Fix look-ahead bias in swing_highs_lows#103
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atharvajoshi01 wants to merge 1 commit intojoshyattridge:masterfrom
Open
Fix look-ahead bias in swing_highs_lows#103atharvajoshi01 wants to merge 1 commit intojoshyattridge:masterfrom
atharvajoshi01 wants to merge 1 commit intojoshyattridge:masterfrom
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The centered window approach used shift(-(swing_length // 2)) which peeks into future bars, inflating backtest results. Replaced with a confirm-bars method: candidate bar must be the extreme in the past lookback window, then confirmed by subsequent bars all being less extreme. No future data is used.
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Fixes #101.
The centered window in
swing_highs_lows()usedshift(-(swing_length // 2))which pulls in future bar data. This inflates backtest results significantly (as reported: PF 7.32 vs 1.82 without bias).Replaced with a confirm-bars approach:
lookbackwindowconfirm_barssubsequent bars all being less extremeThe deduplication logic (removing consecutive same-direction swings) and boundary handling are unchanged.