VARIATIONS ON RSI

OVER TESLA US EQUITY

MARKET MICROSTRUCTURE AND TRADING STRATEGIES FALL 2016
PROF. ANATOLY SCHMIDT STEVENS INSTITUTE OF TECHNOLOGY
STUDENT: JOSE I. ORLICKI
RELATIVE STRENGTH INDEX
Over a n-day period (classically 14 days) two basic metrics U and D are
composed into the RSI indicator.
Variations: Discrete (0 or 1 is summed per up or down day), Moving Average,
or Summation.

We have RSI in [0,100] segment.

RSI IS, COMMONLY, USED AS A OSCILLATOR STRAT.
High and low levels are defined, usually 70 and 30.
Above 70 is indicated as an Overbought Market condition. So SOLD.
Below 30 is indicated as an Oversold Market condition. So BUY.
RESULTS ON TESLA US EQUITY UNWEIGHTED RSI
Chosen similar start and end date price (to avoid trivial buy&hold).
Did a parameter search of OB and OS levels. (2013-10-07 to 2016-10-28)
RESULTS ON TESLA US EQUITY WEIGHTED RSI
Chosen similar start and end date price (to avoid trivial buy&hold).
Did a parameter search of OB and OS levels. (2013-10-07 to 2016-10-28)
EMPIRICAL RETURNS FOR BEST CONFIG.
OversoldLimit=46, OverboughtLimit=51, RoundtripTradesPerYear=2.45
773 business days (>3 years) of TSLA. Weighted RSI Sum. (not averaging).
BIBLIOGRAPHY/SOURCES

Anatoly B. Schmidt, Financial Markets and Trading, 2011.

Wikipedia, Relative strength index, 2016.
Bloomberg Terminal, BTST: Back-testing of Indicator Strategies, 2016.

THANKS! / GRACIAS!