beginner's question, n-day offset

[Thomas2086]

Hi,
thanks for your great work.

I am just learning time offsets, this is not meant to be profitable. Is something like that the proper way: sma1[-5] ?
Why does signal generation stop beyond 2009?

from backtesting.test import SMA, GOOG

class SmaCross(Strategy):
    n1 = 10

    def init(self):
        close = self.data.Close
        self.sma1 = self.I(SMA, close, self.n1)

    def next(self):
        if self.sma1[-1] > self.sma1[-5]:
            self.buy()
        elif self.sma1[-1] < self.sma1[-5]:
            self.sell()


bt = Backtest(GOOG, SmaCross,
              cash=10000, commission=.002,
              exclusive_orders=True)

[kernc]

        if self.sma1[-1] > self.sma1[-5]:
            self.buy()

This will issue a buy order for 100% of available equity on every bar where the present SMA value is greater than the SMA value four bars prior.
Likewise for self.sell(), which will not necessarily close existing long positions. (Use self.position.close() beforehand.)

Why does signal generation stop beyond 2009?

If you instead bt.plot(plot_equity=True), you will most likely notice your equity ran below the price of even a single unit ...

[Thomas2086]

Thanks for clarification. What I wanted to test works now. The good performance is accidential.

import talib
from backtesting.test import GOOG
from backtesting import Backtest, Strategy

lag = -3
class SmaCross(Strategy):
    def init(self):
        close = self.data.Close
        self.sma = self.I(talib.SMA, self.data.Close, 120)
        self.linR = self.I(talib.LINEARREG, self.data.Close, 60)

    def next(self):
        if (self.linR[-1] > self.linR[lag]) and (self.sma[-1] > self.sma[lag]):
            if not self.position.is_long:
                self.buy()
        elif (self.linR[-1] < self.linR[lag]) and (self.sma[-1] < self.sma[lag]):
            if not self.position.is_short:
                self.sell()
        else: self.position.close()

bt = Backtest(GOOG, SmaCross,
              cash=10000, commission=.002, trade_on_close=True,
              exclusive_orders=True)
stats = bt.run()

Start 2004-08-19 00:00:00
End 2013-03-01 00:00:00
Duration 3116 days 00:00:00
Exposure Time [%] 57.82123
Equity Final [$] 74249.62476
Equity Peak [$] 74310.34476
Commissions [$] 8493.1346
Return [%] 642.49625
Buy & Hold Return [%] 305.85481
Return (Ann.) [%] 26.51688
Volatility (Ann.) [%] 29.12905
CAGR [%] 17.60224
Sharpe Ratio 0.91032
Sortino Ratio 1.80959
Calmar Ratio 1.23205
Max. Drawdown [%] -21.52265
Avg. Drawdown [%] -3.94745
Max. Drawdown Duration 536 days 00:00:00
Avg. Drawdown Duration 38 days 00:00:00

Trades 59

Win Rate [%] 49.15254
Best Trade [%] 57.35123
Worst Trade [%] -6.93094
Avg. Trade [%] 3.64659
Max. Trade Duration 140 days 00:00:00
Avg. Trade Duration 29 days 00:00:00
Profit Factor 4.19316