Take longs when price is above the 200 SMA, and when RSI 2 fall
below 5%. Exit longs when price closes above the 5 SMA.
Take shorts when price is above the 200 SMA, and when RSI 2 is
above 95%. Exit shorts when price closes below the 5 SMA.
However, I've found 10% for longs and 90% for shorts, and
instead of using a 5 SMA to exit, use a 9 SMA.
Here's the attached statistics going back to Nov 1994, see the
attached charts.
Each trade is based on 100K, no compounding. While the
profit factors are similar, my strategy using the 9 SMA and 10%/90%
produces over double the gains i.e. 220K vs 94K, and 80.7% winning
trades vs 78.5%. Also mine has 186 trades vs 89 for the other
system. Also, the profit curve is quite a bit cleaner on my
version
see the attachments, the first two charts are my slightly
modified strategy, the second 2 are the Stockcharts Strategy
My plans are to change the GDX Swing System section to
'Mechanical Systems' and we would simply add various mechanical
rule based systems into here like this RSI 2 Strategy, the section
would become a database/resource of systems for us all to
reference.
Therefore expect to see the GDX Swing System changed over
to Mechanical Systems, the GDX systems will still be
there, but so will a ton of other various systems.
Also if you have any systems that you feel are worthwhile,
please send them to me and I'llr review them and I may also add
them to the section.
again I think the section works best for all of us as a
database/resource of various systems.
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RSI 2 strategy discussion
Posted by matt on 9th of Mar 2012 at 12:56 am
Regarding the RSI 2 strategy discussed in Stockcharts.com, here's a URL
Stockcharts.com discusses an RSI 2 Strategy
Parameters:
Take longs when price is above the 200 SMA, and when RSI 2 fall below 5%. Exit longs when price closes above the 5 SMA.
Take shorts when price is above the 200 SMA, and when RSI 2 is above 95%. Exit shorts when price closes below the 5 SMA.
However, I've found 10% for longs and 90% for shorts, and instead of using a 5 SMA to exit, use a 9 SMA.
Here's the attached statistics going back to Nov 1994, see the attached charts.
Each trade is based on 100K, no compounding. While the profit factors are similar, my strategy using the 9 SMA and 10%/90% produces over double the gains i.e. 220K vs 94K, and 80.7% winning trades vs 78.5%. Also mine has 186 trades vs 89 for the other system. Also, the profit curve is quite a bit cleaner on my version
see the attachments, the first two charts are my slightly modified strategy, the second 2 are the Stockcharts Strategy
RSI 2 system
Posted by poohnana on 10th of Mar 2012 at 03:47 pm
Is this just for an index such as the SPY?
RSI 2 Tutorial
Posted by steve on 10th of Mar 2012 at 08:11 pm
http://stockcharts.com/school/doku.php?id=chart_school:trading_strategies:rsi2
My plans are to change
Posted by matt on 9th of Mar 2012 at 10:07 am
My plans are to change the GDX Swing System section to 'Mechanical Systems' and we would simply add various mechanical rule based systems into here like this RSI 2 Strategy, the section would become a database/resource of systems for us all to reference.
Therefore expect to see the GDX Swing System changed over to Mechanical Systems, the GDX systems will still be there, but so will a ton of other various systems.
Also if you have any systems that you feel are worthwhile, please send them to me and I'llr review them and I may also add them to the section.
again I think the section works best for all of us as a database/resource of various systems.