RSI filter in easylanguage

Discussion in 'Strategy Development' started by travis, Jun 24, 2003.

  1. travis

    travis

    I have developed a system that trades on 5-minute intraday charts (emini nasdaq and Italian futures) about 10 times a month, and it can still get better, by using some sort of trend filter on data2 daily closes, but I can't get the RSI filter to work as well as it could.

    This is the the filter so far, any advice is welcome:

    Inputs: ... RsiFastLength(17), RsiSlowLength(50), RsiOverBought(60), RsiOverSold(30)...

    Variables: ...RsiFast(0), RsiSlow(0);

    RsiFast = RSIClassic(Close[1] of Data2, RsiFastLength);
    RsiSlow = RSIClassic(Close[1] of Data2, RsiSlowLength);
    ...

    {*** entries ***}
    If (MarketPosition <> 0 And Openpositionprofit > (AbsValue(EntryPrice) * PercentTarget)) Or (MarketPosition = 0) Then
    Begin

    If CurrentBar > 1 AND RsiFast > RsiSlow And RsiFast < RsiOverBought
    And Fast Crosses Above Slow And TimeAll = 1 Then
    Buy This Bar;

    If CurrentBar > 1 AND RsiFast < RsiSlow And RsiFast > RsiOverSold
    And Fast Crosses Below Slow And TimeAll = 1 Then
    Sell This Bar;

    end;

    {*** exits ***}
    ...

    -------------

    A simpler filter that I had tried before, and maybe even a better one, was this:

    Inputs: ... RsiFastLength(17), RsiSlowLength(50)...

    Variables: ...RsiFast(0), RsiSlow(0);

    RsiFast = RSIClassic(Close[1] of Data2, RsiFastLength);
    RsiSlow = RSIClassic(Close[1] of Data2, RsiSlowLength);
    ...

    {*** entries ***}
    If (MarketPosition <> 0 And Openpositionprofit > (AbsValue(EntryPrice) * PercentTarget)) Or (MarketPosition = 0) Then
    Begin

    If CurrentBar > 1 AND RsiFast > RsiSlow And Fast Crosses Above Slow And TimeAll = 1 Then
    Buy This Bar;

    If CurrentBar > 1 AND RsiFast < RsiSlow And Fast Crosses Below Slow And TimeAll = 1 Then
    Sell This Bar;

    end;

    {*** exits ***}
    ...

     
  2. fabrizio

    fabrizio

    Travis

    Excuse me , but probably I did not get your point. You get the signal on the 5 min TF and stay in position ON? Otherwise with 10 trades in a month on the 5 min. seems like a TS very much "conservative".
     
  3. travis

    travis

    Exactly, I stay in a trade even overnight, because my signal is indeed triggered on the 5 minute chart, but at the same time it has a trailing stop that gets activated only after a given profit, so this avoids getting in and out of trades all the time.
     
  4. I don't use tradestation anymore, but when I did, I liked using
    these settings for my RSI.


    • Plot 1=Average (rsi(c,3),3)
    • Plot 2=Average (average(rsi(c,3),3),5)
    • Plot 3= 30
    • Plot 4= 70
     
  5. travis

    travis

    Oh yes, thank you. It seems to be the mama of rsi, right?
    The average of the average. I have tried that as well, but just like the mama for regular mas, somehow on my system regular mas work better over time.
     

  6. I'm not sure what it is...hehe. Seems like I got it from one of
    those Omega Research magazines. There was an interview
    with Walt Bressert and he gave the ELA code in the interview.

    You could probably tinker around with the 5, and smooth it
    out a little bit. But, I liked it.
     
  7. maxpi

    maxpi

    Did you optimize all those settings?

    Max
     
  8. travis

    travis

    I did optimize all the settings, but even with that, I can tell that my idea either isn't implemented the right way, or it's not a good idea.

    Now I am back to the orginal system, very simple one, without any filters, but at least whatever settings it has, make perfect sense to me, and work. 3 Time zones, 2 moving averages and 2 levels to be reached of either loss or gain to allow an exit from a trade, by stoploss or by trailing stop.
     
  9. jjordan

    jjordan

  10. travis

    travis

    I have to tell you the truth, you are right - the rsi is as a good an indicator as any, which means it's not very good, that is why I left it for another indicator, which is better than average. Now I am using the best indicator I found so far - price-volume on a weekly basis, and it works very well on the Italian Fib-30 future. Each week it tells me whether to accept long or short signals. But certainly not on the Mib-30 index. I didn't try it on other futures, for lack of data, but it might work on the E-mini Nasdaq as well.
     
    #10     Jun 30, 2003