Help with RSI calculation

Hi Vidal,

You're correct that the RSI calculation requires a warm-up period before it can be used. This is because the RSI calculation involves a moving average, which requires a certain amount of historical data to calculate.

In your code, you've set the warm-up period to 200 days, which should be sufficient for an RSI with a period of 10. However, if you're finding that the RSI values are not accurate, you might want to increase the warm-up period.

Here's how you can modify your code to increase the warm-up period:

from AlgorithmImports import *

class TQQQRSI(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)
        self.SetCash(10000) 
        self.VOLA = 200
        res = Resolution.Daily

        self.SPY = self.AddEquity('SPY', Resolution.Minute).Symbol
        self.UVXY = self.AddEquity('UVXY', Resolution.Minute).Symbol
        self.TQQQ = self.AddEquity('TQQQ', Resolution.Minute).Symbol

        self.Securities["SPY"].SetDataNormalizationMode(DataNormalizationMode.Raw);
        self.Securities["UVXY"].SetDataNormalizationMode(DataNormalizationMode.Raw);
        self.Securities["TQQQ"].SetDataNormalizationMode(DataNormalizationMode.Raw);

        self.spySMA = self.SMA("SPY", 200, res)
        self.tqqqRSI = self.RSI("TQQQ", 10, MovingAverageType.Wilders, res)

        self.SetWarmUp(300, res)  # Increase the warm-up period to 300 days

    def OnData(self, data):
        if not (self.Time.hour == 9 and self.Time.minute == 31): return  
        if not self.spySMA.IsReady:
            return
        if data.ContainsKey(self.SPY):
            spyclose = data[self.SPY].Close

            if spyclose > self.spySMA.Current.Value:
                if self.tqqqRSI.Current.Value > 79:
                    self.SetHoldings(self.TQQQ, 0.0)
                    self.SetHoldings(self.UVXY, 1.0)
                else:
                    self.SetHoldings(self.UVXY, 0.0)

                    self.SetHoldings(self.TQQQ, 1.0)
            else:
                    self.SetHoldings(self.UVXY, 0.0)
                    self.SetHoldings(self.TECL, 0.0)

This should help ensure that the RSI calculation has enough historical data to be accurate.

Remember, the warm-up period should be at least as long as the longest period used in any of your indicators. In this case, since you're using a 200-day SMA and a 10-day RSI, a warm-up period of 200 days should be sufficient. However, if you're still seeing inaccuracies, increasing the warm-up period may help.

Sources:

• Forum Discussion: RSI Value incorrect 5 minute timeframe
• Forum Discussion: Accessing index value in RSI

Yes, Mia. I find that the RSI calculated is correct and the period is sufficient to warm up. 

It just calculate the RSI based on yesterday's close. How could I modify the code if I want to execute the trade between 3pm and 4pm, calculate the RSI at that time and execute the trade based on the new RSI.

To execute trades between 3pm and 4pm based on the RSI at that time, you can modify your OnData method to check the current time and only execute trades during that window. You can use the self.Time property to get the current time in the algorithm.

Here's how you can modify your code:

from AlgorithmImports import *

class TQQQRSI(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)
        self.SetCash(10000) 
        self.VOLA = 200
        res = Resolution.Minute

        self.SPY = self.AddEquity('SPY', Resolution.Minute).Symbol
        self.UVXY = self.AddEquity('UVXY', Resolution.Minute).Symbol
        self.TQQQ = self.AddEquity('TQQQ', Resolution.Minute).Symbol

        self.Securities["SPY"].SetDataNormalizationMode(DataNormalizationMode.Raw);
        self.Securities["UVXY"].SetDataNormalizationMode(DataNormalizationMode.Raw);
        self.Securities["TQQQ"].SetDataNormalizationMode(DataNormalizationMode.Raw);

        self.spySMA = self.SMA("SPY", 200, res)
        self.tqqqRSI = self.RSI("TQQQ", 10, MovingAverageType.Wilders, res)

        self.SetWarmUp(self.VOLA, res)

    def OnData(self, data):
        # Check if the current time is between 3pm and 4pm
        if not (self.Time.hour >= 15 and self.Time.hour < 16): return  
        if not self.spySMA.IsReady:
            return
        if data.ContainsKey(self.SPY):
            spyclose = data[self.SPY].Close

            if spyclose > self.spySMA.Current.Value:
                if self.tqqqRSI.Current.Value > 79:
                    self.SetHoldings(self.TQQQ, 0.0)
                    self.SetHoldings(self.UVXY, 1.0)
                else:
                    self.SetHoldings(self.UVXY, 0.0)
                    self.SetHoldings(self.TQQQ, 1.0)
            else:
                    self.SetHoldings(self.UVXY, 0.0)
                    self.SetHoldings(self.TECL, 0.0)

This modification will ensure that your algorithm only executes trades between 3pm and 4pm, and it will calculate the RSI based on the data available at that time.

Sources:

• Forum Discussion: How to only request trades during market hours
• Forum Discussion: RSI end of day close order