def testRSI(self):
barDs = self.__loadBarDS()
self.assertAmountsAreEqual(
indicator.RSI(barDs.getCloseDataSeries(), 252, 14)[14],
49.15) # Original value 49.14
self.assertAmountsAreEqual(
indicator.RSI(barDs.getCloseDataSeries(), 252, 14)[15],
52.33) # Original value 52.32
self.assertAmountsAreEqual(
indicator.RSI(barDs.getCloseDataSeries(), 252, 14)[16], 46.07)
self.assertAmountsAreEqual(
indicator.RSI(barDs.getCloseDataSeries(), 252, 14)[-1], 49.63)
def testRSI(self):
barDs = self.__loadBarDS()
self.assertTrue(
compare(
indicator.RSI(barDs.getCloseDataSeries(), 252, 14)[14],
49.15)) # Original value 49.14
self.assertTrue(
compare(
indicator.RSI(barDs.getCloseDataSeries(), 252, 14)[15],
52.33)) # Original value 52.32
self.assertTrue(
compare(
indicator.RSI(barDs.getCloseDataSeries(), 252, 14)[16], 46.07))
self.assertTrue(
compare(
indicator.RSI(barDs.getCloseDataSeries(), 252, 14)[-1], 49.63))
def __init__(self, feed, instrument, rsiPeriod):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.__position = None
# We'll use adjusted close values instead of regular close values.
self.setUseAdjustedValues(True)
self.__prices = feed[instrument].getPriceDataSeries()
self.__position = None
self.__rsiPeriod = int(rsiPeriod)
self.__rsi = indicator.RSI(self.__prices, self.__rsiPeriod)
def enterLongSignal(self, extPriceBarDS, extPriceDS):
upper, middle, lower = indicator.BBANDS(extPriceDS,
count=100,
timeperiod=self.bBandsPeriod,
matype=MA_Type.SMA,
nbdevup=self.numStdDev,
nbdevdn=self.numStdDev)
fastk, fastd = indicator.STOCHF(extPriceBarDS,
count=100,
fastk_period=self.soPeriod,
fastd_period=self.soDPeriod,
fastd_matype=MA_Type.SMA)
rsi = indicator.RSI(extPriceDS, count=100, timeperiod=self.rsiPeriod)
longEntryFilter_1 = rsi[-1] <= self.overSoldThreshold
longEntryFilter_2 = fastd[-1] <= self.overSoldThreshold
longEntryFilter_3 = cross.cross_below(extPriceDS, lower) > 0
return longEntryFilter_1 and longEntryFilter_2 and longEntryFilter_3