Pair Trading Lab Helpdesk & Forum

Pair Trading => Models, Algorithms & Approaches => Topic started by: Stephane Benichou on October 01, 2014, 09:56:48 am

Title: RSI and earnings filtering
Post by: 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.

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

thank for tour fantastic work.
Stephane
Title: Re: RSI and earnings filtering
Post by: admin on October 02, 2014, 04:19:43 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.

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.  ;)
Title: Re: RSI and earnings filtering
Post by: Stephane Benichou on November 20, 2014, 08:40:36 am
Hello Karel,
Will you provide RSI filter soon?
TX
Stephane
Title: Re: RSI and earnings filtering
Post by: admin on November 21, 2014, 07:47:02 am
In less than two weeks for backtester, less than a month for PTL Trader...so, soon enough  8)
Title: Re: RSI and earnings filtering
Post by: Stephane Benichou on November 23, 2014, 12:13:07 pm
thanks a lot
good work!
Title: Re: RSI and earnings filtering
Post by: Stephane Benichou on November 23, 2014, 12:34:48 pm
Karel,
Could you also avoid the problem that the system re-enter in trade after cutting the 20 days stop loss?
tx
Stephane
Title: Re: RSI and earnings filtering
Post by: admin on November 23, 2014, 12:49:20 pm
I will think about the proper solution here.
Title: Re: RSI and earnings filtering
Post by: admin on November 27, 2014, 09:59:14 am
RSI filter is now online (in backtester). Example:
https://www.pairtradinglab.com/backtests/VHc7zVechO2fjsvi
Title: Re: RSI and earnings filtering
Post by: admin on January 02, 2015, 05:08:16 pm
RSI is now also supported in new PTL Trader version (1.2.0).
Title: Re: RSI and earnings filtering
Post by: JackBeach on July 14, 2022, 12:24:46 pm
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?
Title: Re: RSI and earnings filtering
Post by: admin on July 15, 2022, 07:54:18 am
The difference is negligible. You should determine optimal parameters yourself by making multiple backtests.
Title: Re: RSI and earnings filtering
Post by: JackBeach on July 15, 2022, 10:15:40 am
Thanks, Karel  :)

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

I can't seem to find it in the wiki  :(