I posted this system earlier today on the trading community blog.
This is an RSI 2 reversion to the mean system for the S&P
500, similar to RSI 2 systems that were popularized by Larry Conners
. The system took an initial 30% position at today's close
because the RSI 2 was oversold below 10% for 2 days in a
row.
However I'm using a slightly modified version of RSI, I'm using an
RSI that has an EMA component to it, which makes it a little more
responsive than the standard RSI. This system scales into
trades in 4 parts of 30%, 20%, 20%, 30%, however in most cases you
don't get 4 scale ins, most of the trades end up being 2 - 3 scale
ins. Also most of the 1st entries are early and have at least
one more scale in (see the detailed statistics and trades below
provided in the performance report). Total position size is
100K, but that's with 4 entries, obviously most trades are not 4
entries and so some trades would be 30K (one entry) or 50K (2
entries) etc, again I only used 100K because then the math is easy
for % gain calculation, 10K could have been used or any
number. The system will exit when RSI 2 closes back over 80%
in most cases, however some trades hold for longer periods of time
because I have a a trending indicator that will allow the system to
hold the trades and ignore the RSI 80% exit.
System Stats:
- Total # of trades is 347 over 21 years.
- 83.86% winning trades
- Profit factor of 9.29 which means on average the system make 9
dollars for every 1 dollar lost.
- Average hold time for the trades is about 8 days, with an average
of 33 days between trades.
For the complete statistics and trade history, click on the
URL below:
please note: The file will open ONLY in Internet Explorer, it shows
7 pages of statistics, trade history, etc. You can also right
click on the file and save to your computer and open it from
there.
**as always, this is posted for
informational purposes only**
Remember you did some kind of program on futures exiting end of
day or selling at open at the beginning of next day??
Something like that? I was wondering how the
stats work on the RSI2? Are we better exiting end of day or
beginning of the next day.. Just wondering.... ?
Here's an update to the RSI 2 reversion to the mean system.
As you know it closed out today since the RSI 2 closed over
80% and the BPT trending indicator remained red.
looks like the BPT RSI 2 system will be exiting the long today
if price can stay up. This particular system will exit the
trade if the EMA based RSI 2 closes above 80%, currently the RSI 2
is at 84.27 However obviously this RSI 2 can change quite a
bit during the day so it's the close that matters.
Besides the EMA based RSI 2, what also makes this system
different from other RSI 2 systems is that it will hold trades for
longer periods of time if a trending indicator flips to positive
for longs or negative for shorts, so even if the RSI 2 hits the
exit price, if the trending indicator is agreeing with the trade,
the system will hold the trade.
On this chart, trending indicator is just above the RSI 2.
At this time it is still red and therefore will not be
holding the trade, if it was green then it would hold the trade for
longer
see the second attachment, I show two past trade examples that
were held much longer because of the trending indicator - without
this these trades would have been exited really early like on
standard RSI 2 systems
the third chart shows an example of a short that was held longer
because of the indicator
otherwise for the current long trade, the indicator is still red
and not wanting to hold
The EMA RSI 2 is now down to 80.68% with the SPX up 8.14 - so it
looks like the SPX needs to close up say at least 7.8 points or
higher in order for the RSI 2 to close over 80% (anything less than
that then RSI 2 will not close above 80% and the system will stay
long), I'll let you know late in the day before the close
No, that would just be a closing of the long trade. NOT a
flip short. As Matt noted we also need to stay up a fair
amount so we will follow-up after/toward the close if there was an
official exit. Good Question.
The RSI 2 system will be closing out end of day, even though the
SPX is up 11.5 points, the trending indicator did not flip, so it
will be closing out of the trade for another winning trade
just to clarify, on the RSI 2 system that I posted last week, it
has 4 scale-ins as you know. However each scale in needs a
lower close from the previous entry in order to scale in.
Right now the system has 2 entries, it would need a lower
closing price from the last entry in order to have a 3rd entry, and
a close lower than the 3rd entry to have a 4th entry.
Again if I eventually start to send out the signals to this
system, it will all be clarified on a web page
Posted by royal flush on 13th of Oct 2012 at 07:33 am
From your chart Matt it can be seen clearly that Friday was the
4th day your EMA RSI closed below 10. How could Friday
have only been the 2nd buy according to the rules of the EMA RSI 2
System?
because remember first off I use a different RSI, has an EMA
component to it! #2, my subsequent prices need to be at
better prices. Thursday's closing prices was not below
Wednesday's closing prices, thus it did not entry on Thur.
I will let you know when this RSI 2 system closes out of the
trade, at minimum RSI 2 has to close above 80%. However it's
an EMA based RSI so it's a little faster than your standard RSI, so
it will move up over 80% easier than a standard RSI 2 indicator
Posted by sschulman on 10th of Oct 2012 at 06:41 pm
Hi Matt,
Seems like a very nice system.
What are your rules for your version of this system for its
2nd, 3rd, and 4th entries? eg for 2nd entry now, would the RSI2 on
spx have to stay below 10% for another day?
right now the other rules are simply to take scale ins on a
lower low and not governed by the RSI. Clearly the system
could be made better if filters or other rules were added to avoid
certain trades, something I may do eventually.
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SPX RSI 2 reversion to mean system
Posted by matt on 10th of Oct 2012 at 04:49 pm
I posted this system earlier today on the trading community blog. This is an RSI 2 reversion to the mean system for the S&P 500, similar to RSI 2 systems that were popularized by Larry Conners . The system took an initial 30% position at today's close because the RSI 2 was oversold below 10% for 2 days in a row.
