How can I refer to the entry price?

[Krzysiek191]

I am trying to experiment with tp_stop and sl_stop. Make them follow the price, etc. I tried to use the suggested code from this thread: #338

sl_stop = (low.vbt.fshift(1) - entry_price) / entry_price

but when I use it:

portfolio = vbt.Portfolio.from_signals(close, entries, sl_stop = (low.vbt.fshift(1) - entry_price) / entry_price, init_cash=1000)

I get an error: "NameError: name 'entry_price' is not defined".

What am I missing?

[polakowo]

Entry price is your order price, such as close or whatever you choose.

[Krzysiek191]

Yes, but how can I refer to that particular order?

For an example:

sl_stop=0.02 means that the exit order will be filled if the price falls below 2% of the initial price the asset was bought at. The 2% refers to the order price.
But sl_stop=close*0.02 won't work. It will never be filled because the 2% will refer to the price which is iterated.

So using close I refer to the last iterated closing price. How can I refer to the last filled entry price?

[polakowo]

You need either to use from_order_func to know the entry price at each iteration, or manually apply slippage on your price and then use it as entry price. BTW by default, entry price is your closing price since vectorbt doesn't know intra-candle data and won't trigger any stop loss within the same candle the stop was defined. So you can safely use close as your entry price. You can change how the initial price looks like by setting stop_entry_price: https://vectorbt.dev/api/portfolio/enums/#vectorbt.portfolio.enums.StopEntryPrice. For example, if you set it to 'price', whatever you pass as price to from_signals is your entry price.

As another note: whenever you buy something, vectorbt takes sl_stop element at the current bar as the value of your SL. So, each element in sl_stop refers to the entry bar.

[Krzysiek191]

I want to set: sl_stop = (low.vbt.fshift(1) - entry_price) / entry_price

What should I put instead of entry_price?

[polakowo]

@Krzysiek191 I already answered your question in full detail - close.

[Krzysiek191]

Thank you for your reply. You really explained everything in detail. I really appreciate your response. Excuse my poor thinking.

[polakowo]

@Krzysiek191 no worries, probably it should be documented better.