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29 lines
1.1 KiB
29 lines
1.1 KiB
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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 in self.bars.index[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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