The RSI Trend Catcher uses the Relative Strength Index to generate buy and sell signals.
It uses a threshold range above which it will buy and below which it will sell. The range it determined as:
Top of range - entered by user as entryThreshold
Bottom of range - ( 100 - entryThreshold )
It sets the stops stopWidth fraction of the ATR from the close.
It uses a threshold range for exits. Above which it exits a short position, and below which it exits a long position.
The RSI Trend Catcher System uses the following parameters:
RSI Length (Bars)
Number of bars used to calculate the RSI
Entry RSI Threshold
The top of the entry range above which the system will enter a long position. 100 - entryThreshold is the bottom of the entry range, below which the system will enter a short position.
Exit RSI Threshold
The bottom of the exit range, below which the system will exit a long position. 100 - exitThreshold is the top of the exit range, above which the system will exit a short position.
Stop Width (ATR)
Fraction of the ATR used for stop. Stops are based off the Close
ATR Bars
Number of bars used to calculate the Average True Range
Entry Script
' ---------------------------------------------
' Enter position if RSI crosses threshold.
' ---------------------------------------------
VARIABLES: exitStop TYPE: Floating
IF instrument.position <> LONG AND
relativeStrengthIndex > entryThreshold THEN
' Compute the stop.
exitStop = instrument.close - (stopWidth * averageTrueRange)
' Enter a long on the open with this stop.
broker.EnterLongOnOpen( exitStop )
ENDIF
IF instrument.position <> SHORT AND
relativeStrengthIndex < (100 - entryThreshold) THEN
' Compute the stop.
exitStop = instrument.close + (stopWidth * averageTrueRange)
' Enter a long on the open with this stop.
broker.EnterShortOnOpen( exitStop )
ENDIF
Exit Script
' ---------------------------------------------
' Exit Position if RSI crosses Threshold
' ---------------------------------------------
IF instrument.position = LONG AND
relativeStrengthIndex <= exitThreshold THEN
' Exit the position.
broker.ExitAllUnitsOnOpen
ENDIF
IF instrument.position = SHORT AND
relativeStrengthIndex >= (100 - exitThreshold) THEN
' Exit the position.
broker.ExitAllUnitsOnOpen
ENDIF
Adjust Stops
' ---------------------------------------------
' Enter stop if "holdstops" is true
' ---------------------------------------------
IF holdStops THEN
broker.ExitAllUnitsOnStop( instrument.unitExitStop )
ENDIF