Only profitable exits ?

[vdun]

Let's say you exit when RSI>70.
How to add a filter to exit only when profitable ?

[initial-d]

It depends on how exact you need the rule to be.

For a simple long-only strategy with one open position at a time, you can build the exit signal from two conditions:

1. your normal exit condition, for example RSI > 70;
2. current price is above the entry price of the current trade.

Conceptually:

raw_exit = rsi > 70
entry_price = close.where(entries).ffill()
exits = raw_exit & (close > entry_price)

Then pass entries and exits to Portfolio.from_signals.

But there is an important caveat: this simple ffill approach is only safe if your strategy cannot pyramid, cannot hold multiple lots, and does not re-enter before the previous position is closed. Otherwise the true entry price is path-dependent and may differ from a simple forward-filled entry signal.

For a robust version, especially with pyramiding, partial exits, short positions, fees, or multiple entries, I would implement this in a custom signal/order function where you can inspect the current position state and compare the current price against the actual average entry price. The rule is path-dependent, so it belongs inside the simulation if the portfolio state can become non-trivial.

Also remember to include fees/slippage in the profitability test if your real rule is “exit only when net profitable”. In that case close > entry_price is too optimistic; you need a threshold above entry that covers round-trip costs.