The bbrsi3Freq strategy is a backtesting strategy that uses several technical indicators to generate buy and sell signals for trading. Here's a breakdown of what the strategy does:
populate_indicators function:
Calculates the Relative Strength Index (RSI) indicator for the given DataFrame. Calculates Bollinger Bands with a window size of 20 and standard deviation of 1, and adds the lower band, middle band, and upper band values to the DataFrame.
Calculates Bollinger Bands with a window size of 20 and standard deviation of 3, and adds the lower band, middle band, and upper band values to the DataFrame.
Returns the DataFrame with all the calculated indicators.
populate_buy_trend function:
Based on the indicators, identifies the buy signal. Sets the 'buy' column to 1 for the rows where the close price is below the lower band of the Bollinger Bands with 3 standard deviations. Returns the DataFrame with the 'buy' column populated. populate_sell_trend function:
Based on the indicators, identifies the sell signal. Sets the 'sell' column to 1 for the rows where the RSI is above 41 and the close price is above the middle band of the Bollinger Bands with 1 standard deviation. Returns the DataFrame with the 'sell' column populated. In summary, this strategy combines the RSI indicator and Bollinger Bands to generate buy signals when the close price is below the lower band of the Bollinger Bands with 3 standard deviations, and sell signals when the RSI is above 41 and the close price is above the middle band of the Bollinger Bands with 1 standard deviation.