Pair Trading > Models, Algorithms & Approaches

Ratio model, using RSI?

(1/1)

Douglas Goullet:
Hi Karel,
How do I know if in my Ratio model I am using RSI? and how is it used ? thanks. D

admin:
https://wiki.pairtradinglab.com/wiki/Pair_Trading_Models#RSI_Filtering


--- Quote ---RSI filter will be automatically enabled if you set RSI threshold to other value than zero.
--- End quote ---

Douglas Goullet:
Thank you, but what does it do exactly? Below or above a certain threshold?

admin:
It is described in the link above.

In addition to Z-score based rules, RSI threshold must be below/above the threshold to enter the position. You can think about that as an additional filter on top of the Ratio model.

Douglas Goullet:
Thank you.

Navigation

[0] Message Index