CODEWITHSUNDEEP
pythonalgorithmic-tradingback-testingvectorbt
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adsjr

Reputation: 15

Vectorbt Setting exit trade with max duration

I am a vectorbt newbie. so far I have been successfully setup many parameters, but what I cannot find is a way of exiting the trade if the max number of bars is reached

This is my current function:

def indicators(close,rsiPeriod,rsiEntry,rsiExit,kerLength,kerThreshold):
    
    # RSI
    delta = close.diff()
    gain = (delta.where(delta > 0, 0)).rolling(window=rsiPeriod).mean()
    loss = (-delta.where(delta < 0, 0)).rolling(window=rsiPeriod).mean()
    rs = gain / loss
    rsi = 100 - (100 / (1 + rs))
    
    # Calculate absolute price change over the length period
    change = abs(close - close.shift(kerLength))
    # Calculate volatility (sum of absolute 1-period changes)
    volatility = close.diff().abs().rolling(window=kerLength).sum()
    # Calculate KER
    ker = change / volatility
    
    trend = np.where(rsi > rsiExit, -1, 0)
    trend = np.where((rsi < rsiEntry)& (ker > kerThreshold), 1, trend)
    
    return trend

I want to add a new parameter maxBars so that the exit (trend = -1) should be (rsi > rsiExit) OR (number of bars since open = maxBars).

i can't find it anywhere. Any help is appreciated.

Upvotes: 0

Views: 19

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