In this article we look at whether a 4-day RSI forecasts 3-day forward returns when the indicator is used in mean-reversion mode. Walk Forward Optimization is used to determine out of sample performance. Comparisons with other strategies are made. Access to article requires Premium Insights or All in One subscription . . .
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CFTC RULE 4.41
Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated performance results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Hypothetical trading results are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
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