The BBRSI21 strategy is a backtesting strategy designed to make trading decisions based on Bollinger Bands and the Relative Strength Index (RSI). Here's a breakdown of what the strategy does:
Indicators:
RSI: The strategy calculates the RSI indicator with a time period of 14. Bollinger Bands: The strategy calculates the Bollinger Bands using a window of 20 and 2 standard deviations.
Buy Signal:
The strategy generates a buy signal when the following conditions are met:
The closing price is below the lower Bollinger Band.
The RSI value is less than 21.
Sell Signal:
The strategy generates a sell signal when the following conditions are met:
The closing price is above the upper Bollinger Band. The RSI value is greater than 99. Exit Conditions:
Trailing Stop: The strategy uses a trailing stop mechanism with a positive offset of 0.17832 and a positive offset offset of 0.24807. Stop Loss: The strategy has a fixed stop loss value of -0.30054. Timeframe:
The strategy operates on a 5-minute timeframe. The strategy aims to achieve specific ROI targets, which are defined in the minimal_roi attribute. The ROI values vary depending on the number of trading days (0, 31, 78, 105), with the final target being 0. Please note that this is a simplified description of the strategy, and there might be additional details and considerations not mentioned here.