RSI: moving thresholds signals

nicostro

Hi everyone,

I am fairly new to Python and Backtrader. I am testing out a simple RSI cross over strategy. Instead of having two hard-plugged thresholds for buy and sell signals, I’d like those thresholds to be moving across time series. For example, a buy signal would be triggered when current RSI is equal to the 10% minimum / lowest RSI over the last 24 hours, conversely a sell signal would be triggered when current RSI reaches the 90% highest RSI over the same period of time.

As you can see on the code below, I haven’t been successful figuring out what to code in order to get those moving thresholds (10% lowest and 90% highest thresholds) that would trigger a trade signal.

Any assistance or feedback would be greatly appreciated.

class TestStrategy(bt.Strategy):

params = (
    ('period',195),('threshold_Buy', 50),('threshold_Sell', 56),
    ) #tresholds here are hard plugged, the intent would be to have them as a percentage (for example 10% buy signal and 90% sell signal)

def log(self, txt, dt=None):
    dt = dt or self.datas[0].datetime.date(0)
    print('%s, %s' % (dt.isoformat(), txt))

def __init__(self):
    self.dataclose = self.datas[0].close
    self.order = None
    self.buyprice = None
    self.buycomm = None

    self.rsi = bt.indicators.RelativeStrengthIndex(self.datas[0], period=self.params.period) # simple RSI, period here has already been optimized for this particular stock

    self.smaRSI = bt.indicators.SimpleMovingAverage(self.rsi, period=288) #period here represents 24 hours cut into 5 minutes timeframe periods

def notify_order(self, order):
    if order.status in [order.Submitted, order.Accepted]:
        # Buy/Sell order submitted/accepted to/by broker - Nothing to do
        return

    if order.status in [order.Completed]:
        if order.isbuy():
            self.log(
                'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                (order.executed.price,
                 order.executed.value,
                 order.executed.comm))

            self.buyprice = order.executed.price
            self.buycomm = order.executed.comm
        else:
            self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                     (order.executed.price,
                      order.executed.value,
                      order.executed.comm))

        self.bar_executed = len(self)

    elif order.status in [order.Canceled, order.Margin, order.Rejected]:
        '''self.log('Order Canceled/Margin/Rejected')'''

    self.order = None

def notify_trade(self, trade):
    if not trade.isclosed:
        return

    self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
             (trade.pnl, trade.pnlcomm))

def next(self):

    if self.order:
        return

    if not self.position:

        print('rsi', self.rsi[0], 'smaRSI', self.smaRSI[0])

        if self.rsi[0] < self.params.threshold_Buy:
            self.order = self.buy()

    else:

        if self.rsi[0] > self.params.threshold_Sell:
            self.order = self.sell()

ab_trader

I would start from this script (didn't test):

class TestStrategy(bt.Strategy):

    params = (('period',195), ('threshold_Buy', 10), ('threshold_Sell', 90),)

    def __init__(self):

        self.rsi = bt.indicators.RelativeStrengthIndex(period=self.p.period)
        self.rsiHHV = bt.indicators.Highest(self.rsi, period=288)
        self.rsiLLV = bt.indicators.Lowest(self.rsi, period=288)

        self.buysig = (self.rsi >= self.p.threshold_Buy * self.rsiHHV)
        self.sellsig = (self.rsi <= self.p.threshold_Sell * self.rsiLLV)

nicostro

Great thanks, exactly what I needed.

I just changed the buy / sell signals as per the below:

        if self.rsi[0] <= (np.percentile([self.rsiLLV[0], self.rsiHHV[0]], self.p.threshold_Buy)):
            self.order = self.buy()

 else:

        if self.rsi[0] >= (np.percentile([self.rsiLLV[0], self.rsiHHV[0]], self.p.threshold_Sell)):
            self.order = self.sell()

Many thanks again