I have created a simple weekly RSI rotation strategy. My dataset contains both ETFs and Crypto. The problem I am seeing is that if the weekly rebalance day occurs on a holiday and if there is a buy signal for Crypto, the strategy attempts to sell ETFs (based on sell signals) to move into Crypto. Of course, Crypto trades 24x7. This causes the ETFs to be held 0 days and a position being taking in Crypto (it things there are funds due to the invalid sale of the etfs). Here are some examples:
IMO, it is fine if the crypto gets a buy signal on these days but there shouldn't be any attempt to sell the ETFs when the market is closed. I discovered this attempting to duplicate the rotation strategy in C# and couldn't match the results. The C# strategy works as expected, with a crypto buy signal but unable to sell the ETFs.
IMO, it is fine if the crypto gets a buy signal on these days but there shouldn't be any attempt to sell the ETFs when the market is closed. I discovered this attempting to duplicate the rotation strategy in C# and couldn't match the results. The C# strategy works as expected, with a crypto buy signal but unable to sell the ETFs.
Rename
You've got another problem with this mix of daily assets:
The opening time for stocks is 09:30 EST but for crypto daily data it's 00:00 UTC, which 19:00 EST, 1 day prior. So your trades at the open are out of sync by about 12.5 hours.
The only way you could test this strategy properly is by creating your own daily data from intraday, adjusting the OHLC/V accordingly. That's for starters.
The opening time for stocks is 09:30 EST but for crypto daily data it's 00:00 UTC, which 19:00 EST, 1 day prior. So your trades at the open are out of sync by about 12.5 hours.
The only way you could test this strategy properly is by creating your own daily data from intraday, adjusting the OHLC/V accordingly. That's for starters.
Good point. Probably easiest fix is not to mix crypto and ETFs in the same dataset
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