RSI strategy

README.md

@@ -249,6 +249,19 @@ macd
     --overbought_rsi_periods=<value>  number of periods for overbought RSI (default: 25)
     --overbought_rsi=<value>  sold when RSI exceeds this value (default: 70)
 
+rsi
+  description:
+    Attempts to buy low and sell high by tracking RSI high-water readings.
+  options:
+    --period=<value>  period length (default: 2m)
+    --min_periods=<value>  min. number of history periods (default: 52)
+    --rsi_periods=<value>  number of RSI periods
+    --oversold_rsi=<value>  buy when RSI reaches or drops below this value (default: 30)
+    --overbought_rsi=<value>  sell when RSI reaches or goes above this value (default: 82)
+    --rsi_recover=<value>  allow RSI to recover this many points before buying (default: 3)
+    --rsi_drop=<value>  allow RSI to fall this many points before selling (default: 0)
+    --rsi_dividend=<value>  sell when RSI reaches high-water reading divided by this value (default: 2)
+
 sar
   description:
     Parabolic SAR
@@ -339,6 +352,14 @@ The moving average convergence divergence calculation is a lagging indicator, us
 - It's not firing multiple 'buy' or 'sold' signals, only one per trend, which seems to lead to a better quality trading scheme.
 - Especially when the bot will enter in the middle of a trend, it avoids buying unless it's the beginning of the trend.
 
+### About the rsi strategy
+
+Attempts to buy low and sell high by tracking RSI high-water readings.
+
+- Effective in sideways markets or markets that tend to recover after price drops.
+- Risky to use in bear markets, since the algorithm depends on price recovery.
+- If the other strategies are losing you money, this strategy may perform better, since it basically "reverses the signals" and anticipates a reversal instead of expecting the trend to continue.
+
 ### About the sar strategy
 
 Uses a [Parabolic SAR](http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:parabolic_sar) indicator to trade when SAR trend reverses.

extensions/strategies/rsi/_codemap.js

@@ -0,0 +1,6 @@
+module.exports = {
+  _ns: 'zenbot',
+
+  'strategies.rsi': require('./strategy'),
+  'strategies.list[]': '#strategies.rsi'
+}

extensions/strategies/rsi/strategy.js

@@ -0,0 +1,72 @@
+var z = require('zero-fill')
+  , n = require('numbro')
+
+module.exports = function container (get, set, clear) {
+  return {
+    name: 'rsi',
+    description: 'Attempts to buy low and sell high by tracking RSI high-water readings.',
+
+    getOptions: function () {
+      this.option('period', 'period length', String, '2m')
+      this.option('min_periods', 'min. number of history periods', Number, 52)
+      this.option('rsi_periods', 'number of RSI periods', 14)
+      this.option('oversold_rsi', 'buy when RSI reaches or drops below this value', Number, 30)
+      this.option('overbought_rsi', 'sell when RSI reaches or goes above this value', Number, 82)
+      this.option('rsi_recover', 'allow RSI to recover this many points before buying', Number, 3)
+      this.option('rsi_drop', 'allow RSI to fall this many points before selling', Number, 0)
+      this.option('rsi_dividend', 'sell when RSI reaches high-water reading divided by this value', Number, 2)
+    },
+
+    calculate: function (s) {
+      get('lib.rsi')(s, 'rsi', s.options.rsi_periods)
+    },
+
+    onPeriod: function (s, cb) {
+      if (typeof s.period.rsi === 'number') {
+        if (s.trend !== 'oversold' && s.trend !== 'long' && s.period.rsi <= s.options.oversold_rsi) {
+          s.rsi_low = s.period.rsi
+          s.trend = 'oversold'
+        }
+        if (s.trend === 'oversold') {
+          s.rsi_low = Math.min(s.rsi_low, s.period.rsi)
+          if (s.period.rsi >= s.rsi_low + s.options.rsi_recover) {
+            s.trend = 'long'
+            s.signal = 'buy'
+            s.rsi_high = s.period.rsi
+          }
+        }
+        if (s.trend === 'long') {
+          s.rsi_high = Math.max(s.rsi_high, s.period.rsi)
+          if (s.period.rsi <= s.rsi_high / s.options.rsi_dividend) {
+            s.trend = 'short'
+            s.signal = 'sell'
+          }
+        }
+        if (s.trend === 'long' && s.period.rsi >= s.options.overbought_rsi) {
+          s.rsi_high = s.period.rsi
+          s.trend = 'overbought'
+        }
+        if (s.trend === 'overbought') {
+          s.rsi_high = Math.max(s.rsi_high, s.period.rsi)
+          if (s.period.rsi <= s.rsi_high - s.options.rsi_drop) {
+            s.trend = 'short'
+            s.signal = 'sell'
+          }
+        }
+      }
+      cb()
+    },
+
+    onReport: function (s) {
+      var cols = []
+      if (typeof s.period.rsi === 'number') {
+        var color = 'grey'
+        if (s.period.rsi <= s.options.oversold_rsi) {
+          color = 'green'
+        }
+        cols.push(z(4, n(s.period.rsi).format('0'), ' ')[color])
+      }
+      return cols
+    }
+  }
+}