Description
The RSI Trend strategy is developed by Kevin Luo; it attempts an improvement of the classical Relative Strength Index (RSI) strategy, adapted for usage in longer-term trend conditions. Based upon the observation that the RSI strategy tends to overreact to minor changes in long trend conditions, this updated version introduces a trend filter.
This strategy detects existence of a trend and only reacts if the trend is strong enough. This is believed to minimize the reaction to minor and temporary changes in the trend, thus indicating fewer false signals.
A simulated buy order is added when the RSI crosses above the oversold level in strong uptrend conditions. Rules for simulated sell signals are vice versa: these are added in strong downtrend upon the RSI falling below the overbought level. Trend existence and strength are analyzed here using the ZigZagTrendPercent indicator.
Input Parameters
price
|
The price to be used in calculations. |
length
|
The period used in calculation of RSI. |
over bought
|
The overbought level. |
over sold
|
The oversold level. |
percentage reversal
|
The threshold percentage of the price used in the calculation of ZigZagTrendPercent. |
average type
|
The type of moving average to be used in calculations: simple, exponential, weighted, Wilder's, or Hull. |
Description
1. "The RSI & Price Trends" by Kevin Luo. Technical Analysis of Stocks & Commodities, June 2015.