Gold Silver Ratio Strategy (Amibroker)

The article can be found here.

The strategy in plain English:

• We use the RSI indicator to make an RSI indicator strategy of the gold silver ratio.
• When the 5-day RSI is above 75 we buy GLD at the close.
• When the 5-day RSI is above 75 we short SLV at the close.
• When the 5-day RSI falls below 50, we close both positions at the close.

This is a pair trade.

Amibroker code

SetOption("initialEquity",100000);
Leverage=1.0 ;
SetOption("accountmargin",100/leverage);
setOption("MaxOpenPositions",3);
setOption("holdminbars",1);
SetTradeDelays( 0, 0, 0, 0 ); // 	SetTradeDelays( buydelay, selldelay, shortdelay, coverdelay ) 

Fremmed=Foreign("GLD","close",fixup=1);
Fremmedto=Foreign("SLV","close",fixup=1);
Pair= fremmed/fremmedto ;
RSIpair=RSIa(pair,oddis);

if( Name() == "GLD" )
{

IIf( Name() == "GLD",setPositionSize(49*leverage,spsPercentOfEquity),0);

Buy= RSIpair>75 ;;
BuyPrice=Close;
Sell= rsipair<50;
SellPrice=Close;

}

if( Name() == "SLV" )
{

IIf( Name() == "SLV",setPositionSize(49*leverage,spsPercentOfEquity),0);

Short = RSIpair>75;
ShortPrice=Close ;
Cover= rsipair<50 ;
CoverPrice= Close;

}