We didn’t get a chance to talk about so I will just write it for you here. Measuring individual volatilities does not perform nearly as well as measuring the basket. This is based on a specific study of MAW. I mispoke and said we will cover “tomorrow” but we will actually cover next week.
350 Trade Challenge
- 10 Symbols
- Diversified
- 35 Trades each
- (In theory) minimum data points for valide statistics
- Finish the 350 before you change anything
- 14 period RSI, hourly chart
- Mostly High Beta names
- Automation process
- Tradestation account
- Copy RSI code (below)…
- Ask for help
- Back test to be sure it’s set correctly
- Simulate to make sure it’s working correctly
- Trade 1 share or $100 to make sure it’s filling correctly
- Add size
Inputs: size(100); Vars: RS(0); RS = RSI(C,14); if RS crosses above 50 then buy size/c shares next bar market; if RS crosses below 50 then sell next bar market;