Number of trades might not be correct

[huytradingz]

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)

`

[peacerider]

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)