The MFIStrategy is a trading strategy that utilizes several technical analysis (TA) indicators to generate buy and sell signals. Here's a breakdown of what the strategy does:
The populate_indicators function takes a DataFrame containing exchange data and adds various TA indicators to it. The indicators used in this strategy are:
MFI (Money Flow Index): Calculates the MFI indicator using the high, low, close, and volume data over a 14-period window.
RV (Relative Volume): Calculates the relative volume indicator by comparing the current volume with the maximum volume over a rolling 14-period window.
SMA (Simple Moving Average): Calculates the 5-period and 34-period SMA indicators.
The strategy then determines the buy signal based on the indicators:
If the MFI is less than or equal to 20 and the RV is greater than 20, a buy signal is generated. The buy signal is indicated by setting the 'buy' column to 1 in the DataFrame. Similarly, the strategy determines the sell signal based on the indicators:
If the MFI is greater than or equal to 80 and the RV is greater than 80, a sell signal is generated. The sell signal is indicated by setting the 'sell' column to 1 in the DataFrame. The strategy aims to identify potential buying opportunities when the MFI is low and the volume is relatively high, and selling opportunities when the MFI is high and the volume is relatively low.