A Mean Reversion Strategy For Amibroker Using Relative Strength Index

A mean reversion strategy using the Relative Strength Index (RSI) in Amibroker can help identify overbought and oversold conditions in a market, suggesting potential reversal points. The RSI oscillates between 0 and 100, with values above 70 indicating overbought conditions, and values below 30 indicating oversold conditions. Here’s a simple mean reversion strategy using RSI:

Amibroker Code
// Mean Reversion Strategy using RSI

SetTradeDelays(0, 0, 0, 0); // No trade delays
SetOption(“CommissionMode”, 2); // Use percentage-based commission
SetOption(“CommissionAmount”, 0.01); // 1% commission on each trade

// Parameters
Periods = Param(“RSI Periods”, 14, 1, 100, 1);
Overbought = Param(“Overbought Level”, 70, 50, 90, 1);
Oversold = Param(“Oversold Level”, 30, 10, 50, 1);

// Calculate RSI
RSIValue = RSI(Periods);

// Buy signal: RSI crosses below the oversold level
BuySignal = Cross(RSIValue, Oversold);

// Sell signal: RSI crosses above the overbought level
SellSignal = Cross(Overbought, RSIValue);

// Apply buy/sell signals
Buy = BuySignal;
Sell = SellSignal;

// Set position sizing
SetPositionSize(100, spsPercentOfEquity);

// Set initial equity
SetOption(“InitialEquity”, 100000);

// Enable AllowSameBarExit to exit on the same bar if conditions are met
SetOption(“AllowSameBarExit”, True);

// Plot RSI on the chart
Plot(RSIValue, “RSI”, colorBlue);
Plot(Overbought, “Overbought”, colorRed);
Plot(Oversold, “Oversold”, colorGreen);

This strategy buys when the RSI crosses below the oversold level and sells when the RSI crosses above the overbought level. The SetPositionSize function uses a percentage of equity to size the positions, and SetOption(“InitialEquity”, 100000) sets the initial equity to $100,000.

Please note that this is a basic mean reversion strategy, and additional elements such as risk management, position sizing, and filtering criteria can be added to further enhance the strategy. Additionally, backtesting and optimization are essential to evaluate the effectiveness of the strategy using historical data before applying it to real trading.