Hey everyone, my name is Brian. I just joined Quantopian a few weeks and absolutely love the tools provided to backtest your trading strategies and ideas. Hopefully I will be able to implement this algorithm with my TD Ameritrade account.
This is my first algorithm I have created based on the RSI indicator. Basically I calculate the most recent RSI value and it's exponentially weighted mean based on the window length selected. When the actual RSI value is above the exponentially weighted mean RSI value, I am going long, and vice versa for going short on a stock (RSI value below exponentially weighted mean RSI value). I tested this algorithm on $RMTI since the beginning of the year with $5,000 starting capital. Not too bad for my first run.
Just thought I would share my results thus far. If anyone has any feedback on how to make this algorithm better by modifiying the original code or including other technical indicators to complement the RSI indicator, please don't hesitate to comment.