RSRS Market Timing Strategy Replication: Testing on CSI300 & CSI500

Our goal is to replicate the RSRS timing strategy in the stock index, based on the research report by Everbright Securities, 'Market Timing Based on Resistance and Support Relative Strength (RSRS) on May 1, 2017'. RSRS is a timing indicator that differs from traditional moving averages and MACD, and has attracted widespread attention in recent years. We aim to test the timing effect of RSRS on broad-based indices such as the CSI300 and the CSI500.