++ b/backtesting/lib.py
@@ -451,6 +451,7 @@ def next(self):
trade.sl = min(trade.sl or np.inf,
self.data.Close[index] + self.__atr[index] * self.__n_atr)
+
class PercentageTrailingStrategy(Strategy):
"""
A strategy with automatic trailing stop-loss, trailing the current
From a7732f27f37755334304b2794139a1c459f7b124 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sat, 12 Jun 2021 23:31:15 -0700
Subject: [PATCH 13/28] Added blank line to fix lin issue kernc#223
---
backtesting/lib.py | 1 +
1 file changed, 1 insertion(+)
diff --git a/backtesting/lib.py b/backtesting/lib.py
index fe009f51..f7715e20 100644
--- a/backtesting/lib.py
+++ b/backtesting/lib.py
@@ -465,6 +465,7 @@ class PercentageTrailingStrategy(Strategy):
overridden methods.
"""
_sl_percent = 5.
+
def init(self):
super().init()
From 5ca9a59ccb37f90fc8230b2ede1af4bbdf2dcd48 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sun, 13 Jun 2021 00:06:36 -0700
Subject: [PATCH 14/28] Auto-scale Y-axis for Profit/Loss chart when zooming
kernc#356
---
backtesting/_plotting.py | 5 ++++-
1 file changed, 4 insertions(+), 1 deletion(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index 424dd18a..0ecd0d45 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -588,7 +588,8 @@ 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()
@@ -611,6 +612,8 @@ 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 = {}
From ab17cbf7ef674e6b9be542a516e17f2b7a071246 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sun, 13 Jun 2021 12:00:52 -0700
Subject: [PATCH 15/28] Auto-scale Y-axis for PL chart when zooming kernc#356
---
backtesting/_plotting.py | 3 +++
1 file changed, 3 insertions(+)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index 0ecd0d45..d2724858 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -391,6 +391,9 @@ def _plot_pl_section():
returns_short = np.where(trades['Size'] < 0, trades['ReturnPct'], np.nan)
size = trades['Size'].abs()
size = np.interp(size, (size.min(), size.max()), (8, 20))
+ ohlcv_index_trade_close_arr = np.empty(source.data['index'][-1]+1,dtype=float)
+ ohlcv_index_trade_close_arr[trade_source.data['index']] = trades['ReturnPct']
+ source.add(ohlcv_index_trade_close_arr,'return_pct')
trade_source.add(returns_long, 'returns_long')
trade_source.add(returns_short, 'returns_short')
trade_source.add(size, 'marker_size')
From 44a0200e02aa44e437b42b5a74e3cf8a0d0b0ea4 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sun, 13 Jun 2021 12:03:00 -0700
Subject: [PATCH 16/28] Add auto scaling of y-axis for PL chart kernc#356
---
backtesting/autoscale_cb.js | 8 ++++++++
1 file changed, 8 insertions(+)
diff --git a/backtesting/autoscale_cb.js b/backtesting/autoscale_cb.js
index 63135615..9ed3784c 100644
--- a/backtesting/autoscale_cb.js
+++ b/backtesting/autoscale_cb.js
@@ -27,6 +27,14 @@ window._bt_autoscale_timeout = setTimeout(function () {
min = Math.min.apply(null, source.data['ohlc_low'].slice(i, j));
_bt_scale_range(ohlc_range, min, max, true);
+ if (pl_range) {
+ max = Math.max.apply(null, source.data['return_pct'].slice(i, j));
+ min = Math.min.apply(null, source.data['return_pct'].slice(i, j));
+ if(min && max){
+ _bt_scale_range(pl_range, min, max, true);
+ }
+ }
+
if (volume_range) {
max = Math.max.apply(null, source.data['Volume'].slice(i, j));
_bt_scale_range(volume_range, 0, max * 1.03, false);
From 307e4ffb654698a5274588f71c8fc518ceb60dc8 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sun, 13 Jun 2021 12:05:26 -0700
Subject: [PATCH 17/28] Add whitespace after , to fix lint issue kernc#356
---
backtesting/_plotting.py | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index d2724858..c6195777 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -391,9 +391,9 @@ def _plot_pl_section():
returns_short = np.where(trades['Size'] < 0, trades['ReturnPct'], np.nan)
