Hi,
I'm jumping in the deep end here. First post.
I am trying to implement an algorithm against a collection of Cryptocurrencies on Bitfinex. Here is the heuristic:
Universe: Top 100 crypto currencies by market cap
For each day
Rank the cryptocurrencies low to high by RSI
Select the bottom 10 cryptocurrencies
If the cryptocurrency SMA 50 > SMA 200 then fill a 10 % position
exit when the RSI exceeds 55
Basically looking for over-sold pullbacks of cryptos in up-trends
I am trying to use the Universe Selection helpers, but it looks like it's only for equities. Can someone throw me a bone for how to implement something like this?
Another challenge I'm having is that it looks like the RSI function examples all seem to show how to compute an RSI for a given Symbol. I want to compute automatically, the RSI (And SMA's I suppose) for each symbol in the universe.
Stephen Park
Sorry. By this:
"Rank the cryptocurrencies low to high by RSI
Select the bottom 10 cryptocurrencies "
I mean select the 10 crypto currencies with the lowest RSI scores out of the top 100 in the universe for the current day…
Stephen Park
I found some code which uses a sliding window and adapted that.
The backtest runs now but I am not getting any trades. The .IsReady test is returning false all the way through & I'm not able to figure out why.
Stephen Park
Stephen Park
Thanks to Louis (timely) post -I have something chugging along at this point :)
Varad Kabade
Hi Stephen Park,
Glad you found Louis' example that addresses your needs.
Additionally we recommend manually calculating the order quantity instead of using SetHoldings. Refer to the following example algorithm.
Best,
Varad Kabade
Stephen Park
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