Hi,
This is my first algorithm on QuantConnect. It is a simple resistance strategy that uses RSI. It is pretty risk-averse. Any ideas on making a resistance strategy like this have a higher alpha? I'm making around 24% while the benchmark(SPY) makes 42%.
Crypto Hai
have you had any success with this Gurumeher Sawhney ?Â
Vladimir
I have success in this.
def rebalance(self): if (not self.Strength.IsReady): return rsi = self.Strength.Current.Value if rsi > THRESHOLD: self.wt[self.STK] = 1.0; self.wt[self.BND] = 0; elif rsi < THRESHOLD: self.wt[self.STK] = 0; self.wt[self.BND] = 1.0; for sec, weight in self.wt.items(): if weight == 0 and self.Portfolio[sec].IsLong: self.Liquidate(sec) for sec, weight in self.wt.items(): self.SetHoldings(sec, weight)
Guillermo Diaz
Vladimir,
How do I add your piece to a clone algorithm?
Foren Power
I second Guillermo,
Vladimir , it's probably secret, but if you don't mind sharing, then the algo would be appreciated.
Gurumeher Sawhney
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