moen0
91 lines
3.2 KiB
Python
91 lines
3.2 KiB
Python
from data.model import Candle, Trade
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from strategies.base import SimpleStrategy
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def run_backtest(
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candles: list[Candle],
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strategy,
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starting_balance: float = 10000.0,
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risk_reward: float = 1.0
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) -> list[Trade]:
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"""
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Runs a backtest on a list of candles using the provided strategy.
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Returns a list of closed Trades.
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"""
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trades = []
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position = None
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# One-time preparation (e.g. pre-compute indicators)
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if hasattr(strategy, "prepare"):
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strategy.prepare(candles)
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for i, candle in enumerate(candles):
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# === 1. Check if we have an open position (SL/TP hit) ===
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if position is not None:
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hit_sl = False
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hit_tp = False
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exit_price = None
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if position["direction"] == "long":
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if candle.low <= position["stop_loss"]:
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hit_sl = True
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exit_price = position["stop_loss"]
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elif candle.high >= position["take_profit"]:
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hit_tp = True
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exit_price = position["take_profit"]
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else: # short
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if candle.high >= position["stop_loss"]:
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hit_sl = True
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exit_price = position["stop_loss"]
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elif candle.low <= position["take_profit"]:
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hit_tp = True
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exit_price = position["take_profit"]
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if hit_sl or hit_tp:
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# Calculate PnL
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if position["direction"] == "long":
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pnl = exit_price - position["entry_price"]
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else: # short
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pnl = position["entry_price"] - exit_price
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trade = Trade(
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enter_time=position["enter_time"],
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enter_price=position["entry_price"],
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direction=position["direction"],
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exit_time=candle.time_open,
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exit_price=exit_price,
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pnl=pnl
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)
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trades.append(trade)
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position = None
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# === 2. Look for new entry signal only if flat ===
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if position is None:
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signal = strategy.check_signal(candles, i) # Fixed: pass index instead of slicing
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if signal == "BUY":
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atr = candle.high - candle.low
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mult = getattr(strategy, "atr_mult", 0.5)
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bracket = atr * mult
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position = {
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"direction": "long",
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"entry_price": candle.close,
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"enter_time": candle.time_open,
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"stop_loss": candle.close - bracket,
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"take_profit": candle.close + (bracket * risk_reward),
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}
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elif signal == "SELL":
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atr = candle.high - candle.low
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mult = getattr(strategy, "atr_mult", 0.5)
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bracket = atr * mult
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position = {
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"direction": "short",
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"entry_price": candle.close,
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"enter_time": candle.time_open,
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"stop_loss": candle.close + bracket,
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"take_profit": candle.close - (bracket * risk_reward),
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}
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return trades |