量化交易学习-RSI策略2

加入交易信号二 RSI的“黄金交叉”与“死亡交叉”

用Ta-Lib计算6日的RSI值和24日的RSI值

• 当RSI6>70或者RSI6向下穿过RSI24时，为卖出信号。
• 当RSI6<30或者RSI6向上穿过RSI24时，为买入信号。

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime  # For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])

# Import the backtrader platform
import backtrader as bt

# Create a Stratey
class TestStrategy(bt.Strategy):

    params = (
        ('RSI6period', 6),
        ('RSI24period', 24),
    )
    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))
    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close
        # To keep track of pending orders and buy price/commission
        self.order = None
        self.buyprice = None
        self.buycomm = None
        # 添加Ta-Lib RSI指标
        self.RSI6=bt.talib.RSI(self.data, timeperiod= self.p.RSI6period)
        self.RSI24=bt.talib.RSI(self.data, timeperiod= self.p.RSI24period)
        self.crossover = bt.ind.CrossOver(self.RSI6, self.RSI24)  # 交叉信号

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
            return
         # Check if an order has been completed
        # Attention: broker could reject order if not enough cash
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                    (order.executed.price,
                     order.executed.value,
                     order.executed.comm))
                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else: # Sell
                self.log(