Hi guys,
I'm trying to figure out how to code a very simple strategy but I'm having trouble re-sampling Quantopian's 1m data into 30m data because this strategy uses the RSI on a 30m chart to trade. I don't know if I coded the RSI correctly neither. I'm not a programmer so it's been a bit difficult to figure out what to do.
If RSI(11) cross> 50, buy SPY with 100% equity
If RSI(11) cross< 50, short SPY with 100% equity
Thanks ahead!
import numpy as np
import math
import talib
def initialize(context):
context.stock = symbol('SPY')
set_benchmark(symbol('SPY'))
# For every minute available (max is 6 hours and 30 minutes)
total_minutes = 6*60 + 30
for i in range(1, total_minutes):
# Every 30 minutes run schedule
if i % 30 == 0:
# This will start at 6:31AM and will run every 30 minutes
schedule_function(
myfunc,
date_rules.every_day(),
time_rules.market_open(minutes=i),
True
)
def myfunc
pass
def handle_data(context, data):
SPY = context.stock
prices = history(390, '1m', 'close')
rsi = prices.apply(talib.RSI, timeperiod=11).iloc[-1]
#Buy XIV when RSI crosses above 50
if rsi[SPY] > 50:
order_target_percent(SPY, 1.00)
#Short SPY when RSI crosses below 50
elif rsi[SPY] < 50:
order_target_percent(SPY, -1.00)
record(leverage = context.account.leverage)
