Fix bug in MovingAverage strategy

diogomatoschaves · Feb 5, 2024 · d09c4c3 · d09c4c3
1 parent 172b056
commit d09c4c3
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Showing 10 changed files with 145 additions and 146 deletions.
diff --git a/stratestic/strategies/moving_average/ma.py b/stratestic/strategies/moving_average/ma.py
@@ -101,8 +101,8 @@ def calculate_positions(self, data):
         pd.DataFrame
             OHLCV data with additional 'side' column containing -1 for short, 1 for long.
         """
-        data["side"] = np.where(data["SMA"] > data[self.close_col], 1, 0)
-        data["side"] = np.where(data["SMA"] < data[self.close_col], -1, data["side"])
+        data["side"] = np.where(data["SMA"] < data[self.close_col], 1, 0)
+        data["side"] = np.where(data["SMA"] > data[self.close_col], -1, data["side"])
         return data
 
     def get_signal(self, row=None):
@@ -122,10 +122,9 @@ def get_signal(self, row=None):
         if row is None:
             row = self.data.iloc[-1]
 
-        if row["SMA"] > row[self.close_col]:
+        if row["SMA"] < row[self.close_col]:
             return 1
-        elif row["SMA"] < row[self.close_col]:
+        elif row["SMA"] > row[self.close_col]:
             return -1
-
-        elif row["SMA"] == row[self.close_col]:
+        else:
             return 0
diff --git a/tests/backtesting/combining/test_strategy_combiner.py b/tests/backtesting/combining/test_strategy_combiner.py
@@ -64,23 +64,23 @@ def test_strategy_combiner_input_validation(
                     "strategies": [Momentum(2), MovingAverage(2)],
                     "method": "Majority"
                 },
-                [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0, -1.0, 0.0, -1.0, 0.0],
+                [0.0, 0.0, 0.0, 0.0, 1.0, 1.0, 1.0, 0.0, 0.0, -1.0, 0.0, 1.0],
                 id='2_strategies-Majority'
             ),
             pytest.param(
                 {
                     "strategies": [Momentum(2), MovingAverage(2)],
                     "method": "Unanimous"
                 },
-                [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0, -1.0, 0.0, -1.0, 0.0],
+                [0.0, 0.0, 0.0, 0.0, 1.0, 1.0, 1.0, 0.0, 0.0, -1.0, 0.0, 1.0],
                 id='2_strategies-Unanimous'
             ),
             pytest.param(
                 {
                     "strategies": [Momentum(2), MovingAverage(2), BollingerBands(3, 1)],
                     "method": "Majority"
                 },
-                [0.0, 0.0, 0.0, -1.0, -1.0, -1.0, 1.0, -1.0, 1.0, -1.0, -1.0],
+                [0.0, 0.0, 0.0, 1.0, 1.0, 1.0, -1.0, 0.0, -1.0, 0.0, 1.0],
                 id='3_strategies-Majority'
             ),
             pytest.param(

diff --git a/tests/backtesting/iterative/test_iterative.py b/tests/backtesting/iterative/test_iterative.py
@@ -178,7 +178,7 @@ def test_optimize_parameters(self, fixture, mocked_plotly_figure_show):
                     "method": "Majority"
                 },
                 [{"window": (2, 4)}, {"ma": (1, 3)}, {}],
-                [{'window': 3.0}, {'ma': 1.0}, {'ma': 3.0, 'sd': 1.0}],
+                [{'window': 3.0}, {'ma': 2.0}, {'ma': 3.0, 'sd': 1.0}],
                 id='3_strategies-majority'
             ),
             pytest.param(

diff --git a/tests/backtesting/iterative/test_iterative_with_margin.py b/tests/backtesting/iterative/test_iterative_with_margin.py
@@ -124,9 +124,9 @@ def test_exceptions(self, leverage, symbol, second_leverage, exception, mocked_p
     @pytest.mark.parametrize(
         "margin_threshold, expected_result",
         [
-            pytest.param(0.1, 18, id="margin_threshold=0.1"),
-            pytest.param(0.5, 45, id="margin_threshold=0.5"),
-            pytest.param(1, 55, id="margin_threshold=1")
+            pytest.param(0.1, 23, id="margin_threshold=0.1"),
+            pytest.param(0.5, 91, id="margin_threshold=0.5"),
+            pytest.param(1, 124, id="margin_threshold=1")
         ],
     )
     def test_maximum_leverage(

diff --git a/tests/backtesting/vectorized/out/moving_average_no_trading_costs.py b/tests/backtesting/vectorized/out/moving_average_no_trading_costs.py
@@ -4,7 +4,7 @@
 expected_performance = 0.985296
 expected_outperformance = -0.030969
 
-expected_optimization_results = ({"ma": 1.0}, 0.999557)
+expected_optimization_results = ({"ma": 3.0}, 0.999557)
 