size = trades['Size'].abs()
size = np.interp(size, (size.min(), size.max()), (8, 20))
- ohlcv_index_trade_close_arr = np.empty(source.data['index'][-1]+1,dtype=float)
+ ohlcv_index_trade_close_arr = np.empty(source.data['index'][-1]+1, dtype=float)
ohlcv_index_trade_close_arr[trade_source.data['index']] = trades['ReturnPct']
- source.add(ohlcv_index_trade_close_arr,'return_pct')
+ source.add(ohlcv_index_trade_close_arr, 'return_pct')
trade_source.add(returns_long, 'returns_long')
trade_source.add(returns_short, 'returns_short')
trade_source.add(size, 'marker_size')
From 97712c7b91ab5fe9520010a669b5e1aabe9e62fc Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sun, 13 Jun 2021 12:20:08 -0700
Subject: [PATCH 18/28] Fixing build error by adding [:] kernc#356
---
backtesting/_plotting.py | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index c6195777..e6c52058 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -392,7 +392,7 @@ def _plot_pl_section():
size = trades['Size'].abs()
size = np.interp(size, (size.min(), size.max()), (8, 20))
ohlcv_index_trade_close_arr = np.empty(source.data['index'][-1]+1, dtype=float)
- ohlcv_index_trade_close_arr[trade_source.data['index']] = trades['ReturnPct']
+ ohlcv_index_trade_close_arr[trade_source.data['index'][:]] = trades['ReturnPct']
source.add(ohlcv_index_trade_close_arr, 'return_pct')
trade_source.add(returns_long, 'returns_long')
trade_source.add(returns_short, 'returns_short')
From 14943964415e9fb1007403ba56802cbe7548c513 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sun, 13 Jun 2021 13:36:17 -0700
Subject: [PATCH 19/28] Remove y-axis scaling logic for PnL graph kernc#356
---
backtesting/_plotting.py | 3 ---
1 file changed, 3 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index e6c52058..0ecd0d45 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -391,9 +391,6 @@ def _plot_pl_section():
returns_short = np.where(trades['Size'] < 0, trades['ReturnPct'], np.nan)
size = trades['Size'].abs()
size = np.interp(size, (size.min(), size.max()), (8, 20))
- ohlcv_index_trade_close_arr = np.empty(source.data['index'][-1]+1, dtype=float)
- ohlcv_index_trade_close_arr[trade_source.data['index'][:]] = trades['ReturnPct']
- source.add(ohlcv_index_trade_close_arr, 'return_pct')
trade_source.add(returns_long, 'returns_long')
trade_source.add(returns_short, 'returns_short')
trade_source.add(size, 'marker_size')
From 95e03f8b61ca1491008f4befb655d97521eefe6f Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@users.noreply.github.com>
Date: Sun, 13 Jun 2021 13:36:50 -0700
Subject: [PATCH 20/28] Remove y-axis scaling logic for PnL graph kernc#356
---
backtesting/autoscale_cb.js | 8 --------
1 file changed, 8 deletions(-)
diff --git a/backtesting/autoscale_cb.js b/backtesting/autoscale_cb.js
index 9ed3784c..63135615 100644
--- a/backtesting/autoscale_cb.js
+++ b/backtesting/autoscale_cb.js
@@ -27,14 +27,6 @@ window._bt_autoscale_timeout = setTimeout(function () {
min = Math.min.apply(null, source.data['ohlc_low'].slice(i, j));
_bt_scale_range(ohlc_range, min, max, true);
- if (pl_range) {
- max = Math.max.apply(null, source.data['return_pct'].slice(i, j));
- min = Math.min.apply(null, source.data['return_pct'].slice(i, j));
- if(min && max){
- _bt_scale_range(pl_range, min, max, true);
- }
- }
-
if (volume_range) {
max = Math.max.apply(null, source.data['Volume'].slice(i, j));
_bt_scale_range(volume_range, 0, max * 1.03, false);
From bf2585c929a76c2e79756e3b7af395da38c55fe0 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@hotmail.com>
Date: Mon, 14 Jun 2021 23:15:03 -0700
Subject: [PATCH 21/28] Add Histogram indicator plot style kernc#195
---
backtesting/_plotting.py | 13 +++++++++++--
backtesting/backtesting.py | 8 ++++++--
backtesting/test/_test.py | 18 ++++++++++++++++++
