Strategi mean reversion

Perdagangan Finansial dengan Python

Chelsea Yang

Data Science Instructor

Strategi mean reversion berbasis RSI

Beli saat takut, jual saat rakus

Strategi mean reversion berbasis RSI:
- Sinyal short: RSI > 70
  - Menunjukkan aset kemungkinan overbought dan harga bisa segera berbalik
- Sinyal long: RSI < 30
  - Menunjukkan aset kemungkinan oversold dan harga bisa segera naik

Hitung indikator

import talib
# Calculate the RSI
stock_rsi = talib.RSI(price_data['Close']).to_frame()

Bangun sinyal

# Create the same DataFrame structure as RSI
signal = stock_rsi.copy()
signal[stock_rsi.isnull()] = 0


# Construct the signal
signal[stock_rsi < 30] = 1

signal[stock_rsi > 70] = -1

signal[(stock_rsi <= 70) & (stock_rsi >= 30)] = 0

Plot sinyal

# Plot the RSI
stock_rsi.plot()
plt.title('RSI')

Plot RSI

# Merge data into one DataFrame
combined_df = bt.merge(signal, stock_data)
combined_df.columns = ['Signal', 'Price']
# Plot the signal with price

combined_df.plot(secondary_y = ['Signal'])

Plot sinyal berbasis RSI

Definisikan strategi dengan sinyal

# Define the strategy
bt_strategy = bt.Strategy('RSI_MeanReversion', 
                          [bt.algos.WeighTarget(signal),
                           bt.algos.Rebalance()])

Backtest strategi berbasis sinyal

# Create the backtest and run it
bt_backtest = bt.Backtest(bt_strategy, price_data)
bt_result = bt.run(bt_backtest)

Plot hasil backtest

# Plot the backtest result
bt_result.plot(title='Backtest result')

Hasil backtest mean reversion RSI

Ayo berlatih!

Perdagangan Finansial dengan Python