You can not select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
30 lines
1.0 KiB
30 lines
1.0 KiB
|
|
from naiback.strategy import Strategy |
|
from naiback.data.feeds import FinamCSVFeed |
|
from naiback.indicators import SMA, RSI |
|
|
|
class MyStrategy(Strategy): |
|
|
|
def __init__(self): |
|
super().__init__() |
|
|
|
def execute(self): |
|
self.set_context('FOO') |
|
rsi1 = RSI(self.bars.close, 2) |
|
self.set_context('BAR') |
|
rsi2 = RSI(self.bars.close, 2) |
|
for i in self.bars.index[200:]: |
|
if self.last_position_is_active(): |
|
if i - self.last_position().entry_bar > 3: |
|
for position in self.all_positions(): |
|
position.exit_at_close(i) |
|
else: |
|
if rsi1[i] < 20 and rsi2[i] > 80: |
|
self.buy_at_open(i + 1, 'FOO') |
|
self.short_at_open(i + 1, 'BAR') |
|
|
|
if __name__ == "__main__": |
|
strategy = MyStrategy() |
|
strategy.add_feed(FinamCSVFeed('data/SBER_20100101_20161231_daily.csv')) |
|
strategy.run(from_time='2012-01-01', to_time='2016-12-31') |
|
print(strategy.get_analyzer('stats').generate_plain_text())
|
|
|