Over RSI for a set period

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  • 09/06/2023 at 2:27 PM #220429 quote
    nightjimbob
    Participant
    New

    In commodities like oil and gas the market loves to squeeze users who enter a short or long because RSI passes a certain threshold, because as an indicator it leads to many jumping the gun, while MACD is too much of a lag.

    Is there a way to code to not just measure RSI going above a level, but put an optimised condition of how long above that level it stays before entering a short or long. (Not the frequency it hits the level)

    09/06/2023 at 3:22 PM #220430 quote
    JS
    Participant
    Veteran

    Hi,

    You can indeed introduce an extra condition to determine and optimize the number of bars above a certain level…

      
    DefParam CumulateOrders=False

Once OBCount=0
Once OSCount=0

If RSI[20](Close)>70 then
OBCount=OBCount+1
EndIf

If OBCount>xOB then
SellShort 1 contract at Market
OBCount=0
EndIf

If RSI[20](Close)<30 then
OSCount=OSCount+1
EndIf

If OSCount>xOS then
Buy 1 contract at Market
OSCount=0
EndIf
    Scherm­afbeelding-2023-09-06-om-16.15.44.png Scherm­afbeelding-2023-09-06-om-16.15.44.png Scherm­afbeelding-2023-09-06-om-16.16.08.png Scherm­afbeelding-2023-09-06-om-16.16.08.png Scherm­afbeelding-2023-09-06-om-16.16.40.png Scherm­afbeelding-2023-09-06-om-16.16.40.png
    09/06/2023 at 3:23 PM #220434 quote
    robertogozzi
    Moderator
    Master
    This example will make sure that RSI has always been in OverBought in the last 10 bars: 
    N      = 10
myCond = (summation[N](rsi[14](close) > 70) = N)
    add myCond to your conditions to enter a trade.
    09/06/2023 at 3:49 PM #220439 quote
    nightjimbob
    Participant
    New
    THanks both! Will give it a go
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Over RSI for a set period


ProOrder: Automated Strategies & Backtesting

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nightjimbob @nightjimbob Participant
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This topic contains 3 replies,
has 3 voices, and was last updated by nightjimbob
2 years, 6 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/06/2023
Status: Active
Attachments: 3 files
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