Crossing Problem

sadegh

Hi
I am using two cross indicators like this

but my qustion is why it find crossing with delay !

my code is this for Strategy

import backtrader as bt
import numpy as np


class BBANDS(bt.Strategy):
    params = (('fast', 9), ('slow', 26))

    def log(self, txt, dt=None):
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        self.netprices = []
        self.periods = []
        self.period = None
        self.Log = False
        self.dataclose = self.datas[0].close
        self.order = None
        self.buyprice = None
        self.buycomm = None
        self.buytime = None
        self.bbands_mid = bt.indicators.BollingerBands(self.data).lines.mid
        self.bbands_bot = bt.indicators.BollingerBands(self.data).lines.bot
        self.bbands_cross_bot = bt.indicators.CrossOver(self.data, self.bbands_bot, plotname='Cross Bottom Line')
        self.bbands_cross_mid = bt.indicators.CrossOver(self.data, self.bbands_mid, plotname='Cross Mid Line')

    def next(self):

        if self.Log:
            self.log('Close, %.2f' % self.dataclose[0])

        if not self.position:
            if self.bbands_cross_bot > 0:
                self.order = self.buy()

        else:

            if self.bbands_cross_mid > 0:
                self.order = self.sell()

sadegh

it has one day delay for finding cross and one day delay for buying that !!!!

sadegh

is there any solution for that ?

dasch

you use one day data, so the candle will be available the next day. the result is as expected. you would need to replay intraday data to watch for the cross to create orders.

sadegh

But why buy signal create after indicator cross? is there any solution to do that!

dasch

if you want to look at a candle from yesterday, then it is finished at the end of the day. This means you can look at that candle when it is available, which is the next day. Then the cross is next day.

If you want to look for the cross intraday, you would need data with a smaller timeframe. a candle is available after the period is over (when the candle is fully formed).

dasch

so you could use intraday data and replay it to 1day timeframe