- Largest losing trade is only -1.4% not bad, however max draw
down is -18.4%, so you had to have a tough skin, that was in 2008
of course, but if you held turned into a +1.5% winning trade
- largest winning trade is 9.7%
- Average Time in trade is 14 days!
I present this as statistical data and informational purposes
only, it is up to you to make your own trading decisions based on
what fits your style.
----
As always I will send out a newsletter later this evening on the
general market and of course gold and whatever else stands out.
Tomorrow is the Big Jobs number!
The RSI 2 on GDX is currently at 1.97%. A while back on
May 3rd I posted a short term revision to the mean system on GDX
that went long when RSI 2 closed below 3% and the exited when RSI 2
closed back above 80%
The previous statistics had the RSI 2 on GDX closing below 3%,
here's the statistics if you only take the long trades when the RSI
2 closes at 2% or below.
Stats quite a bit better at 94% winning trades and the average
wining trade at 4% and average losing trade at -0.75%.
Largest winning trade 12%, largest losing trade still only
-0.75%.
the only issue is that there are only 18 data points, but that's
because it doesn't happen every often and GDX only goes back to
2006
as far as the GDX RSI 2 stats that I posted below, I posted
those for informational purposes, a member had send me a pm asking
me about the GDX RSI 2 system and therefore I also decided to
update and post the info on the blog as well. I'm not
advocating that you follow it or not follow it, just posted for
informational purposes
yes end of day, however the starts are still Ok even if an
oversold reading of 2.2 - 2.5 was used instead of 2.
But again realize that GDX is in a strong down trend, and while
those stats look good on the surface, you had to go through some
pain at times with the position being down a many times before
closing positive - average draw down is almost 5%
I
have read all information that I could find on the Internet. I also
tried Connor's TPS model for ETF.
Mostly this model makes money consistently. However, when you use
it for DIA, ...and you will find if you followed his steps on
7/27/2011, then you could lose you pants.
jroger- there are
6.5 trading hrs in a day, multiple 2 RSI by 6.5 and you get 13.
However when I look at a 60 min chart, the RSI does not
really match. This method works well for MA's, but probably
not for indicators like RSI etc
1. usually RSI make bottom in the sell off day, and on the
second day it will be up in the morning. Do you think we should set
buy before the end of the first day (sell off day)?
2. When we use RSI 2 do you think we have to use stop loss? If
yes, then how to set it?
3. In a uptrend stock, usually there is a large posibility for
RSI2 to be successful, usually the RSI2 may not reach 3%, but for a
down trend stock this 3% can be easily reached but the success is
not as good as an uptrend stock. Do you have any comments?
gyzhao- make sure
to do a blog search on the RSI 2 systems, use the key words 'RSI 2,
or RSI 2 system', as well as a google search. You need to read up
about these type of systems so that you understand them.
here's a
writeup on Stockcharts.comthis one uses a cross over of the 5 SMA. I've posted
versions that exit over the 5 SMA, the 8 or 9 SMA, or via the RSI
getting back to a certain level such as 80% on the GDX. Again
lots of variations out there.
also here's
another version that I posted a while back, it shows a scale in version. There are multiple versions of
these types of systems, they were popularized by Larry Conners in a
book. I have custom code that I had a programmer write for me
so that I can test multiple combination of factors.
The stockcharts.com page discusses this, generally these types
of systems don't use stops because the the stops generally give
worse results to the systems. What generally happens is that
bad trades get stopped out on a bounce vs getting stopped out at a
low. However that said, I would look for filters to ignore
trades or stop out bad trades, like anything nothing is perfect and
neither are these systems. Systems like these are called
revision to the mean systems. Generally these systems employ
a long term MA like the 200 day MA that is the dividing line
between taking shorts and resistance. For example when price
is over the 200 day MA and RSI 2 get's oversold, go long, and short
when price is below the 200 day MA and RSI get's overbought.
