Author Topic: RSI and earnings filtering  (Read 3221 times)

Stephane Benichou

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RSI and earnings filtering
« 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

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Re: RSI and earnings filtering
« Reply #1 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.  ;)

Stephane Benichou

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Re: RSI and earnings filtering
« Reply #2 on: November 20, 2014, 08:40:36 am »
Hello Karel,
Will you provide RSI filter soon?
TX
Stephane

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Re: RSI and earnings filtering
« Reply #3 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)

Stephane Benichou

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Re: RSI and earnings filtering
« Reply #4 on: November 23, 2014, 12:13:07 pm »
thanks a lot
good work!

Stephane Benichou

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Re: RSI and earnings filtering
« Reply #5 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

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Re: RSI and earnings filtering
« Reply #6 on: November 23, 2014, 12:49:20 pm »
I will think about the proper solution here.

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Re: RSI and earnings filtering
« Reply #7 on: November 27, 2014, 09:59:14 am »
RSI filter is now online (in backtester). Example:
https://www.pairtradinglab.com/backtests/VHc7zVechO2fjsvi

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Re: RSI and earnings filtering
« Reply #8 on: January 02, 2015, 05:08:16 pm »
RSI is now also supported in new PTL Trader version (1.2.0).