在Python中计算RSI以进行BTC交易回溯测试

import pandas as pd
import numpy as np

# 假设已经获取到了BTC交易数据，存储在一个名为df的DataFrame中，包含时间、开盘价、最高价、最低价、收盘价等信息

df['价格变动'] = df['收盘价'] - df['开盘价']

# 定义计算RSI的函数
def calculate_rsi(data, period):
    delta = data.diff()
    up = delta.copy()
    down = delta.copy()
    up[up < 0] = 0
    down[down > 0] = 0
    avg_gain = up.rolling(window=period).mean()
    avg_loss = abs(down.rolling(window=period).mean())
    rs = avg_gain / avg_loss
    rsi = 100 - (100 / (1 + rs))
    return rsi

# 使用计算RSI的函数计算RSI值
rsi_period = 14  # RSI的计算周期
df['RSI'] = calculate_rsi(df['价格变动'], rsi_period)

# 假设我们想要进行RSI回溯测试，当RSI超过某个阈值时进行买入或卖出操作
rsi_threshold = 70  # RSI的阈值
df['信号'] = np.where(df['RSI'] > rsi_threshold, '卖出', np.where(df['RSI'] < (100 - rsi_threshold), '买入', '观望'))