Structured_RSI_Stochastic.py

# Base parameters
expected_cost    = 0.2 * (lot / 10000) 
assets           = asset_list(1) 
window           = 1000

# Trading parameters   
horizon          = 'H1'

# Indicator / Strategy parameters
rsi_lookback     = 2
stochastic_lookback      = 2
upper_barrier    = 95
lower_barrier    = 5

# Mass imports 
my_data = mass_import(0, horizon)

def signal(Data, rsi_col, stoch_col, buy, sell):
    
    Data = adder(Data, 10)

    for i in range(len(Data)):     
        if Data[i, rsi_col] < lower_barrier and Data[i, stoch_col] < lower_barrier:
            Data[i, buy] = 1
            
        elif Data[i, rsi_col] > upper_barrier and Data[i, stoch_col] > upper_barrier:
            Data[i, sell] = -1 
            
    return Data

##############################################################################   1

my_data = rsi(my_data, rsi_lookback, 3, 4, genre = 'Smoothed')
my_data = stochastic(my_data, rsi_lookback, 3, 5, genre = 'High-Low')
my_data = signal(my_data, 4, 5, 6, 7) 

if sigchart == True:
    signal_chart_ohlc_color(my_data, assets[0], 3, 6, 7, window = 250)

holding(my_data, 6, 7, 8, 9)
my_data_eq = equity_curve(my_data, 8, expected_cost, lot, investment)
performance(my_data_eq, 8, my_data, assets[0])  

plt.plot(my_data_eq[:, 3], linewidth = 1, label = assets[0])
plt.grid()
plt.legend()
plt.axhline(y = investment, color = 'black', linewidth = 1)