Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
WTI Crude Oil Future Strategy -- RSI / 100-Day Moving Average
Mark
edited Jun 12, 2017
Seeking Help Momentum Mean Reversion Futures

Hello,

My name is Mark im still a college student catching up on most this stuff. I'm still a little new to the indicator / quantitative style of trading.

BUY SIGNAL:
My algo uses the 7 day RSI to check when the WTI Crude Futures Contract was under bought ( when ever its below 20 ). It also makes sure the current prices are above the 100-Day Moving Average ( to catch the price momentum ).

SELL SIGNAL:
When the current price are equal to or less then the 100-Day Moving Average then it'll sell.

The strategy did not make any trades at all ( Really not sure why ). After doing a little bit more research i changed the 7 - RSI value to anything bigger then 75 ( currentPrices > 75 ). At one point It did make some profit, but overall it was loosing 1%.

Can i get some advice / ideas from the Quantopian community about adding more quantitative value to this strategy. Maybe something other then indicators i can add that'll help out ( mean reversion's -- really not sure ).

When i looked at the charts, it seemed like this strategy would work.

Thank you so much for your time

-Mark

2 responses
Mark Black
Jun 13, 2017

Hi Mark (great name ;-)

I tried modifying your algorithm with some print log statements to ensure the buys went long under the criteria that CL RSI7 < 20 (BTW your code shows RSI7 < 25), CL 100SMA > 100. And closed out the long when CL Price < CL SMA100. I also recorded the variables: CL Price, CL RSI 7, CL 100SMA to visually check that the trades were executed under the correct conditions.

In addition I changed the default allocation to $1,000,000 and expanded the time period.

I believe the algorithm performs poorly in general due to the criteria that the CL price be above the 100SMA and RSI 7 < 20. Almost all the times that CL RSI 7 is < 20 it will also be < 100 SMA.

Hope that helps. Not sure if this was just to get your feet wet or what the intended purpose of this algo was but play around with it (i.e. shorting, different MA's, different RSI's).

Mark
Jun 15, 2017

Mark,

Thank you so much for helping me out. I'll defiantly mess around with trying to short /CL. Record Vars () is something i'll defiantly be using a lot from now on.

Thanks again

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.