RSRS Factor Signals and BigQuant Date Range Troubleshooting
Summary
The post presents a BigQuant SQL feature extraction query for Chinese stock data using the Resistance Support Relative Strength (RSRS) approach. It computes a regression slope of highs on lows, standardizes that slope using a rolling mean and standard deviation, adjusts the standardized value by regression fit, and further multiplies by the slope. A moving average comparison is used in the buy condition, while thresholds on the adjusted value define buy and sell signals.
The author’s main question is a platform troubleshooting issue: although the extraction is configured for a date span from 2006 to 2022, the data read from the module still appears to use a 2020 default. The document does not include a reply or a resolution, so it explains the query and reported symptom without establishing the cause. Its signal thresholds and formulas are shown, but no backtest results or evaluation of the method are provided.
Key ideas
- The query builds an RSRS-style signal from a rolling regression of highs on lows.
- It standardizes the regression slope and adjusts it using the regression fit and slope.
- A moving average condition gates the buy signal, while threshold conditions define entries and exits.
- The author reports that the module output appears limited to a default date despite configuring a wider range, and no fix is documented.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.