Not filtering RSI and ROC properly (code included)

[anpo2030]

Hi,

I am having problem with my strategy that is supposed to take trades when RSI is above 70, and ROC is above 5, as an example.

But when I print out the values in the trades afterwards, it shows RSI below 70. I also tried with only the RSI signals and then use the "SelectMomentum" in the strategy with no luck, same result.

Can someone please shed the light for me here?

import bt
import pandas as pd
import talib as ta

# List of stock symbols to test

stock_symbols = ['AAPL', 'GOOGL', 'MSFT', 'AMZN', 'META']

data = bt.get(stock_symbols, start='2023-06-01', end='2023-12-31')

# Fill NaN values with zero

data_filled = data.fillna(0)

# Calculate RSI for each stock

rsi = data_filled.apply(lambda x: ta.RSI(x, timeperiod=14))

# Calculate ROC for each stock

roc = data_filled.apply(lambda x: ta.ROC(x, timeperiod=25))
#roc = data_filled.pct_change(25) * 100 # 25-day ROC, multiplied by 100 for percentage

# Create signals based on RSI and momentum

rsi_signal = rsi > 70

# Create a signal based on ROC

roc_signal = roc > 5

# Create the combined signal

combined_signal = rsi_signal & roc_signal

# Create the strategy

my_strategy = bt.Strategy('s1', [
    bt.algos.RunAfterDate('2023-07-01'), # Run after the specified date
    bt.algos.RunWeekly(),
    bt.algos.SelectWhere(combined_signal),
    #bt.algos.SelectMomentum(n=1, lookback=pd.DateOffset(days=25)),
    bt.algos.WeighEqually(),
    bt.algos.Rebalance()
])

# Create the backtest and run it

test = bt.Backtest(my_strategy, data)
result = bt.run(test)

# Access RSI values

rsi_values_list = []
roc_values_list = []

# Get the latest transactions

latest_transactions = result.get_transactions().tail(10) # You can adjust the number as needed

# Print RSI values for the stocks in the latest transactions

#for stock, date in latest_transactions.index:
for date, stock in latest_transactions.index:
    rsi_value = rsi.loc[date, stock]
    roc_value = roc.loc[date, stock]
    print(f"Stock: {stock}, Date: {date}, RSI: {rsi_value}, ROC: {roc_value}")

print("end")