TP, SL and single vs hedge mode

[Kayne88]

Hello,

First of all, great thanks for this powerful framework. I am starting to get the hang of it. For my purpose I found the from_order_func the most appropriate way to backtest my strategies. However, some basic stuff I didn't quite figure out yet.

When you place an order in order_func_nb I would like to set a TP and SL for that specific order, which will automatically be executed by the framework (closing the position). How can I achieve this? Also I am interested in setting TP and SL specific to each order, i.e. not constant over time (like some percentage of the entry price) as in the from_order/from_signal methods.

Also, I was wondering if there is the option of changing the mode between single-asset (only long or short positions, i.e. when you sell into a long position, it will reduce the long position) and hedge (long and short positions open at the same time)?

Cheers

[Kayne88]

Anybody has an idea?

[polakowo]

Hi @Kayne88, from_order_func is the low-level API - there is no SL or TP built-in. You need to do that by yourself, which is fairly easy, just look at the examples under https://vectorbt.dev/api/portfolio/base/#vectorbt.portfolio.base.Portfolio.from_order_func. You can specify TP and SL in from_signals and pass arrays to specify them per order.

Example notebook on pairs trading will answer your second question.

[shiosai]

Anybody has an idea?

I can only emphasis (from a "normal users" perspective) what @polakowo wrote. I switched quite some time ago to from_order_func and now I do everything there while appreciating the great flexibility while still having pretty good performance.

At the moment I do even limit orders and trailing stop loss this way. Given I am using daily OHLC data, there is a tradeoff though as you don't have the real daily movements - meaning similar to choosing slippage parameters you have to make some save assumptions regarding when your limit is reached and when/how to adjust your trailing stop.

[Kayne88]

thanks guys, for your answers. Ill try as shown in the notebooks.

Big thumbs up for this framework. May it live forever.