I am trying to backtest a trading algorithm with historical data. I want to iterate through a pandas dataframe, checking for a couple of flags (alert and order_placed) and executing trades when the conditions are met. The dataframe contains date (index), open, high, low, close and RSI columns.
I have tried to avoid nesting the if statements and using 'and' to streamline the code and still end up with the same output.
entry = 0
sl = 0
target_increment = 0
alert = False
order_placed = False
for row in df.itertuples():
# print('in next iteration')
if not order_placed:
# print('in orderplaced not true')
if alert:
# print('\tin alert is true\n')
if row.Close>entry:
# print('\t\tin entry condition')
print("Bought on date " + str(row.Index) + ' at ' + str(entry))
print("SL: " + str(sl) + "\nTarget: " + str(target_increment+row.Close))
order_placed = True
else:
# print('\t\tin entry condition is not met')
alert = False
else:
# print('\tin alert is not true')
if row.RSI>60:
print('\t\tin alert condition check')
entry = row.High+1
sl = row.Low-1
target_increment = row.Close-row.Open
alert = True
print("Alert at date " + str(row.Index))
else:
if row.Close<=sl:
print("Sold on date " + str(row.Index) + ' at ' + str(row.Close) + "\nStop loss hit!")
alert = False
order_placed = False
elif row.Close>=target_increment+row.Close:
print("Sold on date " + str(row.Index) + ' at ' + str(row.Close) + "\nTarget reached!")
alert = False
order_placed = False
print("alert: ", alert)
print("order_placed: ", order_placed)
I expect the program to say "bought" when alert is true and order_placed is false. This part is working for the first tuple in the dataframe that matches these conditions. After order_placed is true however, the next iteration of the loop does not enter the 'else:' portion of the parent if statement, ie, no further logic is implemented for the rest of the rows.
Output:
building dictionary
in alert condition check
Alert at date 2019-09-20
Bought on date 2019-09-23 at 29539.3
SL: 26850.35
Target: 32766.85
alert: True
order_placed: True
Dataframe for reference:
Symbol Expiry Open High Low Close Last Settle Price Number of Contracts Turnover Open Interest Change in OI Underlying RSI Previous High Previous Low Previous Open Previous Close
Date
2019-07-26 BANKNIFTY 2019-10-31 29456.30 29698.00 29397.00 29677.50 29661.50 29677.50 135 7.968000e+07 1980 1980 29325.30 NaN NaN NaN NaN NaN
2019-07-29 BANKNIFTY 2019-10-31 29714.75 29752.80 29438.85 29577.65 29582.05 29577.65 85 5.030400e+07 2900 920 29295.90 NaN 29698.00 29397.00 29456.30 29677.50
2019-07-30 BANKNIFTY 2019-10-31 29621.35 29773.75 29000.05 29052.20 29050.00 29052.20 223 1.304850e+08 3500 600 28791.60 NaN 29752.80 29438.85 29714.75 29577.65
2019-07-31 BANKNIFTY 2019-10-31 28900.00 29227.65 28836.65 29164.85 29155.00 29164.85 186 1.079050e+08 4600 1100 NaN NaN 29773.75 29000.05 29621.35 29052.20
2019-08-01 BANKNIFTY 2019-10-31 29000.00 29105.00 28355.55 28699.05 28770.55 28699.05 598 3.434440e+08 9460 4860 28367.25 NaN 29227.65 28836.65 28900.00 29164.85
2019-08-02 BANKNIFTY 2019-10-31 28599.05 28866.95 28268.20 28518.35 28525.00 28518.35 408 2.324140e+08 9660 200 28204.95 NaN 29105.00 28355.55 29000.00 28699.05
2019-08-05 BANKNIFTY 2019-10-31 28418.35 28418.35 27718.35 27973.05 27919.50 27973.05 907 5.060620e+08 10980 1320 27648.05 NaN 28866.95 28268.20 28599.05 28518.35
2019-08-06 BANKNIFTY 2019-10-31 27873.05 28441.35 27873.05 28311.25 28292.00 28311.25 413 2.328910e+08 9000 -1980 28022.10 NaN 28418.35 27718.35 28418.35 27973.05
2019-08-07 BANKNIFTY 2019-10-31 28282.25 28411.25 27900.00 27918.45 27900.00 27918.45 405 2.278510e+08 9060 60 27702.05 NaN 28441.35 27873.05 27873.05 28311.25
2019-08-08 BANKNIFTY 2019-10-31 28018.45 28550.00 27818.45 28438.55 28550.00 28438.55 364 2.051960e+08 9600 540 28110.45 NaN 28411.25 27900.00 28282.25 27918.45
2019-08-09 BANKNIFTY 2019-10-31 28538.55 28800.00 28538.55 28669.50 28692.00 28669.50 241 1.382590e+08 10320 720 28431.90 NaN 28550.00 27818.45 28018.45 28438.55
2019-08-13 BANKNIFTY 2019-10-31 28497.30 28497.30 27878.25 27930.00 27925.00 27930.00 329 1.855670e+08 11080 760 27729.10 NaN 28800.00 28538.55 28538.55 28669.50
2019-08-14 BANKNIFTY 2019-10-31 28015.15 28330.00 27990.00 28174.45 28152.15 28174.45 173 9.743500e+07 11140 60 28019.20 NaN 28497.30 27878.25 28497.30 27930.00
2019-08-16 BANKNIFTY 2019-10-31 28177.90 28515.75 27948.20 28451.10 28444.95 28451.10 333 1.880830e+08 10260 -880 28217.00 NaN 28330.00 27990.00 28015.15 28174.45
2019-08-19 BANKNIFTY 2019-10-31 28621.70 28663.40 28344.85 28400.95 28421.00 28400.95 309 1.763910e+08 11220 960 28186.10 41.462145 28515.75 27948.20 28177.90 28451.10
2019-08-20 BANKNIFTY 2019-10-31 28312.10 28395.95 28050.00 28183.60 28224.65 28183.60 376 2.119360e+08 12180 960 27982.45 38.474052 28663.40 28344.85 28621.70 28400.95
2019-08-21 BANKNIFTY 2019-10-31 28142.00 28280.50 27880.00 27919.85 27957.95 27919.85 354 1.983950e+08 13060 880 27719.05 35.162444 28395.95 28050.00 28312.10 28183.60
2019-08-22 BANKNIFTY 2019-10-31 27833.15 27847.00 27163.15 27212.95 27202.00 27212.95 547 3.008380e+08 11820 -1240 27034.20 28.165109 28280.50 27880.00 28142.00 27919.85
2019-08-23 BANKNIFTY 2019-10-31 26921.75 27419.05 26803.65 27201.70 27215.00 27201.70 721 3.907550e+08 10760 -1060 26958.65 28.069376 27847.00 27163.15 27833.15 27212.95
2019-08-26 BANKNIFTY 2019-10-31 27554.95 28150.00 27030.00 28095.05 28100.00 28095.05 948 5.246750e+08 10760 0 27951.35 44.268995 27419.05 26803.65 26921.75 27201.70
2019-08-27 BANKNIFTY 2019-10-31 28233.50 28390.10 28085.40 28278.60 28290.00 28278.60 350 1.979000e+08 11480 720 NaN 46.914359 28150.00 27030.00 27554.95 28095.05
2019-08-28 BANKNIFTY 2019-10-31 28168.35 28271.00 27802.30 27987.05 27998.00 27987.05 439 2.458660e+08 12340 860 27804.30 43.391190 28390.10 28085.40 28233.50 28278.60
2019-08-29 BANKNIFTY 2019-10-31 27900.00 27900.00 27437.05 27513.30 27566.60 27513.30 1312 7.251390e+08 15140 2800 27305.20 38.351222 28271.00 27802.30 28168.35 27987.05
2019-08-30 BANKNIFTY 2019-10-31 27221.10 27773.65 27221.10 27613.60 27665.40 27613.60 3065 1.686416e+09 28060 12920 27427.85 39.941728 27900.00 27437.05 27900.00 27513.30
2019-09-03 BANKNIFTY 2019-10-31 27160.55 27420.00 26910.00 26979.10 26921.65 26979.10 2015 1.093904e+09 34760 6700 26824.15 33.970914 27773.65 27221.10 27221.10 27613.60
2019-09-04 BANKNIFTY 2019-10-31 26968.00 27481.00 26825.00 27335.45 27288.55 27335.45 3714 2.023207e+09 54420 19660 27123.85 39.445866 27420.00 26910.00 27160.55 26979.10
2019-09-05 BANKNIFTY 2019-10-31 27252.95 27443.75 26980.00 27098.30 27090.35 27098.30 2127 1.155384e+09 54340 -80 26919.70 37.233245 27481.00 26825.00 26968.00 27335.45
2019-09-06 BANKNIFTY 2019-10-31 27194.40 27500.00 27186.20 27415.90 27400.65 27415.90 2163 1.184791e+09 55060 720 27247.90 41.931016 27443.75 26980.00 27252.95 27098.30
2019-09-09 BANKNIFTY 2019-10-31 27350.05 27714.00 27148.80 27665.05 27650.25 27665.05 4219 2.326629e+09 40720 -14340 27504.65 45.384392 27500.00 27186.20 27194.40 27415.90
2019-09-11 BANKNIFTY 2019-10-31 27760.20 27998.55 27711.50 27938.40 27901.50 27938.40 1886 1.052612e+09 48840 8120 27776.20 48.970041 27714.00 27148.80 27350.05 27665.05
2019-09-12 BANKNIFTY 2019-10-31 28028.00 28198.55 27885.60 27923.85 27900.00 27923.85 3564 1.999824e+09 60720 11880 27818.50 48.786439 27998.55 27711.50 27760.20 27938.40
2019-09-13 BANKNIFTY 2019-10-31 27869.55 28333.45 27700.00 28276.75 28273.05 28276.75 4487 2.511968e+09 71980 11260 28098.75 53.354495 28198.55 27885.60 28028.00 27923.85
2019-09-16 BANKNIFTY 2019-10-31 28015.85 28205.00 27938.70 27997.15 27996.90 27997.15 5198 2.916725e+09 73080 1100 27855.00 49.581096 28333.45 27700.00 27869.55 28276.75
2019-09-17 BANKNIFTY 2019-10-31 27980.00 27986.25 27192.75 27242.15 27270.75 27242.15 8466 4.665398e+09 107020 33940 27131.75 41.123510 28205.00 27938.70 28015.85 27997.15
2019-09-18 BANKNIFTY 2019-10-31 27450.00 27568.85 27240.00 27285.60 27280.00 27285.60 10375 5.685789e+09 134280 27260 27172.65 41.739442 27986.25 27192.75 27980.00 27242.15
2019-09-19 BANKNIFTY 2019-10-31 27260.30 27281.20 26790.05 26880.60 26899.00 26880.60 12977 6.995522e+09 157280 23000 26757.65 37.772828 27568.85 27240.00 27450.00 27285.60
2019-09-20 BANKNIFTY 2019-10-31 26977.05 29538.30 26851.35 29100.05 29117.05 29100.05 79189 4.521008e+10 310540 153260 28981.55 60.132563 27281.20 26790.05 27260.30 26880.60
2019-09-23 BANKNIFTY 2019-10-31 29921.75 30824.90 29745.30 30643.85 30650.00 30643.85 66636 4.039896e+10 451720 141180 30566.20 68.587639 29538.30 26851.35 26977.05 29100.05
2019-09-24 BANKNIFTY 2019-10-31 30601.70 30776.90 30055.00 30373.90 30360.10 30373.90 47956 2.911238e+10 542760 91040 30183.10 65.953644 30824.90 29745.30 29921.75 30643.85
2019-09-25 BANKNIFTY 2019-10-31 30279.65 30279.65 29667.35 29784.75 29759.95 29784.75 64327 3.844630e+10 698080 155320 29586.05 60.493489 30776.90 30055.00 30601.70 30373.90
2019-09-26 BANKNIFTY 2019-10-31 29800.00 30957.95 29800.00 30225.10 30263.95 30225.10 160567 9.732284e+10 888600 190520 30002.60 62.961656 30279.65 29667.35 30279.65 29784.75
2019-09-27 BANKNIFTY 2019-10-31 30201.00 30340.00 29882.95 30080.90 30061.30 30080.90 195904 1.179994e+11 967320 78720 29876.65 61.604376 30957.95 29800.00 29800.00 30225.10
2019-09-30 BANKNIFTY 2019-10-31 29890.05 29955.60 29103.50 29324.70 29310.00 29324.70 244117 1.437219e+11 1327640 360320 29103.15 54.918367 30340.00 29882.95 30201.00 30080.90
2019-10-01 BANKNIFTY 2019-10-31 29440.00 29724.00 28218.00 28874.65 28918.15 28874.65 366120 2.126155e+11 1513360 185720 28725.50 51.346656 29955.60 29103.50 29890.05 29324.70
