RSI Strategy
RsiStrategy is a mean-reversion strategy based on the Relative Strength Index.
Algorithm
- Compute RSI over the last
periodtrade prices (default 14). - When RSI drops below
oversold(default 30): emit a buy signal. - When RSI rises above
overbought(default 70): emit a sell signal. - No signal is emitted until the RSI has warmed up.
Parameters
| Parameter | Default | Description |
|---|---|---|
period | 14 | RSI lookback period |
oversold | 30 | RSI level that triggers a buy |
overbought | 70 | RSI level that triggers a sell |
order_qty | dec!(0.01) | Order size per signal |