From 5f4cb2ee2c676df5c59bb30029f8ddb499e40842 Mon Sep 17 00:00:00 2001 From: =?utf8?q?J=C3=A9r=C3=B4me=20Benoit?= Date: Tue, 18 Mar 2025 17:13:10 +0100 Subject: [PATCH] fix(qav3): look-ahead bias in top_change_percent() MIME-Version: 1.0 Content-Type: text/plain; charset=utf8 Content-Transfer-Encoding: 8bit Signed-off-by: Jérôme Benoit --- quickadapter/user_data/strategies/QuickAdapterV3.py | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/quickadapter/user_data/strategies/QuickAdapterV3.py b/quickadapter/user_data/strategies/QuickAdapterV3.py index 28cbfaf..e2c95a8 100644 --- a/quickadapter/user_data/strategies/QuickAdapterV3.py +++ b/quickadapter/user_data/strategies/QuickAdapterV3.py @@ -43,7 +43,7 @@ class QuickAdapterV3(IStrategy): INTERFACE_VERSION = 3 def version(self) -> str: - return "3.1.3" + return "3.1.4" timeframe = "5m" @@ -603,8 +603,8 @@ def top_change_percent(dataframe: DataFrame, period: int) -> Series: previous_close = dataframe["close"].shift(1) return (dataframe["close"] - previous_close) / previous_close else: - close_max = dataframe["close"].rolling(period).max() - return (dataframe["close"] - close_max) / close_max + previous_close_max = dataframe["close"].rolling(period).max().shift(1) + return (dataframe["close"] - previous_close_max) / previous_close_max # VWAP bands -- 2.43.0