4 Comments
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Larry Kann's avatar

What about Bollinger Bands instead of an RSI?

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Quantitativo's avatar

In my tests, I never managed to get great results using Bollinger Bands...

I should try more, though

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Larry Kann's avatar

I gave it a half-ass try and got some results that look like it might have some potential with tweaking. If it turns into anything, I will let you know.

Also, when trying to reproduce the strategy, I had to use an absolute spread (difference) between the two instruments and not the ratio. I also normalized the prices before calculation. Sound about right?

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Jay P's avatar

Perhaps the expectation of future rate changes impacts tech stock prices more than spot rates alone? If so, then somehow integrating the spread between spot long term treasuries (or spot ZQ ~ fed funds) and a related futures price could lead to interesting results.

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