moen0
37 lines
1.2 KiB
Python
37 lines
1.2 KiB
Python
from data.model import Candle, Trade
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from strategies.base import SimpleStrategy
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# takes a list of Candles and a starting balance, and returns a list of Trades
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def run_backtest(candles: list[Candle], starting_balance: float) -> list[Trade]:
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balance = starting_balance
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trades = []
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position = None
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strategy = SimpleStrategy()
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for i, candle in enumerate(candles):
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# pass 'i' or the sliced history to the strategy
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signal = strategy.check_signal(candles[:i+1])
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# If signal and no position, open trade
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if signal == "BUY" and position is None:
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position = {
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"type": "long",
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"entry_price": candle.close,
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"enter_time": candle.time_open
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}
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# If signal and in position, close trade
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elif signal == "SELL" and position is not None:
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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="long",
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exit_time=candle.time_open,
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exit_price=candle.close,
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pnl=candle.close - position["entry_price"]
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)
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trades.append(trade)
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position = None
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return trades |