Implemented TP, SL, TSL

backtesting.go

@@ -20,7 +20,8 @@ import (
 var (
 	ErrEOF            = errors.New("end of the input data")
 	ErrNoData         = errors.New("no data")
-	ErrPositionClosed = errors.New("position closed")
+	ErrPositionClosed = errors.New("position already closed")
+	ErrZeroUnits      = errors.New("no amount of units specifed")
 )
 
 var _ Broker = (*TestBroker)(nil) // Compile-time interface check.
@@ -56,9 +57,11 @@ func Backtest(trader *Trader) {
 		{
 			w := tabwriter.NewWriter(os.Stdout, 0, 0, 1, ' ', 0)
 			fmt.Fprintln(w)
+			fmt.Fprintf(w, "Timespan:\t%s\t\n", stats.Dated.Date(-1).Sub(stats.Dated.Date(0)).Round(time.Second))
 			fmt.Fprintf(w, "Net Profit:\t$%.2f (%.2f%%)\t\n", profit, 100*profit/stats.Dated.Float("Equity", 0))
 			fmt.Fprintf(w, "Profit Factor:\t%.2f\t\n", profitFactor)
 			fmt.Fprintf(w, "Max Drawdown:\t$%.2f (%.2f%%)\t\n", maxDrawdown, maxDrawdownPct)
+			fmt.Fprintf(w, "Spread collected:\t$%.2f\t\n", broker.spreadCollectedUSD)
 			fmt.Fprintln(w)
 			w.Flush()
 		}
@@ -331,6 +334,7 @@ type TestBroker struct {
 	candleCount        int // The number of candles anyone outside this broker has seen. Also equal to the number of times Candles has been called.
 	orders             []Order
 	positions          []Position
+	spreadCollectedUSD float64 // Total amount of spread collected from trades.
 }
 
 func NewTestBroker(dataBroker Broker, data *DataFrame, cash, leverage, spread float64, startCandles int) *TestBroker {
@@ -340,25 +344,70 @@ func NewTestBroker(dataBroker Broker, data *DataFrame, cash, leverage, spread fl
 		Cash:        cash,
 		Leverage:    Max(leverage, 1),
 		Spread:      spread,
-		Slippage:    0.005, // Price +/- 0.5%
+		Slippage:    0.005, // Price +/- up to 0.5% by a random amount.
 		candleCount: Max(startCandles, 1),
 	}
 }
 
+// SpreadCollected returns the total amount of spread collected from trades, in USD.
+func (b *TestBroker) SpreadCollected() float64 {
+	return b.spreadCollectedUSD
+}
+
 // CandleIndex returns the index of the current candle.
 func (b *TestBroker) CandleIndex() int {
 	return Max(b.candleCount-1, 0)
 }
 
 // Advance advances the test broker to the next candle in the input data. This should be done at the end of the
-// strategy loop.
+// strategy loop. This will also call Tick() to update orders and positions.
 func (b *TestBroker) Advance() {
 	if b.candleCount < b.Data.Len() {
 		b.candleCount++
 	}
+	b.Tick()
 }
 
-// Bid returns the price a seller pays for the current candle.
+func (b *TestBroker) Tick() {
+	// Check if the current candle's high and lows contain any take profits or stop losses.
+	high, low := b.Data.High(b.CandleIndex()), b.Data.Low(b.CandleIndex())
+	for _, any_p := range b.positions {
+		if any_p.Closed() {
+			continue
+		}
+		p := any_p.(*TestPosition)
+		price := b.Price("", p.units < 0) // We want to buy if we are short, and vice versa.
+
+		if p.trailingSLDist > 0 {
+			p.trailingSL = Max(p.trailingSL, price-p.trailingSLDist)
+		}
+
+		// Check if the position should be closed.
+		if p.takeProfit > 0 {
+			if (p.units > 0 && p.takeProfit <= high) || (p.units < 0 && p.takeProfit >= low) {
+				p.close(p.takeProfit, closeTypeTakeProfit)
+			}
+		} else if p.stopLoss > 0 {
+			if (p.units > 0 && p.stopLoss >= low) || (p.units < 0 && p.stopLoss <= high) {
+				p.close(p.stopLoss, closeTypeStopLoss)
+			}
+		} else if p.trailingSL > 0 {
+			if (p.units > 0 && p.trailingSL >= low) || (p.units < 0 && p.trailingSL <= high) {
+				p.close(p.trailingSL, closeTypeTrailingStop)
+			}
+		}
+	}
+}
+
+// Price returns the ask price if wantToBuy is true and the bid price if wantToBuy is false.
+func (b *TestBroker) Price(symbol string, wantToBuy bool) float64 {
+	if wantToBuy {
+		return b.Ask(symbol)
+	}
+	return b.Bid(symbol)
+}
+
+// Bid returns the price a seller receives for the current candle.
 func (b *TestBroker) Bid(_ string) float64 {
 	return b.Data.Close(b.CandleIndex())
 }
@@ -390,6 +439,9 @@ func (b *TestBroker) Candles(symbol string, frequency string, count int) (*DataF
 }
 
