forked from gbeced/pyalgotrade
-
Notifications
You must be signed in to change notification settings - Fork 1
/
rsi2.py
82 lines (68 loc) · 3.14 KB
/
rsi2.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
from pyalgotrade import strategy
from pyalgotrade.technical import ma
from pyalgotrade.technical import rsi
from pyalgotrade.technical import cross
class RSI2(strategy.BacktestingStrategy):
def __init__(self, feed, instrument, entrySMA, exitSMA, rsiPeriod, overBoughtThreshold, overSoldThreshold):
super(RSI2, self).__init__(feed)
self.__instrument = instrument
# We'll use adjusted close values, if available, instead of regular close values.
if feed.barsHaveAdjClose():
self.setUseAdjustedValues(True)
self.__priceDS = feed[instrument].getPriceDataSeries()
self.__entrySMA = ma.SMA(self.__priceDS, entrySMA)
self.__exitSMA = ma.SMA(self.__priceDS, exitSMA)
self.__rsi = rsi.RSI(self.__priceDS, rsiPeriod)
self.__overBoughtThreshold = overBoughtThreshold
self.__overSoldThreshold = overSoldThreshold
self.__longPos = None
self.__shortPos = None
def getEntrySMA(self):
return self.__entrySMA
def getExitSMA(self):
return self.__exitSMA
def getRSI(self):
return self.__rsi
def onEnterCanceled(self, position):
if self.__longPos == position:
self.__longPos = None
elif self.__shortPos == position:
self.__shortPos = None
else:
assert(False)
def onExitOk(self, position):
if self.__longPos == position:
self.__longPos = None
elif self.__shortPos == position:
self.__shortPos = None
else:
assert(False)
def onExitCanceled(self, position):
# If the exit was canceled, re-submit it.
position.exitMarket()
def onBars(self, bars):
# Wait for enough bars to be available to calculate SMA and RSI.
if self.__exitSMA[-1] is None or self.__entrySMA[-1] is None or self.__rsi[-1] is None:
return
bar = bars[self.__instrument]
if self.__longPos is not None:
if self.exitLongSignal():
self.__longPos.exitMarket()
elif self.__shortPos is not None:
if self.exitShortSignal():
self.__shortPos.exitMarket()
else:
if self.enterLongSignal(bar):
shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
self.__longPos = self.enterLong(self.__instrument, shares, True)
elif self.enterShortSignal(bar):
shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
self.__shortPos = self.enterShort(self.__instrument, shares, True)
def enterLongSignal(self, bar):
return bar.getPrice() > self.__entrySMA[-1] and self.__rsi[-1] <= self.__overSoldThreshold
def exitLongSignal(self):
return cross.cross_above(self.__priceDS, self.__exitSMA) and not self.__longPos.exitActive()
def enterShortSignal(self, bar):
return bar.getPrice() < self.__entrySMA[-1] and self.__rsi[-1] >= self.__overBoughtThreshold
def exitShortSignal(self):
return cross.cross_below(self.__priceDS, self.__exitSMA) and not self.__shortPos.exitActive()