Implement 2 strategies at the same time

[matei219]

I'm trying to add a new condition to the strategy in the guide, however I'm not getting the expected result. Can you help me indicate what I am doing wrong? I'm trying to combine SMA and RVOL at the same time. Thanks.

from backtesting import Backtest, Strategy
from backtesting.lib import crossover
from backtesting.test import GOOG
import pandas as pd
import numpy as np
import yfinance as yf

MSFT = yf.download(["MSFT"], start="2019-01-01", end="2024-01-01")
def SMA(values, n):
    """
    Return simple moving average of `values`, at
    each step taking into account `n` previous values.
    """
    return pd.Series(values).rolling(n).mean()



def RVOL(volume, window):
    """
    Calculate Relative Volume (RVOL) using a rolling window.

    Args:
        volume (np.array): Array of volume data.
        window (int): Window size for calculating the average volume.

    Returns:
        np.array: RVOL values calculated using the rolling window.
    """
    avg_volume = np.convolve(volume, np.ones(window)/window, mode='valid')
    rvol_values = volume[window-1:] / avg_volume
    rvol_values = np.concatenate((np.full(window-1, np.nan), rvol_values))
    return rvol_values

class SmaCross(Strategy):
    n1 = 20
    n2 = 50
    threshold = 1.2

    def init(self):
        close = self.data.Close
        self.sma1 = self.I(SMA, close, self.n1)
        self.sma2 = self.I(SMA, close, self.n2)
        # Precompute RVOL
        self.rvol = self.I(RVOL, self.data.Volume, 10)  # Adjust the window size as needed

    def next(self):
        if crossover(self.sma1, self.sma2) and self.rvol[-1] > self.threshold:
            self.position.close()
            self.buy()
        elif crossover(self.sma2, self.sma1) and self.rvol[-1] > self.threshold:
            self.position.close()
            self.sell()

bt = Backtest(MSFT, SmaCross,
              cash=10000, commission=.002,
              exclusive_orders=True)

stats = bt.run()
print(stats)

[s-kust]

This repository - https://github.com/s-kust/python-backtesting-template - may serve you as a good boilerplate. See the main Strategy class with next function here - https://github.com/s-kust/python-backtesting-template/blob/main/strategy/run_backtest_for_ticker.py