 func (b *TestBroker) MarketOrder(symbol string, units float64, stopLoss, takeProfit float64) (Order, error) {
+	if units == 0 {
+		return nil, ErrZeroUnits
+	}
 	if b.Data == nil { // The DataBroker could have data but nobody has fetched it, yet.
 		if b.DataBroker == nil {
 			return nil, ErrNoData
@@ -400,28 +452,32 @@ func (b *TestBroker) MarketOrder(symbol string, units float64, stopLoss, takePro
 		}
 	}
 
-	var price float64
+	price := b.Price("", units > 0)
-	if units < 0 {
-		price = b.Bid("")
-	} else {
-		price = b.Ask("")
-	}
 
 	slippage := rand.Float64() * b.Slippage * price
 	price += slippage - slippage/2 // Get a slippage as +/- 50% of the slippage.
 
+	var trailingSL float64
+	if stopLoss < 0 {
+		trailingSL = -stopLoss
+	}
+
 	order := &TestOrder{
 		id:         strconv.Itoa(rand.Int()),
 		leverage:   b.Leverage,
 		position:   nil,
 		price:      price,
 		symbol:     symbol,
-		stopLoss:   stopLoss,
 		takeProfit: takeProfit,
 		time:       time.Now(),
 		orderType:  MarketOrder,
 		units:      units,
 	}
+	if trailingSL > 0 {
+		order.trailingSL = trailingSL
+	} else {
+		order.stopLoss = stopLoss
+	}
 
 	// Instantly fulfill the order.
 	order.position = &TestPosition{
@@ -431,11 +487,15 @@ func (b *TestBroker) MarketOrder(symbol string, units float64, stopLoss, takePro
 		id:         strconv.Itoa(rand.Int()),
 		leverage:   b.Leverage,
 		symbol:     symbol,
-		stopLoss:   stopLoss,
 		takeProfit: takeProfit,
 		time:       time.Now(),
 		units:      units,
 	}
+	if trailingSL > 0 {
+		order.position.trailingSLDist = trailingSL
+	} else {
+		order.position.stopLoss = stopLoss
+	}
 	b.Cash -= order.position.EntryValue()
 
 	b.orders = append(b.orders, order)
@@ -497,9 +557,12 @@ type TestPosition struct {
 	closed         bool
 	entryPrice     float64
 	closePrice     float64 // If zero, then position has not been closed.
+	closeType      string  // SL, TS, TP
 	id             string
 	leverage       float64
 	symbol         string
+	trailingSL     float64 // the price of the trailing stop loss as assigned by broker Tick().
+	trailingSLDist float64 // serves to calculate the trailing stop loss at the broker.
 	stopLoss       float64
 	takeProfit     float64
 	time           time.Time
@@ -507,24 +570,37 @@ type TestPosition struct {
 }
 
 func (p *TestPosition) Close() error {
+	p.close(p.broker.Price("", p.units < 0), closeTypeMarket)
+	return nil
+}
+
+const (
+	closeTypeMarket       = "M"
+	closeTypeStopLoss     = "SL"
+	closeTypeTrailingStop = "TS"
+	closeTypeTakeProfit   = "TP"
+)
+
+func (p *TestPosition) close(atPrice float64, closeType string) {
 	if p.closed {
-		return ErrPositionClosed
+		return
 	}
 	p.closed = true
-	if p.units < 0 {
+	p.closePrice = atPrice
-		p.closePrice = p.broker.Ask("") // Ask because we are short so we have to buy.
+	p.closeType = closeType
-	} else {
-		p.closePrice = p.broker.Bid("") // Ask because we are long so we have to sell.
-	}
 	p.broker.Cash += p.Value() // Return the value of the position to the broker.
+	p.broker.spreadCollectedUSD += p.broker.Spread * p.units
 	p.broker.SignalEmit("PositionClosed", p)
-	return nil
 }
 
 func (p *TestPosition) Closed() bool {
 	return p.closed
 }
 
+func (p *TestPosition) CloseType() string {
+	return p.closeType
+}
+
 func (p *TestPosition) EntryPrice() float64 {
 	return p.entryPrice
 }
@@ -553,6 +629,10 @@ func (p *TestPosition) Symbol() string {
 	return p.symbol
 }
 
