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Number of trades might not be correct #1047
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Hi everyone. I am coding an EMA Crossover Strategy with RSI trigger. The strategy create a buy signals when both EMA12 crossover EMA21 & RSI > 50 are true, and a sell signals vice versa. I am crosschecking the strategy performance to see if there is any difference when I add the RSI trigger comparing to when I am not (EMA12 vs EMA21 with RSI trigger & EMA12 vs EMA21 without RSI trigger).
But I noticed that the number of trades when I add RSI trigger is higher comparing to when I am not and this is not quite right. Let say the EMA12 cut EMA21 3 times and among those position the RSI is above 50 2 times. That means the strategy should buy two times, and this number of trades should not go above 3 which is again the number of times EMA12 crossover EMA21, but it resulted differently. I am not sure if this is a bug or not, and would like to ask if you guys could help me with this. Below is how I code the buy/sell trigger. Let me know if you guys would like to look at more stuff. Thank you!!
`
if (crossover(self.ema1, self.ema2)) and (self.RSI > 50):
self.buy(size = order_size)
elif(crossover(self.ema2, self.ema1)) and (self.RSI < 50):
self.sell(size = order_size_short)
`
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All reactions
Hi,
I checked by my simple code.
But, the trade number is decrease when I add the RSI trigger.
sorry. I don't know why your situation is occured.
Example
from backtesting import Backtest, Strategy
from backtesting.lib import crossover
import talib as ta
from backtesting.test import SMA, GOOG
def get_rsi(close, n3):
return ta.RSI(close, timeperiod=n3)
class SmaCross(Strategy):
n1 = 12
n2 = 21
n3 = 14
def init(self):
close = self.data.Close
self.sma1 = self.I(SMA, close, self.n1)
self.sma2 = self.I(SMA, close, self.n2)
self.RSI = self.I(get_rsi, close, self.n3)
def next(self):
# if crossover(self.sma1, self.sma2) and sel...Replies: 1 comment
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Hi,
I checked by my simple code.
But, the trade number is decrease when I add the RSI trigger.
sorry. I don't know why your situation is occured.
Example
from backtesting import Backtest, Strategy
from backtesting.lib import crossover
import talib as ta
from backtesting.test import SMA, GOOG
def get_rsi(close, n3):
return ta.RSI(close, timeperiod=n3)
class SmaCross(Strategy):
n1 = 12
n2 = 21
n3 = 14
def init(self):
close = self.data.Close
self.sma1 = self.I(SMA, close, self.n1)
self.sma2 = self.I(SMA, close, self.n2)
self.RSI = self.I(get_rsi, close, self.n3)
def next(self):
# if crossover(self.sma1, self.sma2) and self.RSI < 50:
if crossover(self.sma1, self.sma2):
self.buy()
# elif crossover(self.sma2, self.sma1) and self.RSI > 50:
elif crossover(self.sma2, self.sma1):
self.sell()
bt = Backtest(GOOG, SmaCross,
cash=10000, commission=.002,
exclusive_orders=True)
output = bt.run()
bt.plot()
print(output)
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