upd

strategy/generator/bootstrap/_trend_follow.py

@@ -20,7 +20,8 @@
 from strategy.generator.confirm.dso import DsoConfirm
 from strategy.generator.confirm.eom import EomConfirm
 from strategy.generator.confirm.roc import RocConfirm
-from strategy.generator.confirm.rsi import RsiConfirm
+from strategy.generator.confirm.rsi_neutrality import RsiNeutralityConfirm
+from strategy.generator.confirm.rsi_signalline import RsiSignalLineConfirm
 from strategy.generator.confirm.stc import StcConfirm
 from strategy.generator.exit.ast import AstExit
 from strategy.generator.exit.cci import CciExit
@@ -44,9 +45,15 @@
 from strategy.generator.signal.ma.ma3_cross import Ma3CrossSignal
 from strategy.generator.signal.ma.ma_testing_ground import MaTestingGroundSignal
 from strategy.generator.signal.ma.vwap_cross import VwapCrossSignal
-from strategy.generator.signal.neutrality.dso_neutrality_cross import DsoNeutralityCrossSignal
-from strategy.generator.signal.neutrality.rsi_neutrality_cross import RsiNautralityCrossSignal
-from strategy.generator.signal.neutrality.rsi_neutrality_pullback import RsiNautralityPullbackSignal
+from strategy.generator.signal.neutrality.dso_neutrality_cross import (
+    DsoNeutralityCrossSignal,
+)
+from strategy.generator.signal.neutrality.rsi_neutrality_cross import (
+    RsiNautralityCrossSignal,
+)
+from strategy.generator.signal.neutrality.rsi_neutrality_pullback import (
+    RsiNautralityPullbackSignal,
+)
 from strategy.generator.signal.neutrality.rsi_neutrality_rejection import (
     RsiNautralityRejectionSignal,
 )
@@ -63,7 +70,9 @@
 from strategy.generator.signal.signalline.dso_signalline import DsoSignalLineSignal
 from strategy.generator.signal.signalline.kst_signalline import KstSignalLineSignal
 from strategy.generator.signal.signalline.macd_signalline import MacdSignalLineSignal
-from strategy.generator.signal.signalline.qstick_signalline import QstickSignalLineSignal
+from strategy.generator.signal.signalline.qstick_signalline import (
+    QstickSignalLineSignal,
+)
 from strategy.generator.signal.signalline.rsi_signalline import RsiSignalLineSignal
 from strategy.generator.signal.signalline.stoch_signalline import StochSignalLineSignal
 from strategy.generator.signal.signalline.trix_signalline import TrixSignalLineSignal
@@ -167,7 +176,8 @@ def _generate_strategy(self):
                 DpoConfirm(),
                 EomConfirm(),
                 RocConfirm(),
-                RsiConfirm(),
+                RsiSignalLineConfirm(),
+                RsiNeutralityConfirm(),
                 StcConfirm(),
                 DsoConfirm(),
                 CciConfirm(),

strategy/generator/confirm/base.py

@@ -11,7 +11,8 @@ class ConfirmType(Enum):
     Cci = "Cci"
     Eom = "Eom"
     Roc = "Roc"
-    Rsi = "Rsi"
+    RsiSignalLine = "RsiSignalLine"
+    RsiNeutrality = "RsiNeutrality"
     Stc = "Stc"
 
     def __str__(self):

strategy/generator/confirm/rsi_neutrality.py

@@ -0,0 +1,14 @@
+from dataclasses import dataclass
+
+from core.models.parameter import Parameter, RandomParameter, StaticParameter
+from core.models.smooth import Smooth
+
+from .base import Confirm, ConfirmType
+
+
+@dataclass(frozen=True)
+class RsiNeutralityConfirm(Confirm):
+    type: Confirm = ConfirmType.RsiNeutrality
+    smooth_type: Parameter = StaticParameter(Smooth.SMMA)
+    period: Parameter = StaticParameter(14.0)
+    threshold: Parameter = RandomParameter(0.0, 3.0, 1.0)

strategy/generator/confirm/rsi.py → strategy/generator/confirm/rsi_signalline.py

@@ -7,8 +7,8 @@
 
 
 @dataclass(frozen=True)
-class RsiConfirm(Confirm):
-    type: Confirm = ConfirmType.Rsi
+class RsiSignalLineConfirm(Confirm):
+    type: Confirm = ConfirmType.RsiSignalLine
     smooth_type: Parameter = StaticParameter(Smooth.SMMA)
     period: Parameter = StaticParameter(14.0)
     smooth_signal: Parameter = StaticParameter(Smooth.WMA)

ta_lib/strategies/confirm/src/lib.rs

@@ -4,7 +4,8 @@ mod dso;
 mod dumb;
 mod eom;
 mod roc;
-mod rsi;
+mod rsi_neutrality;
+mod rsi_signalline;
 mod stc;
 
