🕰️Updates
This section covers both the refined edge-case handling already added, as well as future enhancements aimed at strengthening the backtest parser’s capabilities.
Edge Cases and Improvements
Wick vs. Body Consideration
Bullish/Bearish Recognition: The algorithm checks if a candle is bullish (close > open) or bearish (close < open).
Stop Loss or Take Profit Proximity: Determines how close the close price is to these levels.
Candle Range: Looks at the relative size of the movement in both directions (high and low).
Why It Matters: This approach helps decide which level was likely hit first in a candle that reaches both stop loss and take profit.
Time-Based Priority
Issue: OHLC data doesn’t show intrabar price paths; the sequence of price movements within a candle is lost.
Potential Improvement: A probabilistic model that simulates the possible sequence of price movement during each candle could enhance the accuracy of detecting SL/TP hits.
Slippage and Execution Delay
Current Approach: Slippage is accounted for by adjusting the exit price.
Additional Factors:
Execution Delay: Fast markets can move the price further by the time an order actually executes.
Volatility-Based Slippage: High volatility can lead to bigger slippage, so you could scale your slippage assumptions based on market conditions.
Gap Openings
Issue: Gaps between candles (e.g., overnight gaps) can cause exits to occur far from the intended SL/TP.
Potential Improvement: Detect and handle gaps to adjust exit prices so they reflect the real market open level.
Future Enhancements for Parser
These planned features will further improve the realism and flexibility of the backtest parser by incorporating trailing stops and partial exits.
1. Trailing Stops
What It Is A dynamic stop-loss level that “trails” the price when it moves in favor of a trade, helping lock in profits.
Implementation Plan
Data Structure Updates
initialStopLoss,trailingStopActive,trailingStopLevel,trailingStopDistance
Activation Logic
Rules for when trailing stops activate (e.g., after X% gain).
Continually update the trailing stop level as price moves up/down.
Exit Detection
Switch from using the initial SL to the trailing stop level once active.
Track whether a trade exited via trailing stop vs. initial SL.
Statistics
Compare performance with and without trailing stops.
Track how many trades used trailing stops and their success rates.
Configuration
User option to enable/disable trailing stops.
Configure trailing distance and activation thresholds.
2. Partial Exits
What It Is Allows you to exit part of a position early (partial take profit) while leaving some portion open to capture bigger moves.
Implementation Plan
Data Structure Updates
remainingPositionSize,partialExits[],averageExitPrice
Exit Logic
Close a percentage of the position at the first TP level.
Let the rest target additional TP levels.
Calculate weighted average exit price across all partial exits.
Risk Management
Optional move to breakeven after the first partial exit.
Adjust R-multiple to reflect partial closures.
Statistics
Compare trades with partial exits vs. full exits.
Analyze performance improvement or drawdown reduction.
Configuration
Toggle partial exits on/off.
Set the percentage to take off at each profit level.
3. Combined Strategy
The “ultimate” approach layers both trailing stops and partial exits:
Enter a trade with an initial SL.
Take partial profit at the first TP.
Move stop to breakeven.
Enable trailing stop for the remaining position.
Target higher TPs on the remainder.
4. Implementation Timeline
Phase 1: Prepare codebase with placeholders (completed)
Phase 2: Implement trailing stops
Phase 3: Implement partial exits
Phase 4: Combine strategies and optimize
Phase 5: Add user configuration features
5. Performance Metrics
Planned new metrics to assess trailing stops and partial exits:
Average R-Multiple with/without trailing stops
Average R-Multiple with/without partial exits
% of Maximum Profit Captured via partial exits/trailing
Drawdown Reduction from partial exits
Win Rate Improvement attributed to trailing stops
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