+func (p *TestPosition) TrailingStop() float64 {
+	return p.trailingSL
+}
+
 func (p *TestPosition) StopLoss() float64 {
 	return p.stopLoss
 }
@@ -573,13 +653,7 @@ func (p *TestPosition) Value() float64 {
 	if p.closed {
 		return p.closePrice * p.units
 	}
-	var price float64
+	return p.broker.Price("", p.units > 0) * p.units
-	if p.units < 0 {
-		price = p.broker.Ask("")
-	} else {
-		price = p.broker.Bid("")
-	}
-	return price * p.units
 }
 
 type TestOrder struct {
@@ -588,6 +662,7 @@ type TestOrder struct {
 	position   *TestPosition
 	price      float64
 	symbol     string
+	trailingSL float64
 	stopLoss   float64
 	takeProfit float64
 	time       time.Time
@@ -623,6 +698,10 @@ func (o *TestOrder) Symbol() string {
 	return o.symbol
 }
 
+func (o *TestOrder) TrailingStop() float64 {
+	return o.trailingSL
+}
+
 func (o *TestOrder) StopLoss() float64 {
 	return o.stopLoss
 }

backtesting_test.go

@@ -14,7 +14,7 @@ const testDataCSV = `date,open,high,low,close,volume
 2022-01-05,1.1,1.2,1.0,1.15,110
 2022-01-06,1.15,1.2,1.1,1.2,120
 2022-01-07,1.2,1.3,1.15,1.25,140
-2022-01-08,1.25,1.3,1.2,1.1,150
+2022-01-08,1.25,1.3,1.0,1.1,150
 2022-01-09,1.1,1.4,1.0,1.3,220`
 
 func newTestingDataframe() *DataFrame {
@@ -180,3 +180,98 @@ func TestBacktestingBrokerOrders(t *testing.T) {
 		t.Errorf("Expected broker PL to be 2500, got %f", broker.PL())
 	}
 }
+
+func TestBacktestingBrokerStopLimitOrders(t *testing.T) {
+	data := newTestingDataframe()
+	broker := NewTestBroker(nil, data, 100_000, 50, 0, 0)
+	broker.Slippage = 0
+
+	order, err := broker.MarketOrder("", 10_000, 1.05, 1.25)
+	if err != nil {
+		t.Fatal(err)
+	}
+	if order == nil {
+		t.Fatal("Order is nil")
+	}
+	if order.StopLoss() != 1.05 {
+		t.Errorf("Expected stop loss to be 1.1, got %f", order.StopLoss())
+	}
+	if order.TakeProfit() != 1.25 {
+		t.Errorf("Expected take profit to be 1.25, got %f", order.TakeProfit())
+	}
+
+	position := order.Position()
+	if position == nil {
+		t.Fatal("Position is nil")
+	}
+	if position.StopLoss() != 1.05 {
+		t.Errorf("Expected stop loss to be 1.1, got %f", position.StopLoss())
+	}
+	if position.TakeProfit() != 1.25 {
+		t.Errorf("Expected take profit to be 1.25, got %f", position.TakeProfit())
+	}
+
+	broker.Advance()
+	broker.Advance() // Now we're at the third candle which hits our take profit
+
+	if position.Closed() != true {
+		t.Error("Expected position to be closed")
+	}
+	if position.ClosePrice() != 1.25 {
+		t.Errorf("Expected close price to be 1.25, got %f", position.ClosePrice())
+	}
+	if !EqualApprox(position.PL(), 1000) { // (1.25-1.15) * 10_000 = 1000
+		t.Errorf("Expected position PL to be 1000, got %f", position.PL())
+	}
+
+	broker.Advance() // 4th candle
+
+	order, err = broker.MarketOrder("", 10_000, -0.2, 1.4) // Long position with trailing stop loss of 0.2.
+	if err != nil {
+		t.Fatal(err)
+	}
+	if order == nil {
+		t.Fatal("Order is nil")
+	}
+	if order.StopLoss() != 0 {
+		t.Errorf("Expected stop loss to be 0, got %f", order.StopLoss())
+	}
+	if order.TakeProfit() != 1.4 {
+		t.Errorf("Expected take profit to be 1.4, got %f", order.TakeProfit())
+	}
+	if !EqualApprox(order.TrailingStop(), 0.2) { // Orders return the distance to the trailing stop loss.
+		t.Errorf("Expected trailing stop to be 0.2, got %f", order.TrailingStop())
+	}
+
+	broker.Advance() // Cause the position to get updated.
+	position = order.Position()
+	if position == nil {
+		t.Fatal("Position is nil")
+	}
+	if position.Closed() {
+		t.Error("Expected position to be open")
+	}
+	if position.StopLoss() != 0 {
+		t.Errorf("Expected stop loss to be 0, got %f", position.StopLoss())
+	}
+	if position.TakeProfit() != 1.4 {
+		t.Errorf("Expected take profit to be 1.4, got %f", position.TakeProfit())
+	}
+	if !EqualApprox(position.TrailingStop(), 0.95) { // Positions return the actual trailing stop loss price.
+		t.Errorf("Expected trailing stop to be 0.95, got %f", position.TrailingStop())
+	}
+
+	for !position.Closed() {
+		broker.Advance() // Advance until position is closed.
+	}
+
+	if !EqualApprox(position.ClosePrice(), 1.05) {
+		t.Errorf("Expected close price to be 1.05, got %f", position.ClosePrice())
+	}
+	if !EqualApprox(position.PL(), -500) { // (1.05-1.1) * 10_000 = -500
+		t.Errorf("Expected position PL to be 1000, got %f", position.PL())
+	}
+	if position.CloseType() != closeTypeTrailingStop {
+		t.Errorf("Expected close type to be %q, got %q", closeTypeTrailingStop, position.CloseType())
+	}
+}

