re added that sr_fib and rr_ratio parameters in backtest

gnovelli · Aug 1, 2021 · cf72e30 · cf72e30
1 parent 99ecf32
commit cf72e30
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Showing 2 changed files with 8 additions and 3 deletions.
diff --git a/python/fastquant/backtest/backtest.py b/python/fastquant/backtest/backtest.py
@@ -59,6 +59,7 @@ def backtest(
     plot=True,
     fractional=False,
     rr_ratio=None,
+    sr_fib=None,
     verbose=1,
     sort_by="rnorm",
     sentiments=[],
@@ -151,7 +152,8 @@ def backtest(
                 symbol=symbol,
                 allow_short=allow_short,
                 fractional=fractional,
-                # rr_ratio=rr_ratio,
+                rr_ratio=rr_ratio,
+                sr_fib=sr_fib,
                 short_max=short_max,
                 **params,
             )
@@ -176,7 +178,8 @@ def backtest(
             channel=channel,
             symbol=symbol,
             fractional=fractional,
-            # rr_ratio=rr_ratio,
+            rr_ratio=rr_ratio,
+            sr_fib=sr_fib,
             allow_short=allow_short,
             short_max=short_max,
             **kwargs,

diff --git a/python/fastquant/strategies/base.py b/python/fastquant/strategies/base.py
@@ -48,7 +48,9 @@ class BaseStrategy(bt.Strategy):
         ("init_cash", INIT_CASH),
         ("buy_prop", BUY_PROP),
         ("sell_prop", SELL_PROP),
-        ("fractional", False),  
+        ("fractional", False),
+        ("rr_ratio", None),
+        ("sr_fib", None),  
         ("commission", COMMISSION_PER_TRANSACTION),
         ("stop_loss", 0),  # Zero means no stop loss
         ("stop_trail", 0),  # Zero means no stop loss