17 lines
722 B
Python
17 lines
722 B
Python
 | from core.models import Signal
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from strategies.base import Strategy
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from utils.indicators import rsi, atr, bollinger
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class RsiMeanRev(Strategy):
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name = "rsi_meanrev"
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def on_bar(self, symbol, df):
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p = self.p
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r = rsi(df.close, p["rsi_period"])
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lo, _, hi = bollinger(df.close, p["bb_period"], p["bb_dev"])
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a = atr(df, 14).iloc[-1]
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c = df.close.iloc[-1]
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if r.iloc[-1] < p["low"] and c < lo.iloc[-1]:
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return Signal(symbol, "buy", p["sl_atr"] * a, p["tp_atr"] * a, self.name, "RSI+BB oversold")
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if r.iloc[-1] > p["high"] and c > hi.iloc[-1]:
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return Signal(symbol, "sell", p["sl_atr"] * a, p["tp_atr"] * a, self.name, "RSI+BB overbought")
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