Python for Finance Cookbook

How to do it...

Execute the following steps to implement a strategy based on the RSI.

1. Import the libraries:

from datetime import datetimeimport backtrader as bt

2. Define the signal strategy, based on bt.SignalStrategy:

class RsiSignalStrategy(bt.SignalStrategy):    params = dict(rsi_periods=14, rsi_upper=70,                   rsi_lower=30, rsi_mid=50)    def __init__(self):                rsi = bt.indicators.RSI(period=self.p.rsi_periods,                                upperband=self.p.rsi_upper,                                lowerband=self.p.rsi_lower)        bt.talib.RSI(self.data, plotname='TA_RSI')                    rsi_signal_long = bt.ind.CrossUp(rsi, self.p.rsi_lower,                                          plot=False)        self.signal_add(bt.SIGNAL_LONG, rsi_signal_long)        self.signal_add(bt.SIGNAL_LONGEXIT, -(rsi >                                               self.p.rsi_mid)) rsi_signal_short = -bt.ind.CrossDown(rsi, self.p.rsi_upper, ...