def backtest(self, position_type, data, margin):
try:
''' Lot Number of unit
Standard 100,000
Mini 10,000
Micro 1,000
Nano 100
Position size = ((account value x risk per trade) / pips risked)/ pip value per standard lot
Margin Requirement = Current Price × Units Traded × Margin
'''
data['atr']=atr(list(data.bidclose), self.atr_period)
last_atr=data.atr.iloc[-1]
price=data.bidclose.iloc[-1]
stop_loss, limit, stop_loss_pip, limit_pip=self.stop_loss_limit(price, last_atr, position_type)
leverage=leverage_cal(self.symbol, margin)
standard_lot_pip_value=pip_value_cal(self.symbol, self.account_currency, price, 100000)
position_size=int(((((margin*self.risk_percent/100)/stop_loss_pip)/standard_lot_pip_value)*100)*1000)
required_margin=int(price*position_size/leverage)
c = CurrencyConverter()
required_margin=int(c.convert(required_margin, self.symbol[:3], self.account_currency))
pip_value=pip_value_cal(self.symbol, self.account_currency, price, position_size)
if self.symbol[3:]=='JPY':
required_margin=required_margin/100
return position_size, required_margin, stop_loss, limit, stop_loss_pip, limit_pip, pip_value
except Exception as e:
print(e, 'backtest')
def position_size_stop_loss(self, position_type):
try:
''' Lot Number of unit
Standard 100,000
Mini 10,000
Micro 1,000
Nano 100
Position size = ((account value x risk per trade) / pips risked)/ pip value per standard lot
Margin Requirement = Current Price × Units Traded × Margin
'''
data=self.db.query_price_data(self.symbol, self.timeframe, self.atr_period*2)
data['atr']=atr(list(data.bidclose), self.atr_period)
last_atr=data.atr.iloc[-1]
price=data.bidclose.iloc[-1]
fxcm_info=self.get_account_info()[0]
balance=fxcm_info[2]
stop_loss, limit, stop_loss_pip, limit_pip=self.stop_loss_limit(price, last_atr, position_type)
leverage=leverage_cal(self.symbol, balance)
standard_lot_pip_value=pip_value_cal(self.symbol, self.account_currency, price, 100000)
position_size=int(((((balance*self.risk_percent/100)/stop_loss_pip)/standard_lot_pip_value)*100)*1000)
required_margin=int(price*position_size/leverage)
c = CurrencyConverter()
required_margin=int(c.convert(required_margin, self.symbol[:3], self.account_currency))
if self.symbol[3:]=='JPY':
required_margin=required_margin/100
return position_size/1000, required_margin, stop_loss, limit, stop_loss_pip, limit_pip
except Exception as e:
print(e, 'position_size_stop_loss')