Hello! I was trying to write a strategy based on RSI indicator for the class I am taking.
Rules are very simple: if RSI goes below 30 --> oversold-->we buy
if RSI is above 70 ---> overbought-->we sell
Any suggestions on improving the algorithm are welcome.
Especially it would be great to hear advices on the optimal entry points.
RSI Strategy 30-70
I used to be very curious about technical indicators, there is always someone showing you great results running one of the many TIs on a specific stock with specific parameters. I always wanted to know if that was luck or not, which is another way of saying that I wanted to know if the TA could give the same good results on 100, 1000 or even more stocks, which in turn means the TA is statistically robust.
Finally I managed to have my answers, I ran many TIs on Alphalens so I could get a sense of the "robustness" of those TIs. I suggest you to do the same, it's much faster and smarter than running countless of backtests. Here is an example NB of what you can do with Alphalens and this kind of answer your question
Enjoy my 2 cents :)
@ Luca -
So what was the result of your study of technical indicators? Any hope? Or just a waste of time?
I will post the relative NB once I have some time. If I remember correctly (but don't trust in my memory, I don't :) there are technical indicators that work but it seems to me those are actually capturing mean reversion (e.g. BollingerBands, RSI etc).
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