When the SmaCross strategy is fed by E-mini S&P 500 1 minute data, the trades are all "opened in the air", even higher than the high price of the bar. (Actually, all my other strategies are experiencing this, the trades are opened at right conditions, but executed at a wrong price.)
The data looks like this:
2019-03-03 07:30:00 2825.50 | 2827.88 | 2825.50 | 2827.25 | 0
2019-03-03 07:31:00 2827.25 | 2827.38 | 2826.25 | 2826.50 | 0
2019-03-03 07:32:00 2826.50 | 2826.88 | 2825.75 | 2826.00 | 0
2019-03-03 07:33:00 2826.00 | 2826.50 | 2825.50 | 2825.75 | 0
2019-03-03 07:34:00 2825.75 | 2826.00 | 2825.00 | 2825.50 | 0
import pandas as pd
from backtesting import Strategy
from backtesting.lib import crossover
from backtesting import Backtest
class SmaCross(Strategy):
# Define the two MA lags as *class variables*
# for later optimization
n1 = 10
n2 = 20
def init(self):
# Precompute the two moving averages
self.sma1 = self.I(SMA, self.data.Close, self.n1)
self.sma2 = self.I(SMA, self.data.Close, self.n2)
def next(self):
# If sma1 crosses above sma2, close any existing
# short trades, and buy the asset
if crossover(self.sma1, self.sma2):
self.position.close()
self.buy()
bt = Backtest(es, SmaCross, cash=10_000, commission=.002)
stats = bt.run()
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