Abnormal behavior of the CrossOver class

dmitry.prokopiev

Hi All,

Can someone comments, I don't understand behavior of the class CrossOver.
Simple strategy:
if EMA (30) Сrosses UP WMA(30) - buy
if EMA (30) Сrosses Down WMA(30) - sell

import sys
import backtrader as bt
from datetime import datetime, timedelta

import backtrader.indicators as btind
import backtrader.feeds as btfeed

from backtrader_plotting import Bokeh
from backtrader_plotting.schemes import Tradimo

import argparse

import logging

logger = logging.getLogger(__name__)
logging.basicConfig(stream=sys.stderr,
                    level=logging.DEBUG,
                    format='%(asctime)s [%(levelname)s][module: %(module)s.py] %(funcName)s: %(message)s',
                    datefmt='%Y-%m-%d %H:%M:%S'
)

class MyTradimo(Tradimo):
    def _set_params(self):
        super()._set_params()
        # Disable the output of Volume on the displayed chart
        self.volume=False

class CommFixed(bt.CommInfoBase):
    params = (
        ('stocklike', False),
        ('commtype', bt.CommInfoBase.COMM_FIXED),
    )

class TestedStrategy(bt.SignalStrategy):
    def __init__(self):
        self.order = None

        self.ema = btind.ExponentialMovingAverage(self.data.close)
        self.lwma = btind.WeightedMovingAverage(self.data.close)

        self.buysell = btind.CrossOver(self.lwma, self.ema)

    def next(self):
        if self.buysell < 0:
            self.sell(exectype=bt.Order.Market)
        elif self.buysell > 0:
            self.buy(exectype=bt.Order.Market)

def parse_args(pargs=None):

    parser = argparse.ArgumentParser(
        formatter_class=argparse.ArgumentDefaultsHelpFormatter,
        description='Sample for Signal concepts')

    parser.add_argument('--data', required=False,
                        default='csv/BTCUSD_M5_2021_01_28__21_35-2021_02_02__21_25.csv',
                        help='Specific data to be read in')

    parser.add_argument('--fromdate', required=False,
                        default=None,
                        help='Starting date in YYYY-MM-DD[THH:MM:SS] format')

    if pargs is not None:
        return parser.parse_args(pargs)

    return parser.parse_args()

def runstrat(args=None):
    args = parse_args(args)

    if args.fromdate:
        fmtstr = '%Y-%m-%d'

        dtsplit = args.fromdate.split('T')
        if len(dtsplit) > 1:
            fmtstr += 'T%H:%M:%S'

        start_date = datetime.strptime(args.fromdate, fmtstr)
    else:
        start_date = datetime(2021,1,31,23,00)

    end_date = datetime(2021,2,1,18,00)

    logger.info("Start: {} End: {}".format(start_date, end_date))

    data = btfeed.GenericCSVData(
        dataname='BTCUSD_M5_2021_01_28__21_40-2021_02_02__21_35.csv',
        dtformat=('%Y.%m.%d %H:%M:%S'),
        timeframe=bt.TimeFrame.Minutes,
        compression=5,
        fromdate=start_date,
        todate=end_date,
    )

    cerebro = bt.Cerebro(stdstats=False)
    cerebro.adddata(data)
    cerebro.addstrategy(TestedStrategy)
    cerebro.broker.setcash(1000)    
    cerebro.broker.addcommissioninfo(CommFixed, "CommFixed")
    cerebro.addobserver(bt.observers.BuySell)

    cerebro.run()

    b = Bokeh(style='bar', tabs='multi', scheme=MyTradimo())
    cerebro.plot(b)

if __name__ == '__main__':
    runstrat()

We are doing two tests: