Why preloaded RSI Agita strategy did not take a trade?
Author: donnylee888
Creation Date: 7/17/2012 12:25 PM
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donnylee888

#1
When backtesting JNJ with Preloaded RSI Agita for 1 year, 15-day RSI and 35/75 as entry and exit thresholds, I've noticed that there are multiples times the program should execute stock entry but no action taken:

The following dates represent triggered action to buy, but no action taken by Agita

9/23/2011 RSI=34.7742
4/12/2012 RSI=32.4502
4/13/2012 RSI=32.8285
5/25/2012 RSI=30.8825
6/1/2012 RSI=28.2411

Question:
1. Are there other hidden rules for RSI Agita?
2. This problem happened on other stocks and also show up on the Fidelity backtest program (RSI Agita). What should I do, if I want to follow the RSI Agita strategy?
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Eugene

#2
There are no hidden rules, as the Strategy's code is open for your careful review and study (Editor tab). So if you want to follow it, you'd like to understand what it's doing and how exactly it's coded. The code is documented in a self-explanatory manner. Just carefully follow the comments:

//Entries are allowed only if price is below last entry price

Even if RSI declined but the price was rising, no entry would follow.

//Check penetration of RSI below levels 35 down to 5

A valid RSI decline from 34 to 32, for example, should NOT trigger a trade.

CODE:
Please log in to see this code.

It takes a crossunder, not just a decline to trigger an entry. QuickRef for more (hit F11 and start typing the first letters). And vice versa for exits.

P.S. Here's some fruitful discussion from the past that will help:

Problem to understand some code of RSI Agita
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Eugene

#3
P.P.S. Keep in mind that some signals can be skipped anyway if your position size is too large. Make sure you've studied this chapter:

User Guide (Help menu) > Strategy Window > Backtesting Strategies > 100% of Equity Sizing
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