16 lines
988 B
Python
16 lines
988 B
Python
from numba import njit
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import vectorbtpro as vbt
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@njit
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def signal_func_nb(c, entries, exits, short_entries, short_exits, cooldown_time, cooldown_bars):
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entry = vbt.pf_nb.select_nb(c, entries)
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exit = vbt.pf_nb.select_nb(c, exits)
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short_entry = vbt.pf_nb.select_nb(c, short_entries)
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short_exit = vbt.pf_nb.select_nb(c, short_exits)
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if not vbt.pf_nb.in_position_nb(c): #c.last_position == 0
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if vbt.pf_nb.has_orders_nb(c):
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last_exit_idx = c.last_pos_info[c.col]["exit_idx"] #(92) #If not in position, position information records contain information on the last (closed) position
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if cooldown_time is not None and c.index[c.i] - c.index[last_exit_idx] < cooldown_time:
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return False, exit, False, short_exit #disable entry
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elif cooldown_bars is not None and last_exit_idx + cooldown_bars > c.i:
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return False, exit, False, short_exit #disable entry
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return entry, exit, short_entry, short_exit |