Trading Idea - single stock method

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Trading Idea - single stock method

posted

Very overwhelmed so far with the coding necessary to make this happen, so I thought I'd throw this out for any comments or pointers. I'd like to build this simple algor as described:

Using the RSI as a set up:

Once the signal line has crossed over the top or bottom limits (70,30)

A trade is setup to be executed (Buy or Sell) when the signal line later crosses back over one or the other limits AND the stock price has crossed over or under a moving average as per the direction of the trade.

I would like to also include a following stop that can be set to a % or dollar amount.

2 responses

Hello James,

Here's some code and a backtest:

import talib 

def initialize(context):  
    context.stock = sid(8554) # SPY  
    context.prior_bar_day = None

def handle_data(context, data):  
    if get_datetime().day != context.prior_bar_day:  
        closes = history(16,'1d','price')[0:-1]  
        RSI = talib.RSI(closes[context.stock],timeperiod=14)[-1]  
        # print RSI  
        record(RSI=RSI)  
        if RSI > 70:  
            order_target_percent(context.stock,1)  
        elif RSI < 30:  
            order_target_percent(context.stock,0)  
    context.prior_bar_day = get_datetime().day

I think it's correct, but you might want to check the RSI calculation against your expectation, since I'm not so familiar with the Quantopian TA-LIB implementation.

Grant

Thanks very much Grant! I'm looking over the code, and I can't determine whether or not trades are being executed at some point after the RSI has gone above the limits and then crossed back over or trades are taken after the signal line has simply crossed. I ran a test, but I can't really figure out the exact conditions that the trades were made under. Furthermore, I'm going to need to coordinate the conditions returned by the RSI code with a MA requirement - correct? I don't think I see that in this bit of code.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.