This is a modification of Vladimir Yevtushenko’s "Long-Term Momentum Strategy Using Smoothed RSI Long only version".
Key changes I've made:
• Increased the RSI trigger from 50 to 52 • Used the 100-day sma for exit as well as entry • Rebalanced weekly instead of daily
I'm looking for feedback, suggested improvements, cautions, etc.
Thanks ..
I would deleverage until your drawdown is <10% and see if you're still happy with the profit level also I would try and better control your leverage with specific orders instead of order_target_percent which doesn't work too well in live trading
I agree with everything Luke stated. The drawdown is quite high. It would be quite a roller coaster ride.
Interesting use of SMA with RSI as an input. RSI is generally considered to be 'smoothed' already by choosing a suitable window length. Instead of doing a 100 day SMA of a 14 day RSI one would typically just get a 100 day RSI. They aren't the same though, and playing with your algorithm, using SMA gets higher returns.
You might also consider moving between a 30/70% split rather than an all or nothing 0/100% split. That reduces volatility and drawdown.
Luke and Dan – thank you for the feedback.
Luke – Could you recommend some code for writing specific orders that would be more workable? I find that the ‘order_target_percent’ isn't so workable for another reason: it gives me multiple buys / sells of small numbers of shares instead of one large buy / sell transaction on weeks when the signal calls it (which I'd prefer).
Dan – The good idea to use the SMA with the RSI came from Kory Hoang. I get a higher ROI with the 100 / 0 but I may rethink it.
Thanks,
Mark
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