 expected_results = [
     {
@@ -60,7 +60,7 @@
         "taker_buy_quote_volume": 4588065.23181743,
         "returns": 0.002946423556387118,
         "SMA": 55429.82000000001,
-        "side": -1,
+        "side": 1,
         "strategy_returns": 0.0,
         "strategy_returns_tc": 0.0,
         "accumulated_returns": 1.002950768528602,
@@ -80,12 +80,12 @@
         "taker_buy_quote_volume": 22979821.33981915,
         "returns": 0.006818529518377586,
         "SMA": 55565.7,
-        "side": -1,
-        "strategy_returns": -0.006818529518377586,
-        "strategy_returns_tc": -0.006818529518377586,
+        "side": 1,
+        "strategy_returns": 0.006818529518377586,
+        "strategy_returns_tc": 0.006818529518377586,
         "accumulated_returns": 1.0098127857970252,
-        "accumulated_strategy_returns": 0.993204663909056,
-        "accumulated_strategy_returns_tc": 0.993204663909056,
+        "accumulated_strategy_returns": 1.0068418286158654,
+        "accumulated_strategy_returns_tc": 1.0068418286158654,
     },
     {
         "close_time": Timestamp("2023-09-01 14:39:59.999000+0000", tz="UTC"),
@@ -100,12 +100,12 @@
         "taker_buy_quote_volume": 20037884.70780964,
         "returns": 0.005926179097336494,
         "SMA": 55784.692500000005,
-        "side": -1,
-        "strategy_returns": -0.005926179097336494,
-        "strategy_returns_tc": -0.005926179097336494,
+        "side": 1,
+        "strategy_returns": 0.005926179097336494,
+        "strategy_returns_tc": 0.005926179097336494,
         "accumulated_returns": 1.0158148844101784,
-        "accumulated_strategy_returns": 0.9873361612642191,
-        "accumulated_strategy_returns_tc": 0.9873361612642191,
+        "accumulated_strategy_returns": 1.0128262685320526,
+        "accumulated_strategy_returns_tc": 1.0128262685320526,
     },
     {
         "close_time": Timestamp("2023-09-01 14:44:59.999000+0000", tz="UTC"),
@@ -120,12 +120,12 @@
         "taker_buy_quote_volume": 10007121.78892216,
         "returns": -0.00170962942015996,
         "SMA": 55979.6575,
-        "side": -1,
-        "strategy_returns": 0.00170962942015996,
-        "strategy_returns_tc": 0.00170962942015996,
+        "side": 1,
+        "strategy_returns": -0.00170962942015996,
+        "strategy_returns_tc": -0.00170962942015996,
         "accumulated_returns": 1.0140797010812264,
-        "accumulated_strategy_returns": 0.9890255839449716,
-        "accumulated_strategy_returns_tc": 0.9890255839449716,
+        "accumulated_strategy_returns": 1.0110961902636069,
+        "accumulated_strategy_returns_tc": 1.0110961902636069,
     },
     {
         "close_time": Timestamp("2023-09-01 14:49:59.999000+0000", tz="UTC"),
@@ -140,12 +140,12 @@
         "taker_buy_quote_volume": 8146012.47892439,
         "returns": 0.0003967606653441501,
         "SMA": 56139.335,
-        "side": -1,
-        "strategy_returns": -0.0003967606653441501,
-        "strategy_returns_tc": -0.0003967606653441501,
+        "side": 1,
+        "strategy_returns": 0.0003967606653441501,
+        "strategy_returns_tc": 0.0003967606653441501,
         "accumulated_returns": 1.0144821278464156,
-        "accumulated_strategy_returns": 0.9886332553316708,
-        "accumulated_strategy_returns_tc": 0.9886332553316708,
+        "accumulated_strategy_returns": 1.0114974330541975,
+        "accumulated_strategy_returns_tc": 1.0114974330541975,
     },
     {
         "close_time": Timestamp("2023-09-01 14:54:59.999000+0000", tz="UTC"),
@@ -160,12 +160,12 @@
         "taker_buy_quote_volume": 7529521.30623853,
         "returns": -0.0008209293091875578,
         "SMA": 56192.465000000004,
-        "side": 1,
-        "strategy_returns": 0.0008209293091875578,
-        "strategy_returns_tc": 0.0008209293091875578,
+        "side": -1,
+        "strategy_returns": -0.0008209293091875578,
+        "strategy_returns_tc": -0.0008209293091875578,
         "accumulated_returns": 1.0136496514828948,
-        "accumulated_strategy_returns": 0.9894451865704871,
-        "accumulated_strategy_returns_tc": 0.9894451865704871,
+        "accumulated_strategy_returns": 1.0106674059086556,
+        "accumulated_strategy_returns_tc": 1.0106674059086556,
     },
     {
         "close_time": Timestamp("2023-09-01 14:59:59.999000+0000", tz="UTC"),
@@ -180,12 +180,12 @@
         "taker_buy_quote_volume": 9447425.0774598,
         "returns": 0.0006607487960858385,
         "SMA": 56171.759999999995,
-        "side": -1,
-        "strategy_returns": 0.0006607487960858385,
-        "strategy_returns_tc": 0.0006607487960858385,
+        "side": 1,
+        "strategy_returns": -0.0006607487960858385,
+        "strategy_returns_tc": -0.0006607487960858385,
         "accumulated_returns": 1.014319640592638,
-        "accumulated_strategy_returns": 0.9900991773243144,
-        "accumulated_strategy_returns_tc": 0.9900991773243144,
+        "accumulated_strategy_returns": 1.0099998292114958,
+        "accumulated_strategy_returns_tc": 1.0099998292114958,
     },
     {
         "close_time": Timestamp("2023-09-01 15:04:59.999000+0000", tz="UTC"),
@@ -201,10 +201,10 @@
         "returns": 0.0019165664875115606,
         "SMA": 56202.027500000004,
         "side": 0,
-        "strategy_returns": -0.0019165664875115606,
-        "strategy_returns_tc": -0.0019165664875115606,
+        "strategy_returns": 0.0019165664875115606,
+        "strategy_returns_tc": 0.0019165664875115606,
         "accumulated_returns": 1.016265515727322,
-        "accumulated_strategy_returns": 0.9882034036901499,
-        "accumulated_strategy_returns_tc": 0.9882034036901499,
+        "accumulated_strategy_returns": 1.0119374172015592,
+        "accumulated_strategy_returns_tc": 1.0119374172015592,
     },
 ]