19 lines
1.1 KiB
Python
19 lines
1.1 KiB
Python
from numba import njit
|
|
import vectorbtpro as vbt
|
|
@njit
|
|
def signal_func_nb(c, entries, exits, short_entries, short_exits, cooldown_time, cooldown_bars):
|
|
long_entry = vbt.pf_nb.select_nb(c, entries)
|
|
long_exit = vbt.pf_nb.select_nb(c, exits)
|
|
short_entry = vbt.pf_nb.select_nb(c, short_entries)
|
|
short_exit = vbt.pf_nb.select_nb(c, short_exits)
|
|
if not vbt.pf_nb.in_position_nb(c): #c.last_position == 0
|
|
if vbt.pf_nb.has_orders_nb(c):
|
|
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
|
|
if cooldown_time is not None and c.index[c.i] - c.index[last_exit_idx] <= cooldown_time:
|
|
return False, long_exit, False, short_exit #disable entry
|
|
elif cooldown_bars is not None and last_exit_idx + cooldown_bars >= c.i:
|
|
return False, long_exit, False, short_exit #disable entry
|
|
#if in position, entries are disabled too
|
|
else:
|
|
return False, long_exit, False, short_exit #disable entry
|
|
return long_entry, long_exit, short_entry, short_exit |