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quantfreedom · Jul 11, 2024 · 24fe4c1 · 24fe4c1
1 parent 11bdbcc
commit 24fe4c1
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Showing 8 changed files with 89 additions and 357 deletions.
diff --git a/gen_ref_pages.py b/gen_ref_pages.py
@@ -22,14 +22,6 @@
 
     parts = tuple(module_path.parts)
 
-    # if parts[-1] == "__init__":
-    #     parts = parts[:-1]
-    #     init_module = data[parts[1:]] if len(parts) > 1 else data
-    #     if not init_module.has_docstring:
-    #         continue
-    # elif not data[parts[1:]].has_docstrings:
-    #     continue
-
     if parts[-1] == "__init__":
         # We're currently handling an __init__.py file.
         # Remove "__init__" suffix for accessing Griffe object in data.
@@ -45,10 +37,17 @@
         # - it has a module docstring
         # - or any of its members has a docstring
         # (attributes, functions, classes, but not modules or objects imported from other modules)
+
         has_docstrings = init_module.has_docstring or any(
-            member.has_docstrings for member in init_module.members.values()
+            member.has_docstrings
+            for member in init_module.members.values()
             if not (member.is_alias or member.is_module)
-        ) 
+        )
+        # has_docstrings = init_module.has_docstring or any(
+        #     member.has_docstrings
+        #     for member in init_module.members.values()
+        #     if not (member.is_alias or member.is_module)
+        # )
     else:
         # If it's another module, simply use `has_docstrings` as a non-init module cannot have submodules anyway.
         has_docstrings = data[parts[1:]].has_docstrings

diff --git a/quantfreedom/backtesters/bt_grid.py b/quantfreedom/backtesters/bt_grid.py
@@ -3,7 +3,6 @@
 from logging import getLogger
 
 from quantfreedom.core.enums import (
-    CurrentFootprintCandleTuple,
     DecreasePosition,
     FootprintCandlesTuple,
     OrderStatus,
@@ -107,7 +106,9 @@ def grid_backtest(
                 realized_pnl,
             ) = grid_order_handler.calculate_decrease_position(
                 cur_datetime=candles.candle_open_datetimes[bar_index],
+                exit_fee=grid_order_handler.market_fee_pct,
                 exit_price=dp.exit_price,
+                exit_size_asset=abs(grid_order_handler.position_size_asset),
                 equity=grid_order_handler.equity,
                 order_status=dp.order_status,
                 pnl_exec=pnl_exec,
@@ -144,7 +145,7 @@ def grid_backtest(
                     get_bankruptcy_price_exec = GridLevExecLong.long_get_bankruptcy_price_exec
                     get_liq_price_exec = GridLevExecLong.long_get_liq_price_exec
 
-                    average_entry = grid_order_handler.calculate_increase_position(
+                    average_entry = grid_order_handler.calculate_average_entry(
                         order_size=order_size,
                         entry_price=buy_order,
                     )
@@ -162,6 +163,8 @@ def grid_backtest(
                     ) = grid_order_handler.calculate_decrease_position(
                         cur_datetime=candles.candle_open_datetimes[bar_index],
                         exit_price=buy_order,
+                        exit_fee=grid_order_handler.limit_fee_pct,
+                        exit_size_asset=abs(position_size) / average_entry,
                         equity=equity,
                         order_status=OrderStatus.TakeProfitFilled,
                         pnl_exec=GridDPExecShort.short_pnl_exec,
@@ -182,6 +185,8 @@ def grid_backtest(
                     ) = grid_order_handler.calculate_decrease_position(
                         cur_datetime=candles.candle_open_datetimes[bar_index],
                         exit_price=buy_order,
+                        exit_fee=grid_order_handler.limit_fee_pct,
+                        exit_size_asset=order_size / average_entry,
                         equity=equity,
                         order_status=OrderStatus.TakeProfitFilled,
                         pnl_exec=GridDPExecShort.short_pnl_exec,
@@ -200,8 +205,8 @@ def grid_backtest(
                     og_available_balance=avaliable_balance,
                     og_cash_borrowed=cash_borrowed,
                     og_cash_used=cash_used,
-                    position_size_asset=average_entry / position_size,
-                    position_size_usd=position_size,
+                    position_size_asset=abs(position_size) / average_entry,
+                    position_size_usd=abs(position_size),
                 )
 
                 grid_order_handler.fill_or_entry(