backtrader.indicators.rsi module

RSI Indicator Module - Relative Strength Index.

This module provides the RSI (Relative Strength Index) indicator developed by J. Welles Wilder, Jr.

Classes:

RSI: RSI indicator. UpDay/DownDay: Helper classes for RSI calculation.

Example

class MyStrategy(bt.Strategy):
def __init__(self):

self.rsi = bt.indicators.RSI(self.data.close, period=14)

def next(self):

# RSI above 70 indicates overbought if self.rsi.rsi[0] > 70:

self.sell()

# RSI below 30 indicates oversold elif self.rsi.rsi[0] < 30:

self.buy()

class backtrader.indicators.rsi.UpDay[source]

Bases: Indicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems” for the RSI

Records days which have been “up”, i.e.: the close price has been higher than the day before.

Formula:

  • upday = max (close - close_prev, 0)

See:
__init__(*args, **kwargs)
next()[source]

Calculate up day value for the current bar.

Returns max(close - close_period_ago, 0).

once(start, end)[source]

Calculate up day values in runonce mode.

Returns max(price_change, 0) for each bar.

frompackages = ()
packages = ()
class backtrader.indicators.rsi.DownDay[source]

Bases: Indicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems” for the RSI

Records days which have been “down”, i.e.: the close price has been lower than the day before.

Formula:

  • downday = max(close_prev - close, 0)

See:
__init__(*args, **kwargs)
next()[source]

Calculate down day value for the current bar.

Returns max(close_period_ago - close, 0).

once(start, end)[source]

Calculate down day values in runonce mode.

Returns max(-price_change, 0) for each bar.

frompackages = ()
packages = ()
class backtrader.indicators.rsi.UpDayBool[source]

Bases: Indicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems” for the RSI

Records days which have been “up”, i.e.: the close price has been higher than the day before.

Note

  • This version returns a bool rather than the difference

Formula:

  • upday = close > close_prev

See:
__init__(*args, **kwargs)
next()[source]

Check if current bar is an up day.

Returns 1.0 if close > close_period_ago, 0.0 otherwise.

once(start, end)[source]

Check for up days in runonce mode.

Returns 1.0 where price increased, 0.0 otherwise.

frompackages = ()
packages = ()
class backtrader.indicators.rsi.DownDayBool[source]

Bases: Indicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems” for the RSI

Records days which have been “down”, i.e.: the close price has been lower than the day before.

Note

  • This version returns a bool rather than the difference

Formula:

  • downday = close_prev > close

See:
__init__(*args, **kwargs)
next()[source]

Check if current bar is a down day.

Returns 1.0 if close_period_ago > close, 0.0 otherwise.

once(start, end)[source]

Check for down days in runonce mode.

Returns 1.0 where price decreased, 0.0 otherwise.

frompackages = ()
packages = ()
class backtrader.indicators.rsi.RelativeStrengthIndex[source]

Bases: Indicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems”.

It measures momentum by calculating the ration of higher closes and lower closes after having been smoothed by an average, normalizing the result between 0 and 100

Formula:

  • up = upday(data)

  • down = downday(data)

  • maup = movingaverage(up, period)

  • madown = movingaverage(down, period)

  • rs = maup / madown

  • rsi = 100 - 100 / (1 + rs)

The moving average used is the one originally defined by Wilder, the SmoothedMovingAverage

See:

Notes

  • safediv (default: False) If this parameter is True, the division rs = maup / madown will be checked for the special cases in which a 0 / 0 or x / 0 division will happen

  • safehigh (default: 100.0) will be used as RSI value for the x / 0 case

  • safelow (default: 50.0) will be used as RSI value for the 0 / 0 case

alias = ('RSI', 'RSI_SMMA', 'RSI_Wilder')
__init__(*args, **kwargs)
next()[source]

Calculate RSI for the current bar.

RSI = 100 - 100 / (1 + maup/madown)

once(start, end)[source]

Calculate RSI in runonce mode.

Computes RSI values across all bars with safe division handling.

frompackages = ()
packages = ()
backtrader.indicators.rsi.RSI

alias of RelativeStrengthIndex

class backtrader.indicators.rsi.RSI_Safe[source]

Bases: RelativeStrengthIndex

Subclass of RSI which changes parameers safediv to True as the default value

See:
frompackages = ()
packages = ()
class backtrader.indicators.rsi.RSI_SMA[source]

Bases: RelativeStrengthIndex

Uses a SimpleMovingAverage as described in Wikipedia and other soures

See:
alias = ('RSI_Cutler',)
frompackages = ()
packages = ()
class backtrader.indicators.rsi.RSI_EMA[source]

Bases: RelativeStrengthIndex

Uses an ExponentialMovingAverage as described in Wikipedia

See:
frompackages = ()
packages = ()