I have run this script to see how RIS2 with scalin…
White Cube - Apr 6, 2012
I have run this script to see how RIS2 with scaling has performed since 2009.
On the long side the performance has not been as good as before (with some sharp drawdowns).
On the short side the equity curve went down for 2 years and seems picking up again since 2011.
Has the magic RSI gone ? Or is it still working if adaptive rules (percentranking) are used?