One of the ways I go when I develop strategies is by reducing the number of parameters and removing fixed parameters and levels. In this strategy, I'm trying to create an RSI indicator with a dynamic length. Length is computed based on the correlation between Price and its momentum. You can set min and max values for the RSI, and if the correlation is close to 1, we'll be at a min RSI value. When it's -1, we'll be at the max level. I got this idea from Sofien Kaabar's book.
The strategy is super simple, and there might be much room for improvement. Performance on the deep backtesting is not excellent, so I think the strategy needs some filters for regimes, etc.
Disclaimer Please remember that past performance may not indicate future results. Due to various factors, including changing market conditions, the strategy may no longer perform as well as in historical backtesting. This post and the script don’t provide any financial advice.
With TSLA on many timeframe we receive this error (was 1h for this case) Error on Bar 4430: Cannot create negative quantity Current qty_type is percent_of_equity and equity is less than 0
if change Order size to USD rather than % it's fine, but many buy signal are not trigged
dpanday
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I think a stoploss is needed. It gives good signals but sometimes after a buy signal the price can drop quickly.