Monday, January 10, 2011

SimpleSVM with RSI limit for SP500 and EUREX

After analyzing what appened here, I've detected RSI indicators where "out of recommended ranges", thus, near to 70 when opening failure LONG positions, near to 30 when opening failure SHORT positions...

So, I've tried to include a "RSI limit" acting in this way:
  • Don't open long positions if not RSI (t-K)>70 and RSI(t-K/2)<70 and RSI(t)<70, at the same time, -for ascending trend-; don't open long positions if not RSI(t)>30 when prices are descending.
  • Don't open long positions if RSI(t)>=70 when trend is ascending and don't open short positions when trend is descending and RSI(t-K)<30,RSI/t-K/2)>30, RSI(t)>30 are not verified.
Thus, the idea is: don't go if RSI is not confirming the signal.

Machines with these modifications are being tested against SP500 and Eurostoxx from this moment..... we will see if they're working or not.....


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