RSI and earnings filtering

[Stephane Benichou]

Hi Karel,
It would be interting you add a RSI filter caluclated on the ratio. for exemple enter the pair long if we are bellow  stddev AND RSI<30.

You could also add a filter to don't trade pairs arround earnings.

thank for tour fantastic work.
Stephane

[admin]

Hi Karel,
It would be interting you add a RSI filter caluclated on the ratio. for exemple enter the pair long if we are bellow  stddev AND RSI<30.

Yes, this is a good idea. Adding to TODO list, for both PTL Trader and backtester.

You could also add a filter to don't trade pairs arround earnings.

We may think about this. Do you know a good source of earnings data (preferably with API)?

Also check this thread:
https://forum.pairtradinglab.com/index.php/topic,63.msg138.html#msg138

thank for tour fantastic work.
Stephane

Thanks! We do our best. 

[Stephane Benichou]

Hello Karel,
Will you provide RSI filter soon?
TX
Stephane

[admin]

In less than two weeks for backtester, less than a month for PTL Trader...so, soon enough 

[Stephane Benichou]

thanks a lot
good work!

[Stephane Benichou]

Karel,
Could you also avoid the problem that the system re-enter in trade after cutting the 20 days stop loss?
tx
Stephane

[admin]

I will think about the proper solution here.

[admin]

RSI filter is now online (in backtester). Example:
https://www.pairtradinglab.com/backtests/VHc7zVechO2fjsvi

[admin]

RSI is now also supported in new PTL Trader version (1.2.0).

[JackBeach]

Hello Karel,

I see in the Wiki that the default value for the RSI = 15, but on the web, the default value usually used for the RSI is 14.

From your experience, is there really a noticeable difference between the two?
Which one is supposed to give better results as default value?

[admin]

The difference is negligible. You should determine optimal parameters yourself by making multiple backtests.

[JackBeach]

Thanks, Karel 

About the RSI Threshold, what would be the default value?

I can't seem to find it in the wiki