Hi Team,
I believe sharpe ration is incorrect as number of candles per day with this formula will be 8 instead of 1 , which is skewing sharpe ration - n = data.loc[datetime.datetime.strftime(data.index[-1].date(), ‘%Y-%m-%d’)].shape[0] . Also following code snippet may possiblly be wrong (candlestick_quantra_utility) ? as
plt.fill_between(data.Close[-t:].index, 0, 1, where=(data.trade_signal[-t:] > 0), color=‘green’, alpha=0.1,
lw=0) may need to be replaced by plt.fill_between(data.Close[-t:].index, 0, -1, where=(data.trade_signal[-t:] >=< 0), color=‘green’, alpha=0.1,
lw=0)
if direction == “short”:
# Plot the close prices of the stock
close_plot = data.Close[-t:].plot(figsize=(15, 7), color='blue')
# Plot the signal
signal_plot = data.trade_signal[-t:].plot(figsize=(15, 7), secondary_y=True, ax=close_plot, style='red')
# Highlight the holding periods of the long positions
plt.fill_between(data.Close[-t:].index, 0, 1, where=(data.trade_signal[-t:] > 0), color='green', alpha=0.1,
lw=0)
Thanks,
Please advise,