Yuxuan Yan
28 lines
981 B
Python
28 lines
981 B
Python
import backtrader as bt
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class FiveDayReversal(bt.Strategy):
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"""Buy on 5-day oversold signal, sell on bounce or time stop."""
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params = (
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("lookback", 5),
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("entry_threshold", -0.05), # buy when 5-day return < -5%
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("exit_threshold", 0.0), # sell when 1-day return > 0%
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("max_hold", 3), # max hold days
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)
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def __init__(self):
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self.roc5 = bt.indicators.RateOfChange(self.data.close, period=self.params.lookback)
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self.hold_counter = 0
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def next(self):
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if not self.position:
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if self.roc5[0] < self.params.entry_threshold: # RateOfChange returns a fraction, not %
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self.buy()
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self.hold_counter = 0
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else:
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self.hold_counter += 1
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roc1 = (self.data.close[0] / self.data.close[-1] - 1) * 100
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if roc1 > self.params.exit_threshold * 100 or self.hold_counter >= self.params.max_hold:
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self.close()
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