78 lines
2.6 KiB
Python
78 lines
2.6 KiB
Python
# hydra/backtest/broker.py
|
|
from hydra.backtest.result import Trade
|
|
from hydra.data.models import Candle
|
|
from hydra.strategy.signal import Signal
|
|
|
|
|
|
class BacktestBroker:
|
|
def __init__(
|
|
self,
|
|
initial_capital: float,
|
|
trade_amount_usd: float,
|
|
commission_pct: float = 0.001,
|
|
):
|
|
self._capital = initial_capital
|
|
self._trade_amount = trade_amount_usd
|
|
self._commission = commission_pct
|
|
self._position: dict | None = None # {entry_price, qty, entry_ts, entry_reason}
|
|
self._trades: list[Trade] = []
|
|
self._equity_curve: list[dict] = []
|
|
|
|
def on_signal(self, signal: Signal, candle: Candle) -> None:
|
|
if signal.signal == "BUY" and self._position is None:
|
|
qty = self._trade_amount / candle.close
|
|
commission = self._trade_amount * self._commission
|
|
self._capital -= commission
|
|
self._position = {
|
|
"entry_price": candle.close,
|
|
"qty": qty,
|
|
"entry_ts": candle.open_time,
|
|
"entry_reason": signal.reason,
|
|
}
|
|
elif signal.signal == "SELL" and self._position is not None:
|
|
self.close_open_position(
|
|
price=candle.close,
|
|
ts=candle.open_time,
|
|
reason=signal.reason,
|
|
)
|
|
self._equity_curve.append({"ts": candle.open_time, "equity": self.equity})
|
|
|
|
def close_open_position(
|
|
self, price: float, ts: int, reason: str = "backtest_end"
|
|
) -> None:
|
|
if self._position is None:
|
|
return
|
|
pos = self._position
|
|
gross_pnl = (price - pos["entry_price"]) * pos["qty"]
|
|
commission = price * pos["qty"] * self._commission
|
|
net_pnl = gross_pnl - commission
|
|
pnl_pct = (price - pos["entry_price"]) / pos["entry_price"] * 100
|
|
self._capital += net_pnl
|
|
self._trades.append(Trade(
|
|
market="",
|
|
symbol="",
|
|
entry_price=pos["entry_price"],
|
|
exit_price=price,
|
|
qty=pos["qty"],
|
|
pnl_usd=round(net_pnl, 6),
|
|
pnl_pct=round(pnl_pct, 4),
|
|
entry_ts=pos["entry_ts"],
|
|
exit_ts=ts,
|
|
entry_reason=pos["entry_reason"],
|
|
exit_reason=reason,
|
|
))
|
|
self._position = None
|
|
self._equity_curve.append({"ts": ts, "equity": self.equity})
|
|
|
|
@property
|
|
def trades(self) -> list[Trade]:
|
|
return self._trades
|
|
|
|
@property
|
|
def equity_curve(self) -> list[dict]:
|
|
return self._equity_curve
|
|
|
|
@property
|
|
def equity(self) -> float:
|
|
return self._capital
|