3 files changed, 35 insertions(+), 4 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index bec6757a..7ccdafc9 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:
@@ -532,7 +533,11 @@ 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(x=source.data['index'], legend_label=legend_label,
+ bottom=[0 for _ in source.data['index']],
+ top=arr, width=BAR_WIDTH, color=color)
+ elif is_scatter:
fig.scatter(
'index', source_name, source=source,
legend_label=legend_label, color=color,
@@ -544,7 +549,11 @@ 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(x=source.data['index'], legend_label=LegendStr(legend_label),
+ bottom=[0 for _ in source.data['index']],
+ top=arr, width=BAR_WIDTH, color=color)
+ elif is_scatter:
r = fig.scatter(
'index', source_name, source=source,
legend_label=LegendStr(legend_label), color=color,
diff --git a/backtesting/backtesting.py b/backtesting/backtesting.py
index edb7be01..f5b47b35 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/test/_test.py b/backtesting/test/_test.py
index 85ecea6a..faab4f15 100644
--- a/backtesting/test/_test.py
+++ b/backtesting/test/_test.py
@@ -771,6 +771,24 @@ 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):
From dea0663444dba3606790e061a7cd1b2368c5523a Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@hotmail.com>
Date: Mon, 14 Jun 2021 23:58:50 -0700
Subject: [PATCH 22/28] Fix legends values on histogram kernc#195
---
backtesting/_plotting.py | 8 ++------
1 file changed, 2 insertions(+), 6 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index 7ccdafc9..0f8ae18e 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -534,9 +534,7 @@ def __eq__(self, other):
if is_overlay:
ohlc_extreme_values[source_name] = arr
if is_histogram:
- fig.vbar(x=source.data['index'], legend_label=legend_label,
- bottom=[0 for _ in source.data['index']],
- top=arr, width=BAR_WIDTH, color=color)
+ 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,
@@ -550,9 +548,7 @@ def __eq__(self, other):
line_width=1.3)
else:
if is_histogram:
- r = fig.vbar(x=source.data['index'], legend_label=LegendStr(legend_label),
- bottom=[0 for _ in source.data['index']],
- top=arr, width=BAR_WIDTH, color=color)
+ 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,
From 45be27547a5759f391c453bf1bf867b522ccc180 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@hotmail.com>
Date: Tue, 15 Jun 2021 00:01:24 -0700
Subject: [PATCH 23/28] Fix lint issues kernc#195
---
backtesting/_plotting.py | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index 0f8ae18e..3e2305b4 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -534,7 +534,8 @@ def __eq__(self, other):
if is_overlay:
ohlc_extreme_values[source_name] = arr
if is_histogram:
- fig.vbar('index', BAR_WIDTH, source_name, source=source, legend_label=legend_label, color=color)
+ 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,
@@ -548,7 +549,8 @@ def __eq__(self, other):
line_width=1.3)
else:
if is_histogram:
- r = fig.vbar('index', BAR_WIDTH, source_name, source=source, legend_label=LegendStr(legend_label), color=color)
+ 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,
From 8eb9a6864398dcffabb98ab07a8634dd037389a4 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@hotmail.com>
Date: Tue, 15 Jun 2021 00:03:19 -0700
Subject: [PATCH 24/28] Fix lint issues kernc#195
---
backtesting/_plotting.py | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index 3e2305b4..2535b8ad 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -534,7 +534,7 @@ def __eq__(self, other):
if is_overlay:
ohlc_extreme_values[source_name] = arr
if is_histogram:
- fig.vbar('index', BAR_WIDTH, source_name, source=source,
+ fig.vbar('index', BAR_WIDTH, source_name, source=source,
legend_label=legend_label, color=color)
elif is_scatter:
fig.scatter(
