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Model - RSI 30 Crossunder 30 Sell RSI 70 BASIC RSI
Created by Q BWO1000 on 4/7/2019
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Model Name
RSI 30 Crossunder 30 Sell RSI 70 BASIC RSI

Description
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BASIC RSI KNOWN AND FEATURED THROUGHOUT MANY BROADCASTS IN THE HISTORY OF TELEVISION.


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Why does running this model give such bad results? I've seen this from time to time, but thought it was my fault. I ran this with the Premium Nasdaq-100 universe, and I get crap, 20% exposure, -1.27% CAGR, 10 years with no positions placed. Similar with the default custom universe. And now this forum post isn't letting me attach a screenshot, urgh.

Why does running this model give such bad results? I've seen this from time to time, but thought it was my fault. I ran this with the Premium Nasdaq-100 universe, and I get crap, 20% exposure, -1.27% CAGR, 10 years with no positions placed. Similar with the default custom universe. And now this forum post isn't letting me attach a screenshot, urgh.

I think posting from within the Description tab of the strategy instead of starting a forum post here has a problem allowing attachments. Attaching worked fine here.

I think posting from within the Description tab of the strategy instead of starting a forum post here has a problem allowing attachments. Attaching worked fine here.

I noticed this too and I believe it’s a problem in the Max Open Positions, I’m going to investigate.

I noticed this too and I believe it’s a problem in the Max Open Positions, I’m going to investigate.

I kind of see what's happening now with BWO's custom universe. It contains many delisted stocks. By default the backtester does not close out these positions when the stock is delisted, not like it does when running against one of the premium universes. So the system winds up holding 10 open positions that have become delisted and can never take any more because of the Max 10 setting.

I kind of see what's happening now with BWO's custom universe. It contains many delisted stocks. By default the backtester does not close out these positions when the stock is delisted, not like it does when running against one of the premium universes. So the system winds up holding 10 open positions that have become delisted and can never take any more because of the Max 10 setting.

Further, I do see a problem when Max Open Positions is set. It seems to not be resetting the count properly after a position is sold. Will work on a fix for this, but for now I'd recommend settings Max Open Positions to 0 and Margin to something like 1.1 to achieve the desired effect.

Further, I do see a problem when Max Open Positions is set. It seems to not be resetting the count properly after a position is sold. Will work on a fix for this, but for now I'd recommend settings Max Open Positions to 0 and Margin to something like 1.1 to achieve the desired effect.

So how should we handle the delisting event in custom universes? What’s the best way to auto close the position?

So how should we handle the delisting event in custom universes? What’s the best way to auto close the position?

I think it would be best to have the backtester close the position automatically. I will work on this.

I think it would be best to have the backtester close the position automatically. I will work on this.

Update: I made the fixes to both the Max Open Positions and having the backtester automatically detect and close positions for securities that have a prematurely ended history.

BWO: when you get a chance please re-run your backtests here on the site so the proper backtest metrics and equity curves can be captured for your models.

Update: I made the fixes to both the Max Open Positions and having the backtester automatically detect and close positions for securities that have a prematurely ended history. **BWO**: when you get a chance please re-run your backtests here on the site so the proper backtest metrics and equity curves can be captured for your models.

Thx much better now.

Thx much better now.

It's the backtest of Cryptos with RSI showing, and that's about the only relevant use I could see for this algo..still has high win percentages but obviously on more usual instruments like equities not very robust, I admit..

It's the backtest of Cryptos with RSI showing, and that's about the only relevant use I could see for this algo..still has high win percentages but obviously on more usual instruments like equities not very robust, I admit..

Guess, I'll pick DOW30 for the SB Badge, redone on that, Glitch..lol, I know it's bad. but it still beats the s&p!

Guess, I'll pick DOW30 for the SB Badge, redone on that, Glitch..lol, I know it's bad. but it still beats the s&p!
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Equity Curve

Performance Metrics
Summary Model Benchmark
Profit
Profit %
APR
Sharpe Ratio
Sortino Ratio
Exposure
Alpha α N/A
Beta β N/A
Profit Factor
Recovery Factor
Drawdown Model Benchmark
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Interest and Commission Model Benchmark
Commission Paid
Cash Interest Earned
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Positions Model Benchmark
Number of Positions
Number of NSF Positions (not taken)
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Average Profit
Average Profit %
Average Hold Time (Bars)
Winning Positions Model Benchmark
Number of Winners
Winning %
Winners Avg Profit
Winners Avg Profit %
Winners Avg Hold Time (Bars)
Losing Positions Model Benchmark
Number of Losers
Losing %
Losers Avg Loss
Losers Avg Loss %
Losers Avg Hold Time (Bars)

Monthly Performance
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
Open Positions
Position Symbol Quantity Entry Date Entry Price Last Price Profit Profit %

Closed Positions
Position Symbol Quantity Entry Date Entry Price Exit Date Exit Price Profit Profit %
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