RSMKStrat is a strategy introduced by Markos Katsanos. It is based on the eponymous technical indicator, which calculates the strength of a security relative to another security or index. The strategy adds a buy to open simulated order when RSMK crosses above the zero level (which signifies that the primary security starts to outperform the secondary one). This simulated order is automatically closed by an opposite simulated order after a specified number of bars elapses since the entry.
correlation with security
|The security or index to compare the primary symbol with.
|The period to calculate the relative strength for.
|The length of the exponential moving average.
time exit length
|The number of bars that are to elapse before the simulated position is automatically closed.
1. "Using Relative Strength To Outperform The Market" by Markos Katsanos. Technical Analysis of Stocks & Commodities, March 2020.