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                                                   Ranking System with Trading System Help, Revisited

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swalk10
2010-04-23 22:24:29


I set up the RSI(14) ranking system, using just the one node, the RSI(14). Questions:
- "buy then sell when the signal is not longer valid" does not produce output in any analysis mode (node, ranking or trading system)?
- The analyze node highlights performance on the last bucket ; why the last bucket and not the first ; I thought the default logic is to buy the 1st bucket, or am I wrong?
- Running the analyze ranking system with other outputs works as expected (9 buckets, as I set them,
with logical difference by bucket) however, when I change the formula to -RSI(14) (e.g., negative/inverse order),
the results only show the last bucket. Why?

I want to translate the spirit of the RSI(14) ranking system to a trading system,
that is, buy the high value of the RSI(14) and sell the low value.
By setting the simulator ranking system - add condition - I can tell what rank value the symbol should be to buy or sell.
However, it seems I still need to add a buy or sell rules on the strategy page.
I don t want to introduce new rules or conditions, I simply want to rotate the symbols based on the rules in the ranking system.
What buy/sell commands should I then use not to "interfere" with the ranking system ?
Thanks for all the help!



QuantShare
2010-04-24 07:05:25

  1

Best Answer
- There is a problem in "buy then sell when the signal is not longer valid". We will fix it.

- The last bucket is the one that contains symbols with the highest values.
if you use a ranking system with one formula: rsi(14), then the last bucket will contain symbols with the higher relative strength index values and the first bucket will contains symbols with the lowest relative strength index values.

- Normally, formulas in a ranking system should return values between 0 and 100. In the case of "RSI" and in order to get an inverse order, you should type "100 - rsi(14)" instead of "-rsi(14)".

- Using the rsi(14) ranking system in your trading system, you should simply add a rule that tells the simulator to consider all stocks.
The rule is:
buy = 1;
The simulator checks first the stocks that pass the buy condition, and then it checks the ranking system condition.

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