Relative Strength Index

This strategy is based on an absolute values of Relative Strength Index (RSI). Typically when RSI reaches level of 80 it is considered that a security is overbought and when RSI is hitting 20 it is considered that a security is oversold. The current strategy does the following : it generates a buy signal when RSI is falling below a set limit a (a=20 in the example) and is generating a sell signal when RSI reaches a sell limit b (b=80 in the example)

Formula

IF RSI(m) > v
THEN GO SHORT
ELSE
IF RSI(m)< w
THEN GO LONG
where RSI is relative strength index;
and v > w; e.g. v = 80 and w = 20

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