Relative strength index multiple-length

A simple ranking system that combines multiple relative strength index time-series with different length.

For those who don't know what the relative strength index is. The RSI first was developed by J. Welles Wilder; it compares a stock's recent gains to its recent losses and output a number between 0 and 100, which make him a good candidate for a ranking system.
Generally it is considered bullish if the RSI rises above 30 and bearish if the RSI falls below 70.

The system was test on some US Symbols and with all the ranking calculation methods.
Results show that the less the ranking system value is the higher the system performance, which means that we should be bullish when the ranking system is within the first bucket (and also the two or three next buckets, but the first one is the most bullish) and bearish when the ranking system is within the last buckets.

This ranking system could be very helpful in designing a trading system.
You can use this item as a short ranking

Technical Analysis

• Strategy Optimization on Random in-sample and out-of-sample Periods
• Simple Moving Median Indicator
• Rate of Change Volume
• TD Sequential Indicator
• ATR - Average True Range Drawing Tool
• Percentage of Stocks at 20-Day Highs
• Price Channel Position
• Time Under Water - Drawdown
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Fundamental Analysis

• St. Louis Fed Financial Stress Index
• Industry Index Name
• Historical Earnings Calendar Data for U.S. Stocks - Date/Time and EPS
• ISM Non-Manufacturing Index
• Currency Pairs Calendar Data
• Euronext Paris - News Data
• Forex Tweets
• Stocks with an EPS Several Times Higher than the Industry Average EPS
• Analyst Rating
• NSE Board Meetings
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