def check_position(candle: OHLCV, trade):
# Check position status
global max_margin_used
global pos
global pl
global plot_sell_index
global plot_sell_value
global plot_buy_index
global plot_buy_value
global plot_pl_index
global plot_pl_value
if pos.status == 'ACTIVE':
pos.calc(trade)
if not pos.trailing and pos.pl_pct <= -add_percent and abs(pos.amount * pos.base) < margin:
pos.add(trade['price'], pos.amount)
pos.calc(trade)
logging.info('Add ' + str(pos.amount) + '@' + str(trade['price']) + '- base: ' + str(pos.base))
if not pos.trailing and pos.pl_pct <= -stop_pct:
pos.close()
if not pos.trailing and pos.pl_pct >= trailing_profit_pct:
pos.trailing_stop(trailing_stop_pct)
if pos.status != "CLOSED" and pos.trailing:
pos.trailing_stop(trailing_stop_pct)
if pos.status == "CLOSED":
if pos.trailing:
logging.info('Close position by trailing @ ' + str(trade['price']) + ' @ ' + str(pos.pl_pct))
else:
logging.info('Close position by stop-loss @ ' + str(trade['price']) + ' @ ' + str(pos.pl_pct))
if pos.amount > 0:
plot_sell_index.append(datetime.fromtimestamp(float(candle.start / 1000)))
plot_sell_value.append(candle.close)
else:
plot_buy_index.append(datetime.fromtimestamp(float(candle.start / 1000)))
plot_buy_value.append(candle.close)
pl += pos.pl - (pos.fee * 2)
plot_pl_index.append(datetime.fromtimestamp(float(candle.start / 1000)))
plot_pl_value.append(pl)
logging.info('PL: ' + str(pl))
positions.append(pos)
if pos.amount * pos.base > max_margin_used:
max_margin_used = pos.amount * pos.base
pos = Position()
trailing_profit_pct = 2
trailing_stop_pct = 0.2
# Stop loss percent
stop_pct = 10
# print(start, end)
# Get trades data from db
trade_cursor = trades.find({"selector": selector, "time": {"$lte": end, "$gte": start}}).sort([("time", 1)])
# Back testing
candle = OHLCV()
macd = MACD(macd_short, macd_long)
strategy = Extend(min_len=min_length, max_len=max_length, diff=diff)
order = None
pos = Position()
positions = []
last_signal = None
pl = 0
max_margin_used = 0
plot_price_index = []
plot_price_value = []
plot_buy_index = []
plot_buy_value = []
plot_sell_index = []
plot_sell_value = []
plot_pl_index = []
plot_pl_value = []
plot_macd_short = []
plot_macd_long = []
def setupPosition(self, pair):
return Position(pair)
