Author Topic: Ratio model, using RSI?  (Read 2363 times)

Douglas Goullet

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Ratio model, using RSI?
« 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

admin

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Re: Ratio model, using RSI?
« Reply #1 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.

Douglas Goullet

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Re: Ratio model, using RSI?
« Reply #2 on: March 28, 2015, 12:24:05 pm »
Thank you, but what does it do exactly? Below or above a certain threshold?

admin

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Re: Ratio model, using RSI?
« Reply #3 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.

Douglas Goullet

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Re: Ratio model, using RSI?
« Reply #4 on: March 29, 2015, 10:05:11 am »
Thank you.