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31 lines
1.2 KiB
31 lines
1.2 KiB
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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 EMA, 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_current_ticker('SBER') |
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rsi1 = RSI(self.bars.close, 2) |
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self.set_current_ticker('GAZP') |
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rsi2 = RSI(self.bars.close, 2) |
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for i in self.bars.index[200:-1]: |
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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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self.exit_at_close(i, position) |
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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, 'SBER') |
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self.short_at_open(i + 1, 'GAZP') |
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if __name__ == "__main__": |
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strategy = MyStrategy() |
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strategy.add_feed(GenericCSVFeed(open('data/SBER_20100101_20171231_daily.csv', 'r'))) |
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strategy.add_feed(GenericCSVFeed(open('data/GAZP_20100101_20171231_daily.csv', 'r'))) |
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strategy.run(from_time='2012-01-01', to_time='2017-12-31') |
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print(strategy.get_analyzer('stats').generate_plain_text())
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