Pair Trading > Models, Algorithms & Approaches

RSI and earnings filtering

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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:

--- Quote from: Stephane Benichou on October 01, 2014, 09:56:48 am ---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.

--- End quote ---

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


--- Quote from: Stephane Benichou on October 01, 2014, 09:56:48 am ---You could also add a filter to don't trade pairs arround earnings.

--- End quote ---

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


--- Quote from: Stephane Benichou on October 01, 2014, 09:56:48 am ---thank for tour fantastic work.
Stephane

--- End quote ---

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  8)

Stephane Benichou:
thanks a lot
good work!

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