I am using the backtesting.py to carry out a simple backtest strategy about the simple moving average crossing. But Sharpe, Sortino and Calmar Ratio all show 0. What's wrong in my code? Kindly ask for your help. The 3 ratios show proper values when I used the test GOOG dataset from the library, which is in daily interval.
It appears that the issue is related to the timestamp column of my dataset which is a csv. On the other hand, I tried to use a dataset from yfinance python library for AAPL which loads the index automatically and the analysis runs properly with the sharpe ratio shown.
However, in my original dataset, I have to use below to set the timestamp column and index.
a subset of the csv data is here.
btc['timestamp'] = pd.to_datetime(btc['timestamp'], format="%d/%m/%Y %H:%M")
btc.set_index('timestamp', inplace=True)
def SMA(values, n):
return pd.Series(values).rolling(n).mean()
class SmaCross(Strategy):
n1 = 5
n2 = 10
def init(self):
self.sma1 = self.I(SMA, self.data.Close, self.n1)
self.sma2 = self.I(SMA, self.data.Close, self.n2)
def next(self):
if crossover(self.sma1, self.sma2):
self.position.close()
self.buy(size=1)
elif crossover(self.sma2, self.sma1):
self.position.close()
self.sell(size=1)
bt = Backtest(btc, SmaCross, cash = 1000000)
stats = bt.run()
print(stats)
backtest results
Data head
Data info
