Pair Trading Lab Helpdesk & Forum

Pair Trading => Models, Algorithms & Approaches => Topic started by: Douglas Goullet on March 27, 2015, 07:30:31 pm

Title: Ratio model, using RSI?
Post by: Douglas Goullet on March 27, 2015, 07:30:31 pm

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

Title: Re: Ratio model, using RSI?
Post by: admin on March 28, 2015, 09:36:22 am

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.

Title: Re: Ratio model, using RSI?
Post by: Douglas Goullet on March 28, 2015, 12:24:05 pm

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

Title: Re: Ratio model, using RSI?
Post by: admin on March 28, 2015, 03:07:01 pm

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.

Title: Re: Ratio model, using RSI?
Post by: Douglas Goullet on March 29, 2015, 10:05:11 am

Thank you.