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attempt fix for lookahead bias

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This commit is contained in:
Simon Moisy 2025-05-27 18:08:42 +08:00
parent 6916722a43
commit b013183f67
1 changed files with 3 additions and 3 deletions
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6
cycles/strategies/default_strategy.py
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@ -123,12 +123,12 @@ class DefaultStrategy(StrategyBase):
if not self.initialized: if not self.initialized:
return StrategySignal("HOLD", 0.0) return StrategySignal("HOLD", 0.0)
if df_index < 1: if df_index < 2: # shifting one index to prevent lookahead bias
return StrategySignal("HOLD", 0.0) return StrategySignal("HOLD", 0.0)
# Check for meta-trend entry condition # Check for meta-trend entry condition
prev_trend = backtester.strategies["meta_trend"][df_index - 1] prev_trend = backtester.strategies["meta_trend"][df_index - 2]
curr_trend = backtester.strategies["meta_trend"][df_index] curr_trend = backtester.strategies["meta_trend"][df_index - 1]
if prev_trend != 1 and curr_trend == 1: if prev_trend != 1 and curr_trend == 1:
# Strong confidence when all indicators align for entry # Strong confidence when all indicators align for entry