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How might one code to look for a reversal of direction in the RSI?

I know how to calculate RSI. Using the Ta-Lib RSI, how might one calculate a reversal in the direction of RSI?

Any help is much appreciated!

1 response

Hi Taylor,
Here is a simple pipeline algo that calculates RSI for every algo in the universe.


Clone Algorithm
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# The pipeline API requires imports.
from quantopian.pipeline import Pipeline
from quantopian.algorithm import attach_pipeline, pipeline_output
from import USEquityPricing
from quantopian.pipeline.factors import RSI

def initialize(context):

    # Create, register and name a pipeline in initialize.
    pipe = Pipeline()
    attach_pipeline(pipe, 'example')

    # Construct a simple moving average factor and add it to the pipeline.
    rsi_calc = RSI(inputs=[USEquityPricing.close], window_length=10)
    pipe.add(rsi_calc, 'rsi')

    # Set a screen on the pipelines to filter out securities.
    pipe.set_screen(rsi_calc > 1.0)

def before_trading_start(context, data):
    # Pipeline_output returns the constructed dataframe.
    output = pipeline_output('example')

    # Select and update your universe.
    context.my_universe = output.sort('rsi', ascending=False).iloc[:200]

def handle_data(context, data):"\n" + str(context.my_universe.head(5)))
There was a runtime error.

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