Trailing pct instead of ATR kernc#223

backtesting/lib.py

@@ -451,6 +451,24 @@ def next(self):
                 trade.sl = min(trade.sl or np.inf,
                                self.data.Close[index] + self.__atr[index] * self.__n_atr)
 
+class PercentageTrailingStrategy(Strategy):
+    _sl_percent = 5
+    def init(self):
+        super().init()
+
+    def set_trailing_sl(self, percentage: float = 5):
+        self._sl_percent = percentage
+
+    def next(self):
+        super().next()
+        index = len(self.data)-1
+        for trade in self.trades:
+            if trade.is_long:
+                trade.sl = max(trade.sl or -np.inf,
+                               self.data.Close[index]*(1-(self._sl_percent/100)))
+            else:
+                trade.sl = min(trade.sl or np.inf,
+                               self.data.Close[index]*(1+(self._sl_percent/100)))
 
 # Prevent pdoc3 documenting __init__ signature of Strategy subclasses
 for cls in list(globals().values()):