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Backtesting

This menu aims to apply backtesting strategies regarding a pre-loaded ticker, and the usage of the following commands along with an example will be exploited below. Note that this is currently just a simple logic (i.e price comparisons). These strategies should not be used immediately and should be researched, improved and further tested on your own.

  • ema
    • buy when price exceeds EMA(l)
  • ema_cross
    • buy when EMA(short) > EMA(long)
  • rsi
    • buy when RSI < low and sell when RSI > high

NOTE: The current implementation uses the bt library.

ema 

usage: ema [-l] [--spy] [--no_bench]

This strategy buys when price > EMA(l).

  • -l: Period of EMA to use. Default = 20.
  • [--spy]: Flag that overlays the results if you buy and hold SPY
  • [--no_bench]: Flag that removes the benchmark comparison of just buy and hold the stock.

ema ema2

ema_cross 

usage: ema_cross [-l] [-s] [--spy] [--no_bench] [--no_short]

This strategy goes long when EMA(short) > EMA(long) and goes short when EMA(short) < EMA(long). It provides the option to go long only through the --no_short flag.

  • -l/--long: Long period of EMA to use. Default = 50.
  • -s/--short: Short period of EMA to use. Default = 20.
  • [--spy]: Flag that overlays the results if you buy and hold SPY
  • [--no_bench]: Flag that removes the benchmark comparison of just buy and hold the stock.
  • [--no_short]: Flag that removes the shortable option. Will just be long positions when short > long EMAs.

ema_cross ema_cross2

rsi 

usage: rsi [-u] [-l] [-p] [--spy] [--no_bench] [--no_short]

This strategy goes long when the RSI is "oversold" - defined as the low parameter. It goes short when the RSI is "overbought" - defined as the high (upper) parameter

  • -u/--high: High (upper) value to consider overbought. Default = 70
  • -s/--short: Short period of EMA to use. Default = 30
  • -p/--periods: Periods to use for RSI calculation. Default = 14.
  • [--spy]: Flag that overlays the results if you buy and hold SPY
  • [--no_bench]: Flag that removes the benchmark comparison of just buy and hold the stock.
  • [--no_short]: Flag that removes the shortable option. Will just be long positions when short > long EMAs.

rsi rsi2