RSI Strategy Documentation

RSI Strategy Documentation#

Strategy Overview#

The RSI strategy is a momentum-based trading strategy that uses the Relative Strength Index (RSI) indicator to determine overbought and oversold conditions in the market. It generates buy and sell signals based on the RSI value, aiming to capture short-term price movements.

Usage#

To use the RSI strategy, initialize it with the following parameters:

from dxlib.strategy import RSI
from dxlib.history import History, HistorySchema
import pandas as pd

schema = HistorySchema(index={"date": "datetime64[ns]"}, columns={"close": "float64"})
data = pd.DataFrame({"date": ["2024-01-01", "2024-01-02"], "close": [100.5, 101.0]})
history = History(history_schema=schema, data=data)

rsi = RsiStrategy(window=2, overbought=70, oversold=30)

rsi.execute(history)
print(rsi.data)

>>>                           signal
>>> security date
>>> AAPL     2021-01-01  Signal.HOLD
>>>          2021-01-02  Signal.SELL
>>>          2021-01-03  Signal.HOLD
>>>          2021-01-04  Signal.HOLD
>>>          2021-01-05  Signal.HOLD
>>>          2021-01-06  Signal.HOLD
>>>          2021-01-07  Signal.HOLD
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