Pair Trading Lab Helpdesk & Forum
Pair Trading => Models, Algorithms & Approaches => Topic started by: Douglas Goullet on March 27, 2015, 07:30:31 pm
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Hi Karel,
How do I know if in my Ratio model I am using RSI? and how is it used ? thanks. D
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https://wiki.pairtradinglab.com/wiki/Pair_Trading_Models#RSI_Filtering
RSI filter will be automatically enabled if you set RSI threshold to other value than zero.
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Thank you, but what does it do exactly? Below or above a certain threshold?
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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.
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Thank you.