def __init__(self, close, rsi: indicators.RSI, fee=0.0):
Strategy.__init__(self, close.index, fee=0.0)
lowthreshpassed = False
lowlowthreshpassed = False
hithreshpassed = False
hihithreshpassed = False
hasbought = False
close['rsi'] = rsi.data()
for index, row in close.iterrows():
# achat en fonction du RSI
if row['rsi'] < 33:
lowthreshpassed = True
if row['rsi'] < 20:
lowlowthreshpassed = True
if row['rsi'] > 66:
hithreshpassed = True
if row['rsi'] > 80:
hihithreshpassed = True
if row['rsi'] > 20 and lowlowthreshpassed == True:
lowlowthreshpassed = False
if hasbought == False:
hasbought = True
if row['rsi'] > 33 and lowthreshpassed == True:
lowthreshpassed = False
if hasbought == False:
hasbought = True
# on revend par RSI seulement si c'est le seul signal qui a généré l'achat
if row['rsi'] < 80 and hihithreshpassed == True:
hihithreshpassed = False
if hasbought == True:
hasbought = False
if row['rsi'] < 66 and hithreshpassed == True:
hithreshpassed = False
if hasbought == True:
hasbought = False
if hasbought == True:
self.signals['signal'].loc[index] = 1.0
self.signals['positions'] = self.signals['signal'].diff()
def __init__(self,
close,
rsi: indicators.RSI,
macd: indicators.MACD,
fee=0.0):
Strategy.__init__(self, close.index, fee=0.0)
# indique le signal en cours sachant que MACD > RSI
buysignalstrat = None
macdcrossedfromdown = False
macdcrossedfromtop = False
lowthreshpassed = False
lowlowthreshpassed = False
hithreshpassed = False
hihithreshpassed = False
hasbought = False
self.signals['rsi'] = rsi.data()
self.signals['macd'], self.signals['macd_signal'] = macd.data()
for index, row in self.signals.iterrows():
# achat en fonction du RSI
if row['rsi'] < 33:
lowthreshpassed = True
if row['rsi'] < 20:
lowlowthreshpassed = True
if row['rsi'] > 66:
hithreshpassed = True
if row['rsi'] > 80:
hihithreshpassed = True
if row['rsi'] > 20 and lowlowthreshpassed == True:
lowlowthreshpassed = False
if hasbought == False:
hasbought = True
buysignalstrat = "RSI"
if row['rsi'] > 33 and lowthreshpassed == True:
lowthreshpassed = False
if hasbought == False:
hasbought = True
buysignalstrat = "RSI"
# on revend par RSI seulement si c'est le seul signal qui a généré l'achat
if row['rsi'] < 80 and hihithreshpassed == True:
hihithreshpassed = False
if hasbought == True and buysignalstrat == "RSI":
hasbought = False
buysignalstrat = None
if row['rsi'] < 66 and hithreshpassed == True:
hithreshpassed = False
if hasbought == True and buysignalstrat == "RSI":
hasbought = False
buysignalstrat = None
# achat en fonction de la MACD
# TODO : lorsque le marché stagne, la MACD génère beaucoup de faux signaux, comment les éviter ?
if row['macd'] > row[
'macd_signal'] and macdcrossedfromdown == False:
macdcrossedfromdown = True
macdcrossedfromtop = False
if hasbought == False:
hasbought = True
# même si nous avions acheté avec le RSI, si le signal est confirmé par la MACD
# il sera considéré comme étant prévalant
buysignalstrat = "MACD"
if row['macd'] < row['macd_signal'] and macdcrossedfromtop == False:
macdcrossedfromtop = True
macdcrossedfromdown = False
if hasbought == True:
hasbought = False
buysignalstrat = None
if hasbought == True:
self.signals['signal'].loc[index] = 1.0
self.signals['positions'] = self.signals['signal'].diff()