日本株システムトレードプラットフォーム QuantX 上で RSI による売買アルゴリズムを開発する ref: https://qiita.com/kozzy/items/06692c4908659f3ca26c

file0.txt

import pandas as pd
import talib as ta
import numpy as np

def initialize(ctx):
    # 設定
    ctx.logger.debug("initialize() called")
    ctx.configure(
      channels={          # 利用チャンネル
        "jp.stock": {
          "symbols": [
            "jp.stock.1305",
            "jp.stock.9984",
            "jp.stock.9983",
            "jp.stock.7201",
            "jp.stock.9201",
            "jp.stock.9202",
            "jp.stock.7203"
          ],
          "columns": [
            #"open_price_adj",    # 始値(株式分割調整後)
            #"high_price_adj",    # 高値(株式分割調整後)
            #"low_price_adj",     # 安値(株式分割調整後)
            #"volume_adj",         # 出来高
            #"txn_volume",         # 売買代金
            "close_price",        # 終値
            "close_price_adj",    # 終値(株式分割調整後) 
          ]
        }
      }
    )

    def _my_signal(data):
      cp = data["close_price_adj"].fillna(method="ffill")
      rsi9 = pd.DataFrame(data=0,columns=[], index=cp.index)
      for (sym,val) in cp.items():
        rsi9[sym] = ta.RSI(cp[sym].values.astype(np.double), timeperiod=9)

      return {
        "rsi9": rsi9,
        "buy:sig": rsi9 < 20,
        "sell:sig": rsi9 > 80,
      }

    # シグナル登録
    ctx.regist_signal("my_signal", _my_signal)

def handle_signals(ctx, date, current):
    '''
    current: pd.DataFrame
    '''

    done_syms = set([])
    buy = current["buy:sig"].dropna()
    sell = current["sell:sig"].dropna()
    df_buy = buy[buy > 0]
    for (sym,val) in df_buy.items():
        sec = ctx.getSecurity(sym)
        sec.order(sec.unit() * 1, comment="SIGNAL BUY")
        #ctx.logger.debug("BUY: %s,  %f" % (sec.code(), val))

    df_sell = sell[sell > 0]
    for (sym,val) in df_sell.items():
        sec = ctx.getSecurity(sym)
        sec.order_target_percent(0, comment="SIGNAL SELL")
        #ctx.logger.debug("SELL: %s,  %f" % (sec.code(), val))

file1.txt

cp = data["close_price_adj"].fillna(method="ffill")

file2.txt

for (sym,val) in cp.items():
  rsi9[sym] = ta.RSI(cp[sym].values.astype(np.double), timeperiod=9)

file3.txt

return {
  "rsi9": rsi9,
}

file4.txt

rsi9 = current["rsi9"].dropna()

file5.txt

df_buy = rsi9[rsi9 < 20]
df_sell = rsi9[rsi9 > 80]

file6.txt

for (sym,val) in df_buy.items():
  sec = ctx.getSecurity(sym)
  sec.order(sec.unit() * 1, comment="SIGNAL BUY")
  # ctx.logger.debug("BUY: %s,  %f" % (sec.code(), val))