First strategy tested: RSI Weighted Mean Crossover

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First strategy tested: RSI Weighted Mean Crossover

posted Jul 17, 2016

Seeking Help Momentum Mean Reversion Research

Hey everyone, my name is Brian. I just joined Quantopian a few weeks and absolutely love the tools provided to backtest your trading strategies and ideas. Hopefully I will be able to implement this algorithm with my TD Ameritrade account.

This is my first algorithm I have created based on the RSI indicator. Basically I calculate the most recent RSI value and it's exponentially weighted mean based on the window length selected. When the actual RSI value is above the exponentially weighted mean RSI value, I am going long, and vice versa for going short on a stock (RSI value below exponentially weighted mean RSI value). I tested this algorithm on $RMTI since the beginning of the year with $5,000 starting capital. Not too bad for my first run.

Just thought I would share my results thus far. If anyone has any feedback on how to make this algorithm better by modifiying the original code or including other technical indicators to complement the RSI indicator, please don't hesitate to comment.

3 responses

Hi Brian

Thanks for sharing.
Pls would you mind giving some details on whats the window length for the moving average
also what length are you using for RSI
Thanks!

Karl,

For both the exponential moving average and RSI calculations, I used a window length of 9 days. I noticed that this strategy is sensitive to the initial capital invested, RSI and moving average window length, the stock being back tested and date range.

I think RSI mean crossover by itself works a bit better than just using RSI to identify when a stock is oversold or overbought to initiate a long or short position. In the future I would like to combine RSI with either MACD or Stochastics.

Let me know if you have anymore questions!

Brian

Hey Brian, thanks for posting this. Could you explain a bit more about how your window for RSI relates to years tested? I tried going back a few years, and it would not let me go past 2014.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.