In this trend following quant system when using RSI based sorting as filter are we looking for the highest RSI group (near peaking out) or the bottom ones (possible uptick due to trend reversal)?
Indeed, survivorship bias is fundamentally likely not significant, also past 13.3 years only 2.15x churn of constituents in Nifty-500, on top of the quarterly churn of strategy seems not that big a deal.
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