Pair Trading Lab Helpdesk & Forum
Pair Trading => Models, Algorithms & Approaches => Topic started by: Stephane Benichou on October 01, 2014, 09:56:48 am
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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
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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. ;)
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Hello Karel,
Will you provide RSI filter soon?
TX
Stephane
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In less than two weeks for backtester, less than a month for PTL Trader...so, soon enough 8)
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thanks a lot
good work!
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Karel,
Could you also avoid the problem that the system re-enter in trade after cutting the 20 days stop loss?
tx
Stephane
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I will think about the proper solution here.
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RSI filter is now online (in backtester). Example:
https://www.pairtradinglab.com/backtests/VHc7zVechO2fjsvi
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RSI is now also supported in new PTL Trader version (1.2.0).
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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?
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The difference is negligible. You should determine optimal parameters yourself by making multiple backtests.
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Thanks, Karel :)
About the RSI Threshold, what would be the default value?
I can't seem to find it in the wiki :(