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from naiback.strategy import Strategy
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from naiback.data.feeds import GenericCSVFeed
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from naiback.indicators import SMA, RSI
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class MyStrategy(Strategy):
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def __init__(self):
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super().__init__()
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def execute(self):
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self.set_context('FOO')
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rsi1 = RSI(self.bars.close, 2)
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self.set_context('BAR')
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rsi2 = RSI(self.bars.close, 2)
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for i in self.bars.index[200:]:
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if self.last_position_is_active():
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if i - self.last_position().entry_bar > 3:
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for position in self.all_positions():
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position.exit_at_close(i)
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else:
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if rsi1[i] < 20 and rsi2[i] > 80:
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self.buy_at_open(i + 1, 'FOO')
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self.short_at_open(i + 1, 'BAR')
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if __name__ == "__main__":
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strategy = MyStrategy()
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strategy.add_feed(FinamCSVFeed('data/SBER_20100101_20161231_daily.csv'))
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strategy.run(from_time='2012-01-01', to_time='2016-12-31')
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print(strategy.get_analyzer('stats').generate_plain_text())
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