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30 lines
1.1 KiB
30 lines
1.1 KiB
8 years ago
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from naiback.strategy import SingleAssetStrategy
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from naiback.data.feeds import FinamCSVFeed
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from naiback.indicators import SMA, RSI
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class MyStrategy(SingleAssetStrategy):
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def __init__(self):
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super().__init__()
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def execute(self):
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exit_sma = SMA(self.bars.close, 22)
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sma = SMA(self.bars.close, 200)
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rsi = RSI(self.bars.close, 2)
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stop = 0
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for i, bar in self.bars[200:]:
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if self.last_position_is_active():
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if not self.exit_at_stop(i, self.last_position(), stop):
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if self.bars.close[i] < exit_sma[i]:
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self.exit_at_close(i, self.last_position())
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else:
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if self.bars.close[i] > exit_sma[i] and self.bars.close[i] > sma[i] and rsi[i] < 20:
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self.buy_at_open(i + 1)
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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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