This repository has been archived by the owner on Feb 15, 2022. It is now read-only.
RSI not applying proper smoothing, refactor to use chain calculation #53
Labels
Comments
|
Update: pushed the rsi_rs branch which is calculating the smooth RSI correctly, but after running the sim the ROI is quite lower, 1.10 vs 1.7. full results: https://gist.github.com/carlos8f/afcc18ba0e1f422b1f3b1f67a3b05c8e Will either need to tweak the trading logic to make better use of the smooth RSI, or keep the unsmoothed RSI as an (oddly) better performing metric. |
|
After heavy tweaking, now using 5m smoothed x26 RSI, ROI with the smoothed version is higher than the old 1h unsmoothed version (1.460 -> 1.531) New sim result: https://gist.github.com/carlos8f/afcc18ba0e1f422b1f3b1f67a3b05c8e |
|
released in 3.5.15 |
Sign up for free
to subscribe to this conversation on GitHub.
Already have an account?
Sign in.
See #43 , the problem is, I think that my RSI implementation as a tick reducer isn't a proper RSI, as it doesn't apply smoothing and instead calculates every tick as a "first tick"
Will need to add a feature to Zenbrain to do chain calculations on ticks.
The text was updated successfully, but these errors were encountered: