Building Screens with RSI
Author: PCPettit2013
Creation Date: 8/23/2013 12:24 PM
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PCPettit2013

#1
Hello – I am new to Wealth-Lab – just a week or so, and am quickly learning how to code strategies by creating a rules based strategy, converting it to code and then modifying the code to accomplish what I am looking for. I have written several simple strategies this way and some of them actually seem to turn a bit of a profit, depending, of course on the dataset used and the time frame.

What I’m finding that I would really like to do during this experimentation period, is to code screens based on technical indicators, instead of buy-sell strategies. Experimenting with this, I’m finding that I do not need to have a “buy” and a “sell” for each strategy, and that I need to code a data range that is at least one day longer than period of the indicator (or longest period of the indicators). And actually, it seems that it might need to be two periods longer. (If I look at the RSI for two days, I need to let it run for three days, plus an extra day for the “buy”, totaling four trading days.)

I’d just like to confirm whether or not I’m on the right track here and if there might be something else that I need to consider. Maybe its not a great idea, but it seems that Wealth-lab, in addition to being a powerful strategy testing and automation tool, would be a great tool for creating some really unique screens that wouldn't be possible with the Fidelity screening tool, as powerful as it is. Thanks very much in advance for your help.

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Eugene

#2
Hi Peter,

Welcome to the community forums. Your line of thinking is correct in general, but with one caveat. RSI is an unstable indicator that needs 3-4 times loaded bars to stabilize (e.g. 6-8 in your case). Check out the WealthScript Programming Guide (WLP's Help menu) > Indicators > Stability of Indicators. For an overview of the technique, see Techniques > Creating a Screener in the same Guide.
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PCPettit2013

#3
Thanks much for all your help, Eugene. This is a great heads up and though I had used the programming guide and browsed through much or it, I missed those sections. That will be helpful to my coding.

P.