 pub use cci::CciConfirm;
@@ -13,5 +14,6 @@ pub use dso::DsoConfirm;
 pub use dumb::DumbConfirm;
 pub use eom::EomConfirm;
 pub use roc::RocConfirm;
-pub use rsi::RsiConfirm;
+pub use rsi_neutrality::RsiNeutralityConfirm;
+pub use rsi_signalline::RsiSignalLineConfirm;
 pub use stc::StcConfirm;

ta_lib/strategies/confirm/src/rsi_neutrality.rs

@@ -0,0 +1,54 @@
+use base::prelude::*;
+use core::prelude::*;
+use momentum::rsi;
+
+const RSI_UPPER_BARRIER: f32 = 75.0;
+const RSI_LOWER_BARRIER: f32 = 25.0;
+
+pub struct RsiNeutralityConfirm {
+    smooth_type: Smooth,
+    period: usize,
+    threshold: f32,
+}
+
+impl RsiNeutralityConfirm {
+    pub fn new(smooth_type: Smooth, period: f32, threshold: f32) -> Self {
+        Self {
+            smooth_type,
+            period: period as usize,
+            threshold,
+        }
+    }
+}
+
+impl Confirm for RsiNeutralityConfirm {
+    fn lookback(&self) -> usize {
+        self.period
+    }
+
+    fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
+        let rsi = rsi(&data.close, self.smooth_type, self.period);
+
+        let lower_barrier = RSI_LOWER_BARRIER + self.threshold;
+        let upper_barrier = RSI_UPPER_BARRIER - self.threshold;
+        let lower_neutrality = NEUTRALITY_LINE - self.threshold;
+        let upper_neutrality = NEUTRALITY_LINE + self.threshold;
+
+        let prev_rsi = rsi.shift(1);
+        let back_2_rsi = rsi.shift(2);
+        let back_3_rsi = rsi.shift(3);
+
+        (
+            rsi.sgt(&NEUTRALITY_LINE)
+                & rsi.slt(&upper_barrier)
+                & prev_rsi.sgt(&lower_neutrality)
+                & back_2_rsi.sgt(&lower_neutrality)
+                & back_3_rsi.sgt(&lower_neutrality),
+            rsi.slt(&NEUTRALITY_LINE)
+                & rsi.sgt(&lower_barrier)
+                & prev_rsi.slt(&upper_neutrality)
+                & back_2_rsi.slt(&upper_neutrality)
+                & back_3_rsi.slt(&upper_neutrality),
+        )
+    }
+}

ta_lib/strategies/confirm/src/rsi.rs → ta_lib/strategies/confirm/src/rsi_signalline.rs

@@ -5,15 +5,15 @@ use momentum::rsi;
 const RSI_UPPER_BARRIER: f32 = 75.;
 const RSI_LOWER_BARRIER: f32 = 35.;
 
-pub struct RsiConfirm {
+pub struct RsiSignalLineConfirm {
     smooth_type: Smooth,
     rsi_period: usize,
     smooth_signal: Smooth,
     smooth_period: usize,
     threshold: f32,
 }
 
-impl RsiConfirm {
+impl RsiSignalLineConfirm {
     pub fn new(
         smooth_type: Smooth,
         rsi_period: f32,
@@ -31,7 +31,7 @@ impl RsiConfirm {
     }
 }
 
-impl Confirm for RsiConfirm {
+impl Confirm for RsiSignalLineConfirm {
     fn lookback(&self) -> usize {
         std::cmp::max(self.rsi_period, self.smooth_period)
     }

ta_lib/strategies/trend_follow/src/config/confirm_config.rs

@@ -20,7 +20,12 @@ pub enum ConfirmConfig {
     Dumb {
         period: f32,
     },
-    Rsi {
+    RsiNeutrality {
+        smooth_type: f32,
+        period: f32,
+        threshold: f32,
+    },
+    RsiSignalLine {
         smooth_type: f32,
         period: f32,
         smooth_signal: f32,

ta_lib/strategies/trend_follow/src/mapper/confirm_mapper.rs

@@ -43,19 +43,28 @@ pub fn map_to_confirm(config: ConfirmConfig) -> Box<dyn Confirm> {
             divisor,
         )),
         ConfirmConfig::Dumb { period } => Box::new(DumbConfirm::new(period)),
-        ConfirmConfig::Rsi {
+        ConfirmConfig::RsiSignalLine {
             smooth_type,
             period,
             smooth_signal,
             smooth_period,
             threshold,
-        } => Box::new(RsiConfirm::new(
+        } => Box::new(RsiSignalLineConfirm::new(
             smooth_deserialize(smooth_type as usize),
             period,
             smooth_deserialize(smooth_signal as usize),
             smooth_period,
             threshold,
         )),
+        ConfirmConfig::RsiNeutrality {
+            smooth_type,
+            period,
+            threshold,
+        } => Box::new(RsiNeutralityConfirm::new(
+            smooth_deserialize(smooth_type as usize),
+            period,
+            threshold,
+        )),
         ConfirmConfig::Roc { period } => Box::new(RocConfirm::new(period)),
         ConfirmConfig::Stc {
             smooth_type,