broker.go

@@ -28,6 +28,7 @@ type Order interface {
 	Position() Position    // Position returns the position of the order. If the order has not been filled, nil is returned.
 	Price() float64        // Price returns the price of the symbol at the time the order was placed.
 	Symbol() string        // Symbol returns the symbol name of the order.
+	TrailingStop() float64 // TrailingStop returns the trailing stop loss distance of the order.
 	StopLoss() float64     // StopLoss returns the stop loss price of the order.
 	TakeProfit() float64   // TakeProfit returns the take profit price of the order.
 	Time() time.Time       // Time returns the time the order was placed.
@@ -38,6 +39,7 @@ type Order interface {
 type Position interface {
 	Close() error          // Close attempts to close the position and returns an error if it fails. If the error is nil, the position was closed.
 	Closed() bool          // Closed returns true if the position has been closed with the broker.
+	CloseType() string     // CloseType returns the type of order used to close the position.
 	ClosePrice() float64   // ClosePrice returns the price of the symbol at the time the position was closed. May be zero if the position is still open.
 	EntryPrice() float64   // EntryPrice returns the price of the symbol at the time the position was opened.
 	EntryValue() float64   // EntryValue returns the value of the position at the time it was opened.
@@ -45,6 +47,7 @@ type Position interface {
 	Leverage() float64     // Leverage returns the leverage of the position.
 	PL() float64           // PL returns the profit or loss of the position.
 	Symbol() string        // Symbol returns the symbol name of the position.
+	TrailingStop() float64 // TrailingStop returns the trailing stop loss price of the position.
 	StopLoss() float64     // StopLoss returns the stop loss price of the position.
 	TakeProfit() float64   // TakeProfit returns the take profit price of the position.
 	Time() time.Time       // Time returns the time the position was opened.
@@ -57,10 +60,12 @@ type Position interface {
 //   - PositionClosed(Position) - Emitted after a position is closed either manually or automatically.
 type Broker interface {
 	Signaler
+	Price(symbol string, wantToBuy bool) float64 // Price returns the ask price if wantToBuy is true and the bid price if wantToBuy is false.
 	Bid(symbol string) float64                   // Bid returns the sell price of the symbol.
 	Ask(symbol string) float64                   // Ask returns the buy price of the symbol, which is typically higher than the sell price.
 	// Candles returns a dataframe of candles for the given symbol, frequency, and count by querying the broker.
 	Candles(symbol, frequency string, count int) (*DataFrame, error)
+	// MarketOrder places a market order for the given symbol and returns an error if it fails. A short position has negative units. If stopLoss or takeProfit are zero, they will not be set. If stopLoss is greater than the current price for a long position or less than the current price for a short position, the order will fail. Likewise for takeProfit. If the stopLoss is a negative number, it is used as a trailing stop loss to represent how many price points away the stop loss should be from the current price.
 	MarketOrder(symbol string, units, stopLoss, takeProfit float64) (Order, error)
 	NAV() float64 // NAV returns the net asset value of the account.
 	PL() float64  // PL returns the profit or loss of the account.

oanda/oanda.go

@@ -42,6 +42,14 @@ func NewOandaBroker(token, accountID string, practice bool) *OandaBroker {
 	}
 }
 
+// Price returns the ask price if wantToBuy is true and the bid price if wantToBuy is false.
+func (b *OandaBroker) Price(symbol string, wantToBuy bool) float64 {
+	if wantToBuy {
+		return b.Ask(symbol)
+	}
+	return b.Bid(symbol)
+}
+
 func (b *OandaBroker) Bid(symbol string) float64 {
 	return 0
 }