rsi-bt.py

from scipy import *

M = 22 #ma for rsi
N = 14 #rsi loopback
thresh = [20,80] #rsi thresholds
cost = 0.0001 # cost per trade (spread)

price = 1.3 + 0.1*randn(100) + sin(linspace(0,10,100))
ma = ema(price, M)
ri = rsindex(price-ma, N)


# Position signal
s = zeros(size(price))
# Crossing the lower threshold
indx    = ri < thresh[1]
indx    =  concatenate(([false], indx[:-1] and ~indx[1:]))
s[indx] = 1
# Crossing the upper threshold
indx    = ri > thresh[2]
indx    = concatenate(([false], indx[:-1] and ~indx[1:]))
s[indx] = -1
# Fill in zero values with prior position
for i in range(len(s)):
    if  s[i] == 0:
        s[i] = s[i-1]

# PNL Calculation
trades  = concatenate(([0,0], diff(s[:-1])) ) #shift trading by 1 period
cash    = cumsum(-trades*price-abs(trades)*cost/2);
pandl   = concatenate(([0], s[:-1]))*price + cash;