@@ -549,7 +549,7 @@ def __eq__(self, other):
line_width=1.3)
else:
if is_histogram:
- r = fig.vbar('index', BAR_WIDTH, source_name, source=source,
+ r = fig.vbar('index', BAR_WIDTH, source_name, source=source,
legend_label=LegendStr(legend_label), color=color)
elif is_scatter:
r = fig.scatter(
From b4bc12367bf37269dc8ea7d13c6cafde33ca5617 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@hotmail.com>
Date: Tue, 15 Jun 2021 00:06:51 -0700
Subject: [PATCH 25/28] Fix lint issues kernc#195
---
backtesting/_plotting.py | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index 2535b8ad..7197c0c2 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -535,7 +535,7 @@ def __eq__(self, other):
ohlc_extreme_values[source_name] = arr
if is_histogram:
fig.vbar('index', BAR_WIDTH, source_name, source=source,
- legend_label=legend_label, color=color)
+ legend_label=legend_label, color=color)
elif is_scatter:
fig.scatter(
'index', source_name, source=source,
@@ -550,7 +550,7 @@ def __eq__(self, other):
else:
if is_histogram:
r = fig.vbar('index', BAR_WIDTH, source_name, source=source,
- legend_label=LegendStr(legend_label), color=color)
+ legend_label=LegendStr(legend_label), color=color)
elif is_scatter:
r = fig.scatter(
'index', source_name, source=source,
From 67e2fff9fbc8a766022ffb5a047dad820da3bd19 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@hotmail.com>
Date: Tue, 15 Jun 2021 00:10:29 -0700
Subject: [PATCH 26/28] Fix lint issues kernc#195
---
backtesting/_plotting.py | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index 7197c0c2..c4881eef 100644
--- a/backtesting/_plotting.py
+++ b/backtesting/_plotting.py
@@ -535,7 +535,7 @@ def __eq__(self, other):
ohlc_extreme_values[source_name] = arr
if is_histogram:
fig.vbar('index', BAR_WIDTH, source_name, source=source,
- legend_label=legend_label, color=color)
+ legend_label=legend_label, color=color)
elif is_scatter:
fig.scatter(
'index', source_name, source=source,
@@ -550,7 +550,7 @@ def __eq__(self, other):
else:
if is_histogram:
r = fig.vbar('index', BAR_WIDTH, source_name, source=source,
- legend_label=LegendStr(legend_label), color=color)
+ legend_label=LegendStr(legend_label), color=color)
elif is_scatter:
r = fig.scatter(
'index', source_name, source=source,
From 8a687570b6694c36d9968cbb9b312304b446fe01 Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@hotmail.com>
Date: Tue, 15 Jun 2021 00:13:16 -0700
Subject: [PATCH 27/28] Fix lint issues kernc#195
---
backtesting/backtesting.py | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
diff --git a/backtesting/backtesting.py b/backtesting/backtesting.py
index f5b47b35..41b7a7d5 100644
--- a/backtesting/backtesting.py
+++ b/backtesting/backtesting.py
@@ -106,7 +106,7 @@ def I(self, # noqa: E741, E743
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
+ 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
From dc3ffd9ef69135996b957b2f1d6fea39d83ab4bc Mon Sep 17 00:00:00 2001
From: Zeel Patel <zlpatel@hotmail.com>
Date: Mon, 14 Jun 2021 23:15:03 -0700
Subject: [PATCH 28/28] Add Histogram indicator plot style kernc#195
---
backtesting/_plotting.py | 11 +++++++++--
backtesting/backtesting.py | 8 ++++++--
backtesting/test/_test.py | 18 ++++++++++++++++++
3 files changed, 33 insertions(+), 4 deletions(-)
diff --git a/backtesting/_plotting.py b/backtesting/_plotting.py
index 0ecd0d45..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:
@@ -536,7 +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,
@@ -548,7 +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,
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/test/_test.py b/backtesting/test/_test.py
index e4cc8d05..0b0c1a51 100644
--- a/backtesting/test/_test.py
+++ b/backtesting/test/_test.py
@@ -772,6 +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):