Every two weeks it sells $1000 of the stock with the highest RSI and buys $1000 of the stock with the lowest RSI.
Info is based on 14 stocks. Primarily tech stocks but also includes 3 or 4 Oil/Gas companies.
Used 'QQQ' as the benchmark.
Known weakness: Should sell 'up to' $1000 of a the highest RSI stock 'that we own' then buy 'up to $1000' of the lowest RSI. Currently allows shorting on possibly healthy stock.
Every two weeks it looks at the RSI for each stock and then sells whatever the highest is. So the highest RSI could be only 55 and it would still get sold. It would then be replaced by the stock with the lowest RSI which, in this case, could be anywhere from 0-54.
Lather, rinse, repeat.
No problem, and you have a good point. It might be more efficient to sell the stock that had the highest RSI over the last two weeks and buy the stock that had the lowest over the same two weeks. That way you're more likely to sell a stock that has already peaked and buy one that has just started recovering from a dip.
I made a few changes, stopped it from borrowing money (It's easy to beat the market by 3 times if you borrow 3 times your capital) and prevented it from shorting. Results are less than stellar but it's certainly a starting point. I also multiplied the capital by 10 and added a $10 commission on each trade.
Note that it has nearly zero alpha, a sharpe ratio of 1 and an IR of slightly less than 0.
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