For my RSI GDX post, I didn't use a long term MA, I simply
tested what are the odds of getting a bounce if RSI closed below
3%. When I uses a 200 day MA, there are too few trades to be
statistically meaningful, only 10 trade.s Again I only posted
it yesterday because RSI 2 closed below 3% for statistical
purposes
As far as employing a stop, you can choose to employ some kind
of stop, but I cannot tell you what that is. I simply posted that
system yesterday because a member pointed out that the RSI 2 on GDX
was very low and therefore I decided to post statistics on a
system. My post was more for informational purposes, I was
not suggesting people to go long GDX based off this, it was an
informational statistical post
GDX RSI strategy, RSI 2 closes below 3, see video and details
Posted by matt on 3rd of May 2012 at 04:37 pm
here's a quick RSI 2 strategy I just tested on GDX. (this was posted yesterday on our blog)
rules: Go long when the RSI 2 closes below 3% on GDX
Sell when the 2 RSI closes above 80%
Watch this video
Statistics
# of trades since 2006 = 24
Profit factor of 17!
- 79% winning trades
- Largest losing trade is only -1.4% not bad, however max draw down is -18.4%, so you had to have a tough skin, that was in 2008 of course, but if you held turned into a +1.5% winning trade
- largest winning trade is 9.7%
- Average Time in trade is 14 days!
I present this as statistical data and informational purposes only, it is up to you to make your own trading decisions based on what fits your style.
----
As always I will send out a newsletter later this evening on the general market and of course gold and whatever else stands out. Tomorrow is the Big Jobs number!
The RSI 2 on GDX
Posted by matt on 12th of Jul 2012 at 01:26 pm
The RSI 2 on GDX is currently at 1.97%. A while back on May 3rd I posted a short term revision to the mean system on GDX that went long when RSI 2 closed below 3% and the exited when RSI 2 closed back above 80%
here's a link to that post
http://breakpointtrades.com/blog/post/198543/
The previous statistics had the
Posted by matt on 12th of Jul 2012 at 01:41 pm
The previous statistics had the RSI 2 on GDX closing below 3%, here's the statistics if you only take the long trades when the RSI 2 closes at 2% or below.
Stats quite a bit better at 94% winning trades and the average wining trade at 4% and average losing trade at -0.75%. Largest winning trade 12%, largest losing trade still only -0.75%.
the only issue is that there are only 18 data points, but that's because it doesn't happen every often and GDX only goes back to 2006
Well nice reversal for GDX
Posted by matt on 12th of Jul 2012 at 03:33 pm
Well nice reversal for GDX when RSI 2 was below 2% earlier today, GDX is now almost flat for the day
as far as the GDX
Posted by matt on 12th of Jul 2012 at 02:12 pm
as far as the GDX RSI 2 stats that I posted below, I posted those for informational purposes, a member had send me a pm asking me about the GDX RSI 2 system and therefore I also decided to update and post the info on the blog as well. I'm not advocating that you follow it or not follow it, just posted for informational purposes
Do you need to wait
Posted by mgbarcia on 12th of Jul 2012 at 01:47 pm
Do you need to wait until the end of the day to enter on the system, or could we get in now?
yes end of day, however
Posted by matt on 12th of Jul 2012 at 02:20 pm
yes end of day, however the starts are still Ok even if an oversold reading of 2.2 - 2.5 was used instead of 2.
But again realize that GDX is in a strong down trend, and while those stats look good on the surface, you had to go through some pain at times with the position being down a many times before closing positive - average draw down is almost 5%
RSI2 is not as good as you introduced
Posted by gyzhao on 6th of May 2012 at 10:57 am
Matt:
I have read all information that I could find on the Internet. I also tried Connor's TPS model for ETF.
Mostly this model makes money consistently. However, when you use it for DIA, ...and you will find if you followed his steps on 7/27/2011, then you could lose you pants.
Thus I give up this RSI2 strategy.
