daily update

research/strats/WVAP_DIVERGENCE/signal_func_nb.py

@@ -2,15 +2,18 @@ from numba import njit
 import vectorbtpro as vbt
 @njit
 def signal_func_nb(c, entries, exits, short_entries, short_exits, cooldown_time, cooldown_bars):
-    entry = vbt.pf_nb.select_nb(c, entries)
-    exit = vbt.pf_nb.select_nb(c, exits)
+    long_entry = vbt.pf_nb.select_nb(c, entries)
+    long_exit = vbt.pf_nb.select_nb(c, exits)
     short_entry = vbt.pf_nb.select_nb(c, short_entries)
     short_exit = vbt.pf_nb.select_nb(c, short_exits)
     if not vbt.pf_nb.in_position_nb(c): #c.last_position == 0
         if vbt.pf_nb.has_orders_nb(c):  
             last_exit_idx = c.last_pos_info[c.col]["exit_idx"] #(92)  #If not in position, position information records contain information on the last (closed) position
-            if cooldown_time is not None and c.index[c.i] - c.index[last_exit_idx] < cooldown_time:
-                return False, exit, False, short_exit #disable entry
-            elif cooldown_bars is not None and last_exit_idx + cooldown_bars > c.i:
-                return False, exit, False, short_exit #disable entry
-    return entry, exit, short_entry, short_exit
+            if cooldown_time is not None and c.index[c.i] - c.index[last_exit_idx] <= cooldown_time:
+                return False, long_exit, False, short_exit #disable entry
+            elif cooldown_bars is not None and last_exit_idx + cooldown_bars >= c.i:
+                return False, long_exit, False, short_exit #disable entry
+    #if in position, entries are disabled too
+    else:
+        return False, long_exit, False, short_exit #disable entry
+    return long_entry, long_exit, short_entry, short_exit