摘要：Using daily data for the Swiss franc/US dollar exchange rate,this paper studies the trading profitability of the technical indicator Relative Strength Index (RSI). The authors find that for the past decade or so,using the standard configura tion of RSI < = 30 and RSI > = 70 as buy or sell threshold,RSI offers no trading profit,but a small loss instead. However,when the buy/sell threshold parameters are altered,to deviate from the combination most commonly used,using RSI as the trading signal still yields profits. The authors also provide an explanation of this phenomenon. One implication of our findings is that consistent profit opportunities should no longer exist in what is already commonly and wide?ly known,but taking a path less travelled could still lead to profit opportunities not yet discovered and utilized.
