4. Entering and Exiting Trades - Algo trading from scratch with Python — Transcript

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1. 0:01[Music]
2. 0:02Jesse gives you a clear framework for
3. 0:04defining your strategies in some cases
4. 0:06though there are multiple ways for
5. 0:08performing the same task such as exiting
6. 0:10trades while this brings flexibility it
7. 0:13might be confusing to beginners so in
8. 0:15this video I want to show you various
9. 0:16ways you have for entering and exiting
10. 0:19trades in Jesse let's begin by creating
11. 0:21a new strategy
12. 0:24and name it
13. 0:25golden
14. 0:26cross
15. 0:28right so if I open my vs code and look
16. 0:31up Golden I should find it and in case
17. 0:34you're curious to know where it's
18. 0:35located it's inside my strategies folder
19. 0:38foreign
20. 0:43there is only one way of entering trades
21. 0:46in Jessie but it is a 2s sub process
22. 0:48assuming you're looking for long
23. 0:50positions you will start by defining
24. 0:52your interior inside the shoot long
25. 0:54method which returns a Boolean value
26. 0:57when it returns true then it is followed
27. 0:59by the golang method which is where you
28. 1:02define your actual entry order an easy
29. 1:04way of remembering this is to ask
30. 1:06ourselves should we long this asset if
31. 1:10yes then let's go long all right in case
32. 1:12of short positions we have shoot short
33. 1:15and go short methods but they only work
34. 1:18for Futures Trading so just to keep it
35. 1:20simple I'm gonna trade only long
36. 1:22positions in this video so I'll just
37. 1:24remove these because we don't need them
38. 1:26all right let's write a real world
39. 1:28example this is the chart for BTC usdt
40. 1:31on trading View and I've added two
41. 1:33moving averages the blue line is the EMA
42. 1:35with a period of 20 and the orange one
43. 1:38is the EMA with a period of 50. and the
44. 1:41time frame of the chart is 15 minutes
45. 1:44let's say I want to go long whenever the
46. 1:46EMA 20 crosses the email 50. I'm gonna
47. 1:49use Jesse's indicator module which has
48. 1:52already been imported for me I'll Define
49. 1:54two new properties the first one I'm
50. 1:57going to call Ema 20.
51. 2:00inside it I'm going to return ta which
52. 2:04is the indicator module of Jesse and to
53. 2:07access the EMA I will say dot EMA the
54. 2:10first expected parameter of it is
55. 2:12candles which I can pass by saying self
56. 2:14candles
57. 2:16and the second one is the period which I
58. 2:18will pass Tony
59. 2:20all right next I will just copy this
60. 2:22code and paste it and change 20 to 50.
61. 2:27next we need to define the shoot log
62. 2:30method I'll check if the ema20 crosses
63. 2:33the ema50
64. 2:34if it does then I'll return true next
65. 2:37I'm going to update the colon method
66. 2:40which is where we Define the entry order
67. 2:42when it comes to submitting orders we
68. 2:44need two things the quantity and the
69. 2:47price I want to keep this example super
70. 2:49simple so as for the entry price I will
71. 2:51just use the current price
72. 2:53as for the quantity I'll just use half
73. 2:56of the existing balance in my account
74. 2:58the capital in my account is in your
75. 3:00city so I'll need to convert it to BTC
76. 3:03to do that I'll use the size to quantity
77. 3:06utility function of Jesse and just like
78. 3:08the indicator module the utils module
79. 3:11has already been imported for me
80. 3:14the first parameter of it is the
81. 3:16position size like I said I want to use
82. 3:19half of my Capital so I'll just pass
83. 3:22self dot balance
84. 3:25and because I want half of it I will
85. 3:27multiply this by 0.5 and the second
86. 3:30parameter is the entry price which I
87. 3:32just defined earlier
88. 3:34and finally I can submit my entry order
89. 3:37because this is for a long position I
90. 3:39will say self dot pi equals
91. 3:43the first parameter is the quantity and
92. 3:46the second one is the entry price and
93. 3:48because the entry price of the order is
94. 3:50the current price this is going to be a
95. 3:52market order because I'm using a market
96. 3:54order when my trading candle closes and
97. 3:57their strategy gets executed I will
98. 3:59immediately be sitting on a long
99. 4:01position okay that's good but how do we
100. 4:04exit this position the first way could
101. 4:06be to Simply close this position
102. 4:07whenever the opposite of our interior
103. 4:10rule is true just to make it simpler I'm
104. 4:12gonna refactor my entry rule
105. 4:15I'll Define a new property and call it
106. 4:18trend
107. 4:20for an uptrend
108. 4:22I will say if
109. 4:24self EMA 20 is above self EMA 50 return
110. 4:31one
111. 4:32and else which means downtrends return
112. 4:35-1 then I can refactor my shoot long
113. 4:38method into return to when self.trend is
114. 4:42one so now one way to exit this trade is
115. 4:45this whenever a new candle closes we
116. 4:48check to see if the trend is downward if
117. 4:51so then we'll close the position to
118. 4:53write the code for this I'm gonna Define
119. 4:55the update position method and inside it
120. 4:58I'm gonna say
121. 5:00if self-trend is -1
122. 5:04then I want to close the position
123. 5:06immediately or in other words using a
124. 5:09market order to do that I can use either
125. 5:12the self-take profit or self Surplus
126. 5:15variables it doesn't really matter but
127. 5:17I'll just use this Surplus
128. 5:19the first parameter is the quantity
129. 5:21which I will use the quantity of my
130. 5:24current position by saying self position
131. 5:26dot quantity
132. 5:28and the second one is the price because
133. 5:30I wanted to be a market order I will
