Best RSI parameter (or other indicator) for 5 day hold

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Feb 20, 2013
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#1
Hello,

I am putting together a quant strategy for a 1-week hold/trade and am thinking of adding historical RSI values to narrow my results. I was wondering if anyone had any suggestions on the parameters to use in this case? Perhaps, would it be wise to use the 5 period (daily bars) to match the holding time?

I am asking for RSI because I know I can acquire those values for 10 years +. If anyone has a better indicator recommendation for a 1-week trade, I would love to hear.

1-week meaning 5-day or 4 with a holiday.

Thanks for all everyone.
 
Oct 28, 2005
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Minnesota
#3
Hello,

I am putting together a quant strategy for a 1-week hold/trade and am thinking of adding historical RSI values to narrow my results. I was wondering if anyone had any suggestions on the parameters to use in this case? Perhaps, would it be wise to use the 5 period (daily bars) to match the holding time?

I am asking for RSI because I know I can acquire those values for 10 years +. If anyone has a better indicator recommendation for a 1-week trade, I would love to hear.

1-week meaning 5-day or 4 with a holiday.

Thanks for all everyone.
RSI(2) has tested well for me on Portfolio123.com weekly rebalancing (using opening prices following the weekend)...

For example, using the DJIA stocks gives a CAGR of 21.6% from 1999 to today, versus 6.1% for B&H on SPY. Average holding is 3.7 stocks with 64% turnover. The only rules I used are:

Universe(DJIA)
RSI(2)<=10

Using 20 as the trigger has about the same CAGR but with about double the held stocks.

Using above 90 as the trigger gives a CAGR of -7.1%.

Changing the under 10 trigger with a universe of the S&P 500 stocks gives a CAGR of 17%, with 85% turnover averaging 60 stocks. A lot of churning. :(
 
Aug 22, 2014
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#4
Do yourself a favor and save a lot of time by ignoring indicators that calculate fancy lines based on 5 inputs you can already see on the chart yourself.

If you are unable to read a chart by itself and rely on indicators, then you are simply consuming a processed mathematical formula that has been massaged to fit your needs; kind of like pre-chewed food. Don't do it and put some effort into your education; don't get spoon fed all your trading career or you will never be able to analyse anything on your own.

Doesn't matter if it's automated or not; it won't work.
 

davewin

New member
Jun 12, 2018
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#5
I prefer CCI over RSI

Hello,

I am putting together a quant strategy for a 1-week hold/trade and am thinking of adding historical RSI values to narrow my results. I was wondering if anyone had any suggestions on the parameters to use in this case? Perhaps, would it be wise to use the 5 period (daily bars) to match the holding time?

I am asking for RSI because I know I can acquire those values for 10 years +. If anyone has a better indicator recommendation for a 1-week trade, I would love to hear.

1-week meaning 5-day or 4 with a holiday.

Thanks for all everyone.
Hi.

I prefer CCI over RSI. You might try CCI for your strategy.