ENH: Add the possibility to close trades at end of bt.run (kernc#273 & kernc#343)

Author: Benouare

CHANGELOG.md

@@ -3,7 +3,9 @@ What's New
 
 These were the major changes contributing to each release:
 
-### 0.x.x
+
+### 0.3.2
+* new param on run to manage close, or not the trades at end (#273)
 
 
 ### 0.3.3
@@ -132,4 +134,4 @@ These were the major changes contributing to each release:
 ### 0.1.0
 (2019-01-15)
 
-* Initial release
+* Initial release

backtesting/backtesting.py

@@ -1030,7 +1030,8 @@ def __init__(self,
                  margin: float = 1.,
                  trade_on_close=False,
                  hedging=False,
-                 exclusive_orders=False
+                 exclusive_orders=False,
+                 close_all_at_end=False
                  ):
         """
         Initialize a backtest. Requires data and a strategy to test.
@@ -1075,6 +1076,9 @@ def __init__(self,
         trade/position, making at most a single trade (long or short) in effect
         at each time.
 
+        If `close_all_at_end` is `False`, the trade will not be close at end,
+        and will not apear in _Stats.
+
         [FIFO]: https://www.investopedia.com/terms/n/nfa-compliance-rule-2-43b.asp
         """
 
@@ -1124,7 +1128,7 @@ def __init__(self,
             warnings.warn('Data index is not datetime. Assuming simple periods, '
                           'but `pd.DateTimeIndex` is advised.',
                           stacklevel=2)
-
+        self._close_all_at_end = bool(close_all_at_end)
         self._data: pd.DataFrame = data
         self._broker = partial(
             _Broker, cash=cash, commission=commission, margin=margin,
@@ -1218,14 +1222,15 @@ def run(self, **kwargs) -> pd.Series:
                 # Next tick, a moment before bar close
                 strategy.next()
             else:
-                # Close any remaining open trades so they produce some stats
-                for trade in broker.trades:
-                    trade.close()
-
-                # Re-run broker one last time to handle orders placed in the last strategy
-                # iteration. Use the same OHLC values as in the last broker iteration.
-                if start < len(self._data):
-                    try_(broker.next, exception=_OutOfMoneyError)
+                if self._close_all_at_end is True:
+                    # Close any remaining open trades so they produce some stats
+                    for trade in broker.trades:
+                        trade.close()
+
+                    # Re-run broker one last time to handle orders placed in the last strategy
+                    # iteration. Use the same OHLC values as in the last broker iteration.
+                    if start < len(self._data):
+                        try_(broker.next, exception=_OutOfMoneyError)
 
             # Set data back to full length
             # for future `indicator._opts['data'].index` calls to work

backtesting/test/_test.py

@@ -218,7 +218,7 @@ def next(self, _FEW_DAYS=pd.Timedelta('3 days')):  # noqa: N803
         bt = Backtest(GOOG, Assertive)
         with self.assertWarns(UserWarning):
             stats = bt.run()
-        self.assertEqual(stats['# Trades'], 145)
+        self.assertEqual(stats['# Trades'], 144)
 
     def test_broker_params(self):
         bt = Backtest(GOOG.iloc[:100], SmaCross,
@@ -251,7 +251,7 @@ def test_compute_drawdown(self):
         np.testing.assert_array_equal(peaks, pd.Series([7, 4], index=[3, 5]).reindex(dd.index))
 
     def test_compute_stats(self):
-        stats = Backtest(GOOG, SmaCross).run()
+        stats = Backtest(GOOG, SmaCross, close_all_at_end=True).run()
         expected = pd.Series({
                 # NOTE: These values are also used on the website!
                 '# Trades': 66,
@@ -401,7 +401,32 @@ def next(self):
                 elif len(self.data) == len(SHORT_DATA):
                     self.position.close()
 
-        self.assertFalse(Backtest(SHORT_DATA, S).run()._trades.empty)
+        self.assertTrue(Backtest(SHORT_DATA, S).run()._trades.empty)
+
+    def test_dont_close_orders_from_last_strategy_iteration(self):
+        class S(Strategy):
+            def init(self): pass
+
+            def next(self):
+                if not self.position:
+                    self.buy()
+                elif len(self.data) == len(SHORT_DATA):
+                    self.position.close()
+        self.assertEqual(len(
+            Backtest(SHORT_DATA, S, close_all_at_end=False).run()._strategy.closed_trades), 0)
+        self.assertEqual(len(
+            Backtest(SHORT_DATA, S, close_all_at_end=False).run()._strategy.trades), 1)
+
+    def test_dont_close_orders_trades_from_last_strategy_iteration(self):
+        class S(Strategy):
+            def init(self): pass
+
+            def next(self):
+                if not self.position:
+                    self.buy()
+
+        self.assertEqual(len(
+            Backtest(SHORT_DATA, S, close_all_at_end=False).run()._strategy.trades), 1)
 
     def test_check_adjusted_price_when_placing_order(self):
         class S(Strategy):
@@ -503,7 +528,7 @@ def test_autoclose_trades_on_finish(self):
         def coroutine(self):
             yield self.buy()
 
-        stats = self._Backtest(coroutine).run()
+        stats = self._Backtest(coroutine, close_all_at_end=True).run()
         self.assertEqual(len(stats._trades), 1)
 
     def test_order_tag(self):
@@ -873,7 +898,7 @@ def init(self):
                                 self.data.Close < sma)
 
         stats = Backtest(GOOG, S).run()
-        self.assertIn(stats['# Trades'], (1181, 1182))  # varies on different archs?
+        self.assertIn(stats['# Trades'], (1179, 1180))  # varies on different archs?
 
     def test_TrailingStrategy(self):
         class S(TrailingStrategy):
@@ -889,7 +914,7 @@ def next(self):
                     self.buy()
 
         stats = Backtest(GOOG, S).run()
-        self.assertEqual(stats['# Trades'], 57)
+        self.assertEqual(stats['# Trades'], 56)
 
 
 class TestUtil(TestCase):