Initial commit of RSI 25 / 75 strategy

strategies/__init__.py

@@ -12,6 +12,7 @@ from .internal_bar_strength_band import internal_bar_strength_band
 from .large_moves_down import large_moves_down
 from .lower_lows import lower_lows
 from .put_call_ratio_highs import put_call_ratio_highs
+from .rsi_25_75 import rsi_25_75
 from .rsi_power_zones import rsi_power_zones
 from .short_term_lows import short_term_lows
 from .tps import tps

strategies/rsi_25_75.py

@@ -0,0 +1,20 @@
+import numpy as np
+
+from pandas import DataFrame, Series
+
+from indicators import sma, rsi
+
+def rsi_25_75(data: DataFrame) -> Series:
+    """
+    Calculate signals for the RSI 25 / 75 strategy.
+
+    Returns a Series with 'L' for long signals and 'N' otherwise.
+    """
+    ma_200 = sma(data, period = 200)
+    rsi_4 = rsi(data, period = 4)
+
+    above_ma_200 = data['Close'] > ma_200
+    rsi_below_25 = rsi_4 < 25
+
+    conditions = above_ma_200 & rsi_below_25
+    return Series(np.where(conditions, 'L', 'N'), index = data.index)

test/rsi_25_75_test.py

@@ -0,0 +1,13 @@
+from datetime import datetime, timedelta
+
+from ohlc import ohlc
+from strategies import rsi_25_75
+
+today = datetime.today()
+data = ohlc('SPY', start_date = today - timedelta(days = 365), end_date = today)
+
+signals = rsi_25_75(data)
+
+result = data[['Date']].copy()
+result['Signal'] = signals
+print(result.tail(50))