Indicators - roboquant

Overview¶

Indicators are a thin wrapper around TA-Lib indicators that makes it easy to use them within roboquant. TA-Lib comes with 200 indicators that are all also available in roboquant. Here you can find the complete list.

Use them in a Strategy¶

There are several places where you can use indicators, the most common one is in your own strategy.

from roboquant.util.indicators import RSI, BBANDS
from roboquant import Asset, Signal
from roboquant.strategies import IndicatorStrategy
from roboquant.util import OHLCVBuffer

class MyStrategy(IndicatorStrategy):
    """
    Example using ta-lib to create a combined RSI/BollingerBand strategy:
    1. BUY if `RSI < 30 and close < lower band`
    2. SELL if `RSI > 70 and close > upper band`
    3. Otherwise do nothing
    """

    def _create_signal(self, asset: Asset, ohlcv: OHLCVBuffer) -> Signal | None:

        period = self.period - 1
        close_prices = ohlcv.close
        rsi = RSI(close_prices, timeperiod=period)

        upper, _, lower = BBANDS(close_prices, timeperiod=period)

        close: float = close_prices[-1]

        if rsi < 30 and close < lower:
            return rq.Signal.buy(asset)
        if rsi > 70 and close > upper:
            return rq.Signal.sell(asset)

        return None

Indicatorfeature¶

But you can also use an indicator in a custom feature by subclassing the IndicatorFeature.

from roboquant.ai.features import IndicatorFeature

class RSIFeature(IndicatorFeature):
    """Example using TaLib to create a RSI feature"""

    def _calc(self, asset: Asset, ohlcv: OHLCVBuffer) -> float:
        return RSI(ohlcv.close, timeperiod=self.timeperiod - 1)