Implementing a SL and TP exit in my strategies

Quant Trading Strategies & Ideas
1

I am currently working on gap up, gap down strategy. 


Create a column to store the value of long and short positions

data['positions'] = np.nan


Long entry condition

long_entry = data['Adj Open'] > data['Adj Close'].shift(1)


Short entry condition

short_entry = data['Adj Open'] < data['Adj Close'].shift(1)


Store 1 when long entry condition is true

data.loc[long_entry, 'positions'] = 1


Store -1 when short entry condition is true

data.loc[short_entry, 'positions'] = -1


Drop NaN values

data = data.dropna()



Here are the entries for the strategy but how would I exit using SL and TP. Let's assume SL = 0.03 and TP = 0.15. How would I implement tis in my exit and in my tradesheet? Thank you

2

Hi Jessy,



To do this you can set the exit condition of the strategy based on your stop loss and take profit level. Here's a step-by-step:

  1. Define the stop-loss and take profit percentage

    2. For a given date, if there is an open position, calculate the stop-loss and take-profit price levels. Check if the close of the day is less than the stop-loss price or greater than the take profit. If either of these conditions are met, you can exit on the given date.

    3. Finally, update the variables exit_date with the given date and exit_price with the close price of the given date. Assign '0' to the variable current_position.



    To get a detailed understanding of how these steps can be carried out in Python, you can also check the "Backtest With Stop-Loss and Take-Profit" notebook of the Backtesting Trading Strategies course.



    Thanks

    Rushda
3

Thank you, I had a look at the ATR trailing stop notebook and implemented that. Thank you for your help.