Beginer help / Simple RSI strategy

Mike

Hello,

Very beginner question, I wanted to build a very simple RSI strategy which is long/short. In other words, it does reversals so we are always in position. Can anyone guide me how to begin, so far I'm able to do long-only strategy but struggling with coding reversal logic

class RSIStrategy(bt.Strategy):

def __init__(self):
    self.rsi = bt.indicators.RSI_SMA(self.data.close, period=14)

def next(self):
    if not self.position:
        if self.rsi < 30:
            self.buy(size=100)
    else:
        if self.rsi > 70:
            self.sell(size=100)

backtrader

Instead of sell when you are in the market, use close (which obviously closes the existing position)

And use the < 30 and > 70 comparisons as the entry points if you are not in the market.

Jeffrey C F Wong

@Mike , I am also a fellow newbie at python/algo trading and I am trying to achive something similar, again just like you, I couldn't find any reference on this except this post. Do you mind sharing your code on how to exactly do this? Thank you.

run-out

@Mike said in Beginer help / Simple RSI strategy:

if not self.position:

If you are always in a position, then this part of the code will only execute once. Once you do you first entry, you will be in self.position, and never get past this if statement a second time.

Here is an excellent discussion similar to your question. Try researching here and in other community threads. This has been discussed frequently.

https://community.backtrader.com/topic/24/how-do-i-stop-and-reverse-on-same-bar/10

run-out

@run-out Wow I missed the date on this one.... old.