Regards,
gyzhao
GDX bucking the market trend
Posted by matt on 4th of May 2012 at 09:46 am
GDX bucking the market trend this morning, GDX is up 45 cents, SPX is down 11.
of course the RSI 1 closed in the 2's yesterday, so not surprising
Matt, is the RSI 14
Posted by jroger on 3rd of May 2012 at 10:31 pm
Matt, is the RSI 14 on a 60min chart equivilant to the RSI system?
jroger- there are 6.5 trading hrs
Posted by matt on 3rd of May 2012 at 11:42 pm
jroger- there are 6.5 trading hrs in a day, multiple 2 RSI by 6.5 and you get 13. However when I look at a 60 min chart, the RSI does not really match. This method works well for MA's, but probably not for indicators like RSI etc
- if you listen closely you
Posted by matt on 3rd of May 2012 at 04:38 pm
- if you listen closely you can hear my daughter crying at about 1 - 1.2 min int o
I guess the action on GDX lately is enough to make her cry LOL
is the code available ?
Posted by 1800promote on 4th of May 2012 at 08:31 am
Matt...is the tradestation code shared for this strategy?
Matt: 1. usually RSI make bottom
Posted by gyzhao on 4th of May 2012 at 03:36 pm
Matt:
1. usually RSI make bottom in the sell off day, and on the second day it will be up in the morning. Do you think we should set buy before the end of the first day (sell off day)?
2. When we use RSI 2 do you think we have to use stop loss? If yes, then how to set it?
3. In a uptrend stock, usually there is a large posibility for RSI2 to be successful, usually the RSI2 may not reach 3%, but for a down trend stock this 3% can be easily reached but the success is not as good as an uptrend stock. Do you have any comments?
Thanks.
GY
gyzhao- make sure to do a
Posted by matt on 4th of May 2012 at 04:13 pm
gyzhao- make sure to do a blog search on the RSI 2 systems, use the key words 'RSI 2, or RSI 2 system', as well as a google search. You need to read up about these type of systems so that you understand them.
here's a writeup on Stockcharts.com this one uses a cross over of the 5 SMA. I've posted versions that exit over the 5 SMA, the 8 or 9 SMA, or via the RSI getting back to a certain level such as 80% on the GDX. Again lots of variations out there.
also here's another version that I posted a while back , it shows a scale in version. There are multiple versions of these types of systems, they were popularized by Larry Conners in a book. I have custom code that I had a programmer write for me so that I can test multiple combination of factors.
The stockcharts.com page discusses this, generally these types of systems don't use stops because the the stops generally give worse results to the systems. What generally happens is that bad trades get stopped out on a bounce vs getting stopped out at a low. However that said, I would look for filters to ignore trades or stop out bad trades, like anything nothing is perfect and neither are these systems. Systems like these are called revision to the mean systems. Generally these systems employ a long term MA like the 200 day MA that is the dividing line between taking shorts and resistance. For example when price is over the 200 day MA and RSI 2 get's oversold, go long, and short when price is below the 200 day MA and RSI get's overbought. For my RSI GDX post, I didn't use a long term MA, I simply tested what are the odds of getting a bounce if RSI closed below 3%. When I uses a 200 day MA, there are too few trades to be statistically meaningful, only 10 trade.s Again I only posted it yesterday because RSI 2 closed below 3% for statistical purposes
As far as employing a stop, you can choose to employ some kind of stop, but I cannot tell you what that is. I simply posted that system yesterday because a member pointed out that the RSI 2 on GDX was very low and therefore I decided to post statistics on a system. My post was more for informational purposes, I was not suggesting people to go long GDX based off this, it was an informational statistical post
My post was more for
Posted by matt on 4th of May 2012 at 04:14 pm
My post was more for informational purposes, I was not suggesting people to go long GDX based off this, it was an informational statistical post
Matt: Thanks for the answer. I have
Posted by gyzhao on 4th of May 2012 at 05:42 pm
Matt:
Thanks for the answer.
I have to test this system before I can use it.
The modified RSI2 system is only used for price above 200MVA. Thus I am not sure It could be used for GDX. It is way below 200MVA.
Have nice weekend!