2019-10-03 BANKNIFTY 2019-10-31 28655.10 28919.80 28368.60 28570.85 28579.95 28570.85 247822 1.418723e+11 1586560 73200 28414.10 49.028620 29724.00 28218.00 29440.00 28874.65
2019-10-04 BANKNIFTY 2019-10-31 28801.05 28860.00 27778.00 27853.75 27819.00 27853.75 291787 1.648944e+11 1645520 58960 27731.85 43.981386 28919.80 28368.60 28655.10 28570.85
2019-10-07 BANKNIFTY 2019-10-31 27950.00 28277.00 27652.20 27871.55 27870.00 27871.55 214766 1.203944e+11 1441060 -204460 27767.55 44.135119 28860.00 27778.00 28801.05 27853.75
2019-10-09 BANKNIFTY 2019-10-31 27870.00 28989.95 27774.00 28874.05 28894.60 28874.05 295138 1.675061e+11 1351920 -89140 28785.85 52.106930 28277.00 27652.20 27950.00 27871.55
2019-10-10 BANKNIFTY 2019-10-31 28690.00 28690.00 27980.00 28106.60 28170.15 28106.60 246371 1.392902e+11 1509280 157360 28013.45 46.622132 28989.95 27774.00 27870.00 28874.05
2019-10-11 BANKNIFTY 2019-10-31 28300.00 28723.00 27805.00 28138.60 28135.00 28138.60 301738 1.703704e+11 1527360 18080 28042.50 46.873242 28690.00 27980.00 28690.00 28106.60
2019-10-14 BANKNIFTY 2019-10-31 28317.95 28790.00 28082.85 28209.80 28210.00 28209.80 233980 1.327742e+11 1468680 -58680 28181.95 47.465433 28723.00 27805.00 28300.00 28138.60
2019-10-15 BANKNIFTY 2019-10-31 28300.00 28775.00 28251.00 28618.65 28621.00 28618.65 213025 1.214465e+11 1457480 -11200 28555.10 50.853191 28790.00 28082.85 28317.95 28209.80
2019-10-16 BANKNIFTY 2019-10-31 28720.25 28807.00 28321.15 28604.75 28615.65 28604.75 221098 1.264651e+11 1386680 -70800 28538.80 50.733407 28775.00 28251.00 28300.00 28618.65
2019-10-17 BANKNIFTY 2019-10-31 28530.50 29150.00 28530.50 29079.65 29070.35 29079.65 231824 1.337761e+11 1424740 38060 28989.45 54.662632 28807.00 28321.15 28720.25 28604.75
2019-10-18 BANKNIFTY 2019-10-31 29029.60 29299.95 28903.05 29152.35 29140.00 29152.35 192396 1.120157e+11 1295200 -129540 29120.25 55.251008 29150.00 28530.50 28530.50 29079.65
2019-10-22 BANKNIFTY 2019-10-31 29397.00 29747.00 28851.40 29492.50 29490.00 29492.50 218602 1.289482e+11 1253820 -41380 29411.15 57.997593 29299.95 28903.05 29029.60 29152.35
2019-10-23 BANKNIFTY 2019-10-31 29400.00 29725.00 29122.00 29494.50 29526.15 29494.50 202544 1.194933e+11 1198340 -55480 29459.60 58.013911 29747.00 28851.40 29397.00 29492.50
2019-10-24 BANKNIFTY 2019-10-31 29625.00 29742.55 29020.95 29180.50 29215.55 29180.50 269195 1.580991e+11 1328280 129940 29107.95 54.438115 29725.00 29122.00 29400.00 29494.50
2019-10-25 BANKNIFTY 2019-10-31 29280.10 29480.00 28912.60 29431.85 29438.00 29431.85 227255 1.327633e+11 1000880 -327400 29395.95 56.736869 29742.55 29020.95 29625.00 29180.50
2019-10-27 BANKNIFTY 2019-10-31 29638.00 29760.00 29460.60 29497.30 29473.00 29497.30 21511 1.270312e+10 997600 -3280 29516.30 57.340432 29480.00 28912.60 29280.10 29431.85
Both the if and elif (in the else block of the root if-else statement) are always failing their conditions. There is no way for 'order_placed' to become False or 'alert' to become True.
I'm not quite sure what this it meant to be doing myself but you may want to check the logic of your code. It appears that 'sl' and 'target_increment' are never changing.