[Help needed] How to implement buy limit order & close opened trade after 10 days holding the stock

[tan-yong-sheng]

Hi all, I wanna ask if we could backtest this strategy with vectorbt (as shown in the image below).

I have found few challenges to implement the entries and exits as below:

1. entries - how to put buy limit order for vectorbt?
2. exits - how to close trade after trades opened for 10 days?

Hope for help, thank you.

[tan-yong-sheng]

For buy limit, I found here got the way to apply buy limit order: #64. But, still not so understand yet. Currently, looking into it, if anyone got any better ideas to implement buy limit order, hope for advice. Thanks.

[tan-yong-sheng]

@polakowo These are how I try to backtest this strategy: https://www.youtube.com/watch?v=CxFv_EUY0ZA as the image attached above

Let me clarify more about the entry and exit points as below

• Entry: Stock price above SMA_200 OR Lower band of Bollinger bands with 2.5 standard deviation crossed above the stock price, and if these criteria are met we will put a 3% buy limit order to start buying at next close price.
• Exit: 2-day RSI crossed above 50 OR after holding the stocks for 10 trading days

Below is part of code that forms the entries and exits of the trades. For example, should I use forward shift exits signals by 1 (e.g., vbt.signals.fshift(1)) or any way to improve to make this backtest more realistic?

Please let me know if anything need to amend, or is there any suggestion. Thanks.

SMA_200 = vbt.MA.run(data["Close"], window=200)
BBANDS_20 = vbt.talib("BBANDS").run(data["Close"], timeperiod=20,
                           nbdevup=2.5, nbdevdn=2.5)
RSI = vbt.RSI.run(data["Close"], window=2)

out_dict={}
order_price = data["Close"].shift(1)
entries = SMA_200.ma_below(data["Close"]).vbt | BBANDS_20.lowerband_crossed_above(data["Close"]).vbt
entries = entries.vbt.signals.generate_ohlc_stop_exits(
    data["Open"], data["High"], data["Low"], data["Close"],
    sl_trail=False,
    out_dict=out_dict,
    sl_stop=0.03, # in %
    exit_wait=1) # buy the trade at next close price when buy signal is triggered

timebased_stop_loss = entries.vbt.signals.fshift(10) # close open trades after holding it for 10 days
exits = (RSI.rsi_crossed_above(50) | timebased_stop_loss)

entries, exits = entries.vbt.signals.clean(exits)

pf= vbt.Portfolio.from_signals(data["Close"],
                          entries,
                          exits,
                          fees=0.002, # in %
                          slippage=0.001, # in %
                          direction="longOnly",
                          init_cash=1000,
                          freq="1d"
                          )

pf.stats()

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