Help needed - backtests of RSI
complete
N
Nik Dowell
I created a custom build strategy to test what would happen with the following two entry requirements:
RSI is lower than level line 20
AND
RSI is higher than level line 10
The values were otherwise the same and the exit and other parameters chosen doesn’t matter. My thinking was that this would open a buy position when RSI was between 10 and 20 but never open a short as the opposite thing ProQuant does to create the short entry rules means that RSI would need to be below 10 and above 20 (I.e. impossible). However the backtests results show both buys and sells!!!! I am now running the same in simulation to see what happens when running. Have I missed something?
N
Nikola ProQuant
complete
The app now shows the correct short rule triggers.
N
Nikola ProQuant
in progress
N
Nikola ProQuant
Terribly sorry about this.
This is a visual bug.
The "mirrored" rule for "RSI is higher than level line 10" is actually "RSI is lower than level line 90". That is the correct behaviour and is how we actually calculate signals, however in the app we display "RSI is lower than level line 10", which is where the confusion comes from.
In your case, the strategy opens a long position whenever RSI is between 10 and 20, and a short position whenever it is between 80 and 90.
The text describing the short rules in the app will be corrected early next week.
P.S. This holds true for all directional oscillators in ProQuant.
tl;dr; Wrong text in the app, correct behaviour in the backend trading engine, will be fixed next week.
Leonard Rogers
This is not possible. I tried it myself, and it's true. Please tell us what is going on with this.
N
Nik Dowell
Leonard Rogers: The same things happens in simulation with trading 212 account so would presumably also happen with real money. I’ve also tried a variety of combinations with demarker, CCI and others all showing the same - that pairs of indicators which should prevent shorts don’t. I don’t trust ProQuant signals & backtests results anymore.