134. 5:32pass self dot price
135. 5:34because it is a common use case you want
136. 5:37to close your current position using a
137. 5:39market order Jesse offers a shortcut
138. 5:41method for it and I can call it by
139. 5:44saying self.liquidit since this is a lot
140. 5:46cleaner I'm gonna remove this line
141. 5:49okay this sounds good but what if I knew
142. 5:53at which price I wanted to close my
143. 5:55position at the time that the position
144. 5:57is opened maybe I want to exit at two
145. 6:00times the range of the current candle
146. 6:02all right let me show you what I mean by
147. 6:04the range of the candle on an actual
148. 6:06chart if this is a current candle at the
149. 6:08time of entering this trade the range of
150. 6:10it is going to be the difference between
151. 6:12the low and the high of it and two times
152. 6:15of the range could be somewhere around
153. 6:17here
154. 6:18all right so I'm going to define a new
155. 6:20property and call it current range
156. 6:24it's going to return
157. 6:26the high price of the grand candle
158. 6:28subtracted by the low price of the grand
159. 6:31candle
160. 6:32so now I can set my exit orders at the
161. 6:35time of opening the position to do that
162. 6:37we're gonna have to use the on open
163. 6:39position method first let's do the
164. 6:41Surplus the quantity should be the
165. 6:44quantity of my current position
166. 6:46and the price will be the current price
167. 6:50subtracted by
168. 6:52self current range which we just defined
169. 6:56earlier
170. 6:57and because I want two times of that I'm
171. 6:59going to multiply this by 2.
172. 7:02the take profit is going to be very
173. 7:04similar
174. 7:05the quantity will again be the quantity
175. 7:08of my current position and the price of
176. 7:10it will be the current price but this
177. 7:12time added by the current range
178. 7:14multiplied by 2.
179. 7:16all right so now when the position opens
180. 7:19Jesse will submit both the stop loss and
181. 7:22take profit orders right away
182. 7:29right we just learned how to both enter
183. 7:31and exit a trade now let's take it up a
184. 7:34notch instead of exiting my position all
185. 7:37at once maybe I want to exit half my
186. 7:39position at the initial take profit
187. 7:41price and exit the other half using some
188. 7:43kind of a trailing stop this might sound
189. 7:45a little Advanced but I promise it's
190. 7:48incredibly easy to write
191. 7:49to do that the first thing I need to do
192. 7:51is to modify my initial take profit
193. 7:54order to only exit half the position
194. 7:56size to do that all I need to do is to
195. 7:59divide the quantity by two
196. 8:01next to exit the second half of my
197. 8:03position inside my opted position method
198. 8:05I will use this built-in property called
199. 8:07reduce count which tells me how many
200. 8:10times the position size has been reduced
201. 8:12since the trade was opened now in this
202. 8:14case we only reduce the position once
203. 8:16and then we want to close it so I'll
204. 8:18just say if self reduce count is 1.
205. 8:23self Surplus equals the quantity will be
206. 8:27the quantity of my current position at
207. 8:30this time and the price will be the
208. 8:33current price subtracted by self current
209. 8:36range
210. 8:38right but why is this a trailing stop
211. 8:40that's because at this point we know
212. 8:42that the opted position method will get
213. 8:44executed on every new candle close
214. 8:46assuming of course that our stop loss
215. 8:49hasn't been executed yet and the
216. 8:51position is still open so every time
217. 8:53that the update position gets executed
218. 8:54it will cancel the previous stop loss
219. 8:57and submit a new one based on the
220. 8:58current price conditions I will also
221. 9:00modify this line into L if just to make
222. 9:04sure that my position won't get close
223. 9:06before the sub price is reached
224. 9:13right now just to make sure that my code
225. 9:15Works let's try to run a back test
226. 9:18I will change a strategy to Golden Cross
227. 9:21the time frame 15 minutes is fine
228. 9:25the symbol is correct and the exchange
229. 9:27is also correct I want to see some
230. 9:30charts so I will enable this option
231. 9:32I will also enable quantstat reports and
232. 9:36then I will change the duration of my
233. 9:37backtest to be the first quarter of
234. 9:402021.
235. 9:43right let's start the back test
236. 9:47and we get an error
237. 9:49right it says the format of the self
238. 9:51take profit is invalid let's take a look
239. 9:54at the strategy and see what I did wrong
240. 9:59okay I see my mistake here the price of
241. 10:01my take profit order was supposed to be
242. 10:03the current price added by the current
243. 10:05range property but instead I wrote
244. 10:08current candle okay so with any luck if
245. 10:11I run the back test again it should work
246. 10:13this time all right it works just fine
247. 10:16here's the chart for the equity curve
248. 10:20and here are the metrics which are
249. 10:23negative by the way which I guess we
250. 10:25kind of had it coming because first of
251. 10:27all this is an example strategy and
252. 10:29second of all it's just a work in
253. 10:30progress we can also take a look at the
254. 10:32Legacy chart which is useful because it
255. 10:35shows us to buy and sell orders executed
256. 10:37by Jesse
257. 10:38we also enable the constat rewards so
258. 10:41let's take a look at that and here we
259. 10:43have access to a lot of more metrics and
260. 10:46charts that are useful for evaluating
261. 10:48the strategies performance in the next
262. 10:51video we're gonna learn about the
263. 10:52concept of filters in Jesse