Amibroker risk adjusted return4/5/2023 ![]() SetPositionSize(pctPosSize,spsPercentOfEquity) In Amibroker, this can be written as follows: To understand this, I will run the same test but this time the position size will be determined by the previous bar’s RSI-2 value. ![]() However, the focus of this article is not the strategy performance but the impact of different position sizing. The following results and equity curve show how the strategy has performed between 1/2000 – 1/2017:Īs you can see, this simplistic system has done fairly well on SPY over the last 17 years and has beaten buy and hold. The Relative Strength Index (RSI) is a momentum oscillator that calculates the speed and change of a security’s movements. ![]() Very simply, we are going to go long SPY when the RSI-2 indicator is less than 25 and we are going to sell when the RSI-2 is more than 50. Simple RSI-2 Trading Strategyīefore we look at the impact of dynamic position sizing with RSI we first need a trading strategy that we can use to compare our results.įor this, we will use a basic end of day mean reversion strategy based on the RSI-2 indicator. This offers a simple way to buy more when the price is low and buy less when the price is high. In this article I look at how to use the RSI indicator to dynamically size positions. Position sizing is an important topic but many investors don’t give it much thought. By Joe Marwood Amibroker Stocks Strategies/ Systems Top Posts September 27, 2017 ![]()
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