Here are some interesting statistics on the RSI 2 Strategy that
you might find interesting:
Today the 2 length RSI closed below 2% on the S&P 500 and
Dow Jones indexes; on the S&P 500 it closed at 1.25%, which
is extremely oversold and is a rare occurrence as
you will see via the statistics I list below. As you
you may know, the standard RSI 2 strategy takes longs when the RSI
closes below 10%, therefore setting a threshold value at 2% is much
more extreme. However what do the statistics look like if we
only take longs when RSI closes below 2% and price is still above
the 200 day MA?
When the 2 length RSI closes below 2% and price is above the 200
day MA, what are the odds that the next day the market will be up?
In other words, ONLY hold the trade for one day!
Here's some key statistics that I found through back testing
this evening:
- going back 25 years, the market was up the next day 84% of the
time.
- Average gain was 0.8%. Average losing trade was -0.22%.
The largest winning trade was 2.75%. The largest losing trade
was -0.46%
not bad. This is only holding the trade for one day.
Please note this only occurred 23 times out of 23.5 years,
therefore this is a rare occurrence!
-------------
- Next, going back 30 years, the market was up 81.6% of the
time. This only occurred 38 times in 30 years!
- Next, going back 91 years on the Dow Jones to 1920!
74.8% of the time the market was up the next day. Realize
that this condition only occurred 123 times, therefore it only
happens about 1.5 times per year!
-----
Therefore you can see, the RSI 2 closing below 2% is a
rare occurrence for the market
only occurring about 1 - 1.5 times per year on average
with about 75 - 83% of the time closing up the next day.
going back to 1988, if you go long when RSI 2 closes below 2%
and price is above 200 day MA, and then exit on a cross back over
the 15 SMA, winning trades is 91.3%. However the sampling is
small at only 23 trades, but then again it shows you how rare it is
for RSI 2 to close below 2%. only once per year on average because
this is 23 years 5 months and there are only
23 occurrences of the 2 RSI closing below 2%
average time in trade is 10 days
here's the stats and a list of trades, each trade is based of
100K
also here's an example of Larry Conners 2 RSI strategy settings
on the SPY, he uses the scale in method. Is it better to
scale in like does does, are his settings best? well you can
easily find out by testing for yourself. Personally I've found his
setting to be just so so.
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RSI 2 SPX Strategy Statistics
Posted by matt on 11th of Apr 2012 at 03:35 am
Here are some interesting statistics on the RSI 2 Strategy that you might find interesting:
Today the 2 length RSI closed below 2% on the S&P 500 and Dow Jones indexes; on the S&P 500 it closed at 1.25%, which is extremely oversold and is a rare occurrence as you will see via the statistics I list below. As you you may know, the standard RSI 2 strategy takes longs when the RSI closes below 10%, therefore setting a threshold value at 2% is much more extreme. However what do the statistics look like if we only take longs when RSI closes below 2% and price is still above the 200 day MA?
When the 2 length RSI closes below 2% and price is above the 200 day MA, what are the odds that the next day the market will be up? In other words, ONLY hold the trade for one day!
Here's some key statistics that I found through back testing this evening:
- going back 25 years, the market was up the next day 84% of the time.
- Average gain was 0.8%. Average losing trade was -0.22%.
The largest winning trade was 2.75%. The largest losing trade was -0.46%
not bad. This is only holding the trade for one day. Please note this only occurred 23 times out of 23.5 years, therefore this is a rare occurrence!
-------------
- Next, going back 30 years, the market was up 81.6% of the time. This only occurred 38 times in 30 years!
- Next, going back 91 years on the Dow Jones to 1920!
74.8% of the time the market was up the next day. Realize that this condition only occurred 123 times, therefore it only happens about 1.5 times per year!
-----
Therefore you can see, the RSI 2 closing below 2% is a rare occurrence for the market only occurring about 1 - 1.5 times per year on average with about 75 - 83% of the time closing up the next day.
Let's see if we get a slight up day on Wednesday.
RSI 2 SPX Strategy Statistics
Posted by matt on 11th of Apr 2012 at 10:07 pm
I had a few typos in the RSI stats: here's the corrected stats
- going back 25 years, the market was up the next day 84% of the time.
- Average gain was 0.8%. Average losing trade was -0.22%.
The largest winning trade was 2.75%. The largest losing trade was -0.46%
not bad. This is only holding the trade for one day. Please note this only occurred 23 times out of 23.5 years, therefore this is a rare occurrence!
funny, the system would have only been in the market for 1 month 12 days over 23 years LOL
here's some more RSI 2
Posted by matt on 11th of Apr 2012 at 02:11 pm
here's some more RSI 2 stats:
going back to 1988, if you go long when RSI 2 closes below 2% and price is above 200 day MA, and then exit on a cross back over the 15 SMA, winning trades is 91.3%. However the sampling is small at only 23 trades, but then again it shows you how rare it is for RSI 2 to close below 2%. only once per year on average because this is 23 years 5 months and there are only 23 occurrences of the 2 RSI closing below 2%
average time in trade is 10 days
here's the stats and a list of trades, each trade is based of 100K
Matt, the 15sma on a
Posted by frtaylor on 12th of Apr 2012 at 09:19 am
Matt, the 15sma on a daily chart is at 1400. Seems like a lot of ground to make up. Is the exit for EOD, or intraday?
my programmer has written me
Posted by matt on 11th of Apr 2012 at 11:10 am
my programmer has written me some pretty powerful RSI strategies where you can set anything you want:
eventually I would like to make these available in our store, here's an example of what I can do with this strategy
watch this video
also here's an example of Larry Conners 2 RSI strategy settings on the SPY, he uses the scale in method. Is it better to scale in like does does, are his settings best? well you can easily find out by testing for yourself. Personally I've found his setting to be just so so.