ENH: Add the possibility to close trades at end of bt.run (#273 & #343)

backtesting/backtesting.py

@@ -1088,7 +1088,8 @@ def __init__(self,
                  margin: float = 1.,
                  trade_on_close=False,
                  hedging=False,
-                 exclusive_orders=False
+                 exclusive_orders=False,
+                 finalize_trades=False,
                  ):
         """
         Initialize a backtest. Requires data and a strategy to test.
@@ -1155,8 +1156,13 @@ def __init__(self,
         trade/position, making at most a single trade (long or short) in effect
         at each time.
 
+        If `finalize_trades` is `True`, the trades that are still
+        [active and ongoing] at the end of the backtest will be closed on
+        the last bar and will contribute to the computed backtest statistics.
+
         [FIFO]: https://www.investopedia.com/terms/n/nfa-compliance-rule-2-43b.asp
-        """
+        [active and ongoing]: https://kernc.github.io/backtesting.py/doc/backtesting/backtesting.html#backtesting.backtesting.Strategy.trades
+        """  # noqa: E501
 
         if not (isinstance(strategy, type) and issubclass(strategy, Strategy)):
             raise TypeError('`strategy` must be a Strategy sub-type')
@@ -1218,6 +1224,7 @@ def __init__(self,
         )
         self._strategy = strategy
         self._results: Optional[pd.Series] = None
+        self._finalize_trades = bool(finalize_trades)
 
     def run(self, **kwargs) -> pd.Series:
         """
@@ -1304,14 +1311,15 @@ def run(self, **kwargs) -> pd.Series:
                 # Next tick, a moment before bar close
                 strategy.next()
             else:
-                # Close any remaining open trades so they produce some stats
-                for trade in broker.trades:
-                    trade.close()
-
-                # Re-run broker one last time to handle orders placed in the last strategy
-                # iteration. Use the same OHLC values as in the last broker iteration.
-                if start < len(self._data):
-                    try_(broker.next, exception=_OutOfMoneyError)
+                if self._finalize_trades is True:
+                    # Close any remaining open trades so they produce some stats
+                    for trade in broker.trades:
+                        trade.close()
+
+                    # HACK: Re-run broker one last time to handle close orders placed in the last
+                    #  strategy iteration. Use the same OHLC values as in the last broker iteration.
+                    if start < len(self._data):
+                        try_(broker.next, exception=_OutOfMoneyError)
 
             # Set data back to full length
             # for future `indicator._opts['data'].index` calls to work

backtesting/test/_test.py

@@ -218,7 +218,7 @@ def next(self, _FEW_DAYS=pd.Timedelta('3 days')):  # noqa: N803
         bt = Backtest(GOOG, Assertive)
         with self.assertWarns(UserWarning):
             stats = bt.run()
-        self.assertEqual(stats['# Trades'], 145)
+        self.assertEqual(stats['# Trades'], 144)
 
     def test_broker_params(self):
         bt = Backtest(GOOG.iloc[:100], SmaCross,
@@ -282,7 +282,7 @@ def test_compute_drawdown(self):
         np.testing.assert_array_equal(peaks, pd.Series([7, 4], index=[3, 5]).reindex(dd.index))
 
     def test_compute_stats(self):
-        stats = Backtest(GOOG, SmaCross).run()
+        stats = Backtest(GOOG, SmaCross, finalize_trades=True).run()
         expected = pd.Series({
                 # NOTE: These values are also used on the website!
                 '# Trades': 66,
@@ -438,7 +438,8 @@ def next(self):
                 elif len(self.data) == len(SHORT_DATA):
                     self.position.close()
 
-        self.assertFalse(Backtest(SHORT_DATA, S).run()._trades.empty)
+        self.assertTrue(Backtest(SHORT_DATA, S, finalize_trades=False).run()._trades.empty)
+        self.assertFalse(Backtest(SHORT_DATA, S, finalize_trades=True).run()._trades.empty)
 
     def test_check_adjusted_price_when_placing_order(self):
         class S(Strategy):
@@ -540,7 +541,7 @@ def test_autoclose_trades_on_finish(self):
         def coroutine(self):
             yield self.buy()
 
-        stats = self._Backtest(coroutine).run()
+        stats = self._Backtest(coroutine, finalize_trades=True).run()
         self.assertEqual(len(stats._trades), 1)
 
     def test_order_tag(self):
@@ -587,7 +588,7 @@ def test_optimize(self):
             bt.plot(filename=f, open_browser=False)
 
     def test_method_sambo(self):
-        bt = Backtest(GOOG.iloc[:100], SmaCross)
+        bt = Backtest(GOOG.iloc[:100], SmaCross, finalize_trades=True)
         res, heatmap, sambo_results = bt.optimize(
             fast=range(2, 20), slow=np.arange(2, 20, dtype=object),
             constraint=lambda p: p.fast < p.slow,
@@ -925,7 +926,7 @@ def init(self):
                                 self.data.Close < sma)
 
         stats = Backtest(GOOG, S).run()
-        self.assertIn(stats['# Trades'], (1181, 1182))  # varies on different archs?
+        self.assertIn(stats['# Trades'], (1179, 1180))  # varies on different archs?
 
     def test_TrailingStrategy(self):
         class S(TrailingStrategy):
@@ -941,7 +942,7 @@ def next(self):
                     self.buy()
 
         stats = Backtest(GOOG, S).run()
-        self.assertEqual(stats['# Trades'], 57)
+        self.assertEqual(stats['# Trades'], 56)
 
 
 class TestUtil(TestCase):