using the barssince function to close a position after x bars

[BL0987]

Hi,

I am trying to backtest a strategy that closes x bars after entry. Would you please provide a 'barssince' code example for this?

thank you!

[peacerider]

Hello, here is one of example. (I am beginner of backtesting.py.)

from backtesting import Backtest, Strategy
from backtesting.lib import crossover
from backtesting.test import SMA, GOOG


class SmaCross(Strategy):
    n1 = 10
    n2 = 20
    current_bar = 0
    exit_bar = 20

    def init(self):
        close = self.data.Close
        self.sma1 = self.I(SMA, close, self.n1)
        self.sma2 = self.I(SMA, close, self.n2)

    def next(self):
        if crossover(self.sma1, self.sma2) and not self.position.is_long:
            self.buy()
        elif self.position.is_long:
            if self.current_bar == 0:
                self.current_bar = self.trades[0].entry_bar
            else:
                self.current_bar += 1
            
            if self.current_bar >= self.trades[0].entry_bar + self.exit_bar:
                self.position.close()
                self.current_bar = 0

bt = Backtest(GOOG, SmaCross,
              cash=10000, commission=.002,
              exclusive_orders=True)

output = bt.run()
bt.plot()

print(output)

[BL0987]

thank you for replying - I appreciate it.. I have found a way to do it also, but not using barssince.. here's one you might like:

import backtesting from backtesting import Strategy, Backtest import datetime

class CanStrat(Strategy):

def init(self):
    super().init()
    self.signal = self.I(SIGNAL)

def next(self):
    super().next()
    
    if self.signal == 1: 
        if not self.position:
            self.buy(size=0.99)
            
    if len(self.trades) > 0:
        if self.data.index[-1] - self.trades[-1].entry_time > datetime.timedelta(days=8):
            self.trades[-1].close()

bt = Backtest(df, CanStrat, cash=100_000, margin=1, exclusive_orders=True) stat = bt.run() stat

[peacerider]

Example you can change "condition" as you like. "condition" is needed to be sequence (Series etc).

from backtesting import Backtest, Strategy
from backtesting.lib import crossover
from backtesting.test import SMA, GOOG
import backtesting.lib as lib
import pandas as pd
import datetime as dt

GOOG = GOOG[dt.datetime(2005,1,1):dt.datetime(2005,12,31)]

class SmaCross(Strategy):
    n1 = 10
    n2 = 20

    def init(self):
        close = self.data.Close
        self.sma1 = self.I(SMA, close, self.n1)
        self.sma2 = self.I(SMA, close, self.n2)

    def next(self):
        condition = self.sma1 < self.sma2

        if crossover(self.sma1, self.sma2) and not self.position.is_long:
            self.buy()
        elif self.position.is_long and lib.barssince(condition) > 3:
            self.position.close()


bt = Backtest(GOOG, SmaCross,
              cash=10000, commission=.002,
              exclusive_orders=True)

output = bt.run()
bt.plot()