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Short Rsi

This document describes a short-term trading strategy that uses the RSI indicator to identify shorting opportunities in stocks. The strategy takes short positions when the RSI is above a limit, currently set to 77, and exits positions for profit when gains reach 3% or on a stop loss if prices move against the position by more than 3 times the ATR. Positions are also exited after two days. The strategy aims to optimize the RSI limit, entry limit percentage and profit percentage parameters to improve performance.

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Juan Carlos G.D
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51 views3 pages

Short Rsi

This document describes a short-term trading strategy that uses the RSI indicator to identify shorting opportunities in stocks. The strategy takes short positions when the RSI is above a limit, currently set to 77, and exits positions for profit when gains reach 3% or on a stop loss if prices move against the position by more than 3 times the ATR. Positions are also exited after two days. The strategy aims to optimize the RSI limit, entry limit percentage and profit percentage parameters to improve performance.

Uploaded by

Juan Carlos G.D
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
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// Short RSI Thrust

// inspired by Laurens Bensdorp's book "Automated Stock Trading System"


// Please read the book to get the full picture.

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using finantic.Indicators;

// Universe: NYSE, NASDAQ and AMEX


// Position Sizing: 2% risk, 10% size, max 10 positions

namespace WealthScript10
{
public class MyStrategy : UserStrategyBase
{
public MyStrategy() : base()
{
// Book: 4.0 WS: 4.8
AddParameter("Entry Limit %", ParameterType.Double, 4.8, 1.0,
4.0, 0.1); // 0
// Book: 90.0 WS: 77
AddParameter("RSI Limit", ParameterType.Double, 77, 50.0, 90.0,
1.0); // 1
// Book: 4.0 WS:3.0
AddParameter("Profit %", ParameterType.Double, 3.0, 1.0, 4.5,
0.1); // 2
}

public override void Initialize(BarHistory bars)


{
entryLimitPct = Parameters[0].AsDouble;
rsiLimit = Parameters[1].AsDouble;
profitPct = Parameters[2].AsDouble;

//--- Indicators ---


avgTurnover = new AvgTurnover(bars, 20);
atr10 = new ATR(bars, 10);
rsi3 = new RSI(bars.Close, 3);
adx7 = new ADX(bars, 7);
StartIndex = 20;

//--- Graphics ---


PlotIndicator(rsi3, WLColor.Cyan, paneTag: "RSI");
DrawHorzLine(rsiLimit, WLColor.Red, paneTag: "RSI");
PlotStopsAndLimits(dotSize: 3);
}

public override void Execute(BarHistory bars, int idx)


{
//=== Exit ===
Position p = LastOpenPosition;
if (p != null)
{
// Stop Loss
double stop = p.EntryPrice + 3.0 * atr10[p.EntryBar];
ClosePosition(p, OrderType.Stop, stop, "Stop Loss@" +
stop.ToString("f2"));
if (p.IsOpen)
{
// Profit taking: 4%
Double prPct = p.ProfitPctAsOf(idx);
if(prPct > profitPct) // 4.0
{
ClosePosition(p, OrderType.MarketClose, 0.0,
"Take Profit, ProfitPct=" +
prPct.ToString("f2"));
}
}
if (p.IsOpen)
{
// Time based exit: two days
if (idx - p.EntryBar >= 2)
{
ClosePosition(p, OrderType.MarketClose, 0.0,
"Timeout");
}
}
}

//=== Entry ===


// One position per symbol
if (p != null && p.IsOpen) return;

// check data
if(Double.IsNaN(atr10[idx]) || Double.IsNaN(rsi3[idx]) ||
Double.IsNaN(adx7[idx]) ||
Double.IsNaN(avgTurnover[idx])) return;

//--- Filter ---


// Minimum Price
if(bars.Close[idx] < 5.0) return;
// Average daily dollar volume
if(avgTurnover[idx] < 25e6) return;
// sufficient volatility
if(atr10[idx] < bars.Close[idx] * 0.03) return;

//-- Differentiator DO NOT OPTIMIZE


// RSI above ninety
if(rsi3[idx] <= rsiLimit) return; // 90.0

//--- Setup ---


// The last two days the close was higher than the previous day
if(bars.Close[idx] <= bars.Close[idx-1]) return;
if(bars.Close[idx-1] <= bars.Close[idx-2]) return;

// sell short four percent above previous close


Double limit = bars.Close[idx] * (1.0 + entryLimitPct / 100.0);
// 4
Transaction t = PlaceTrade(bars, TransactionType.Short,
OrderType.Limit, limit,
"Short Limit@" + limit.ToString("f2"));
//--- Ranking ---
//t.Weight = adx7[idx];
}

public override double GetMaxRiskStopLevel(BarHistory bars,


PositionType pt, int idx)
{
Double limit = bars.Close[idx] * (1.0 + entryLimitPct / 100.0);
double stop = limit + 3.0 * atr10[idx];
return stop;
}

// private variables
Double profitPct, entryLimitPct, rsiLimit;
IndicatorBase avgTurnover, atr10, rsi3, adx7;
}
}

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