However I'm using a slightly modified version of RSI, I'm using an RSI that has an EMA component to it, which makes it a little more responsive than the standard RSI. This system scales into trades in 4 parts of 30%, 20%, 20%, 30%, however in most cases you don't get 4 scale ins, most of the trades end up being 2 - 3 scale ins. Also most of the 1st entries are early and have at least one more scale in (see the detailed statistics and trades below provided in the performance report). Total position size is 100K, but that's with 4 entries, obviously most trades are not 4 entries and so some trades would be 30K (one entry) or 50K (2 entries) etc, again I only used 100K because then the math is easy for % gain calculation, 10K could have been used or any number. The system will exit when RSI 2 closes back over 80% in most cases, however some trades hold for longer periods of time because I have a a trending indicator that will allow the system to hold the trades and ignore the RSI 80% exit.
System Stats:
- Total # of trades is 347 over 21 years.
- 83.86% winning trades
- Profit factor of 9.29 which means on average the system make 9 dollars for every 1 dollar lost.
- Average hold time for the trades is about 8 days, with an average of 33 days between trades.
For the complete statistics and trade history, click on the URL below:
** Click here** to view system statistics and trade history - each trade 100K
please note: The file will open ONLY in Internet Explorer, it shows 7 pages of statistics, trade history, etc. You can also right click on the file and save to your computer and open it from there.
**as always, this is posted for informational purposes only**
Title: does this system work
Posted by stsystem on 16th of Oct 2012 at 01:23 pm
BPT RSI 2 system seems to work very good, has this been tested in reverse when it becomes very oversold?
Exit end of Day or beginning of next day????
Posted by zach06 on 16th of Oct 2012 at 07:49 am
Matt,
Remember you did some kind of program on futures exiting end of day or selling at open at the beginning of next day?? Something like that? I was wondering how the stats work on the RSI2? Are we better exiting end of day or beginning of the next day.. Just wondering.... ?
Here's an update to the
Posted by matt on 15th of Oct 2012 at 10:58 pm
Here's an update to the RSI 2 reversion to the mean system. As you know it closed out today since the RSI 2 closed over 80% and the BPT trending indicator remained red.
I've also added new the new statistics
looks like the BPT RSI
Posted by matt on 15th of Oct 2012 at 01:20 pm
looks like the BPT RSI 2 system will be exiting the long today if price can stay up. This particular system will exit the trade if the EMA based RSI 2 closes above 80%, currently the RSI 2 is at 84.27 However obviously this RSI 2 can change quite a bit during the day so it's the close that matters.
Besides the EMA based RSI 2, what also makes this system different from other RSI 2 systems is that it will hold trades for longer periods of time if a trending indicator flips to positive for longs or negative for shorts, so even if the RSI 2 hits the exit price, if the trending indicator is agreeing with the trade, the system will hold the trade.
On this chart, trending indicator is just above the RSI 2. At this time it is still red and therefore will not be holding the trade, if it was green then it would hold the trade for longer
see the second attachment, I show two past trade examples that were held much longer because of the trending indicator - without this these trades would have been exited really early like on standard RSI 2 systems
the third chart shows an example of a short that was held longer because of the indicator
otherwise for the current long trade, the indicator is still red and not wanting to hold
Trending indicator
Posted by payday on 15th of Oct 2012 at 06:14 pm
What is the trendiing indicator Matt? Is it a moving average of some type?
Thank
The EMA RSI 2 is
Posted by matt on 15th of Oct 2012 at 01:29 pm
The EMA RSI 2 is now down to 80.68% with the SPX up 8.14 - so it looks like the SPX needs to close up say at least 7.8 points or higher in order for the RSI 2 to close over 80% (anything less than that then RSI 2 will not close above 80% and the system will stay long), I'll let you know late in the day before the close
so would you go short
Posted by iaranger on 15th of Oct 2012 at 02:15 pm
so would you go short at the close then if it exits the Long position?
No, that would just be
Posted by tom on 15th of Oct 2012 at 03:10 pm
No, that would just be a closing of the long trade. NOT a flip short. As Matt noted we also need to stay up a fair amount so we will follow-up after/toward the close if there was an official exit. Good Question.
The RSI 2 system will
Posted by matt on 15th of Oct 2012 at 03:59 pm
The RSI 2 system will be closing out end of day, even though the SPX is up 11.5 points, the trending indicator did not flip, so it will be closing out of the trade for another winning trade
just to clarify, on the
Posted by matt on 15th of Oct 2012 at 11:18 am
just to clarify, on the RSI 2 system that I posted last week, it has 4 scale-ins as you know. However each scale in needs a lower close from the previous entry in order to scale in. Right now the system has 2 entries, it would need a lower closing price from the last entry in order to have a 3rd entry, and a close lower than the 3rd entry to have a 4th entry.
Again if I eventually start to send out the signals to this system, it will all be clarified on a web page
Thanks
Posted by frtaylor on 15th of Oct 2012 at 11:19 am
Thanks
my EMA RSI 2 strategy
Posted by matt on 12th of Oct 2012 at 09:57 pm
my EMA RSI 2 strategy took a second entry today of 20%, for a total of 50%. entry 3 would be 20%, entry 4 would be 30%
From your chart Matt it
Posted by royal flush on 13th of Oct 2012 at 07:33 am
From your chart Matt it can be seen clearly that Friday was the 4th day your EMA RSI closed below 10. How could Friday have only been the 2nd buy according to the rules of the EMA RSI 2 System?
because remember first off I
Posted by matt on 14th of Oct 2012 at 09:13 pm
because remember first off I use a different RSI, has an EMA component to it! #2, my subsequent prices need to be at better prices. Thursday's closing prices was not below Wednesday's closing prices, thus it did not entry on Thur.
Today is the 4th day closing
Posted by royal flush on 12th of Oct 2012 at 04:29 pm
Today is the 4th day closing below 10 on my regular RSI 2 so a 3rd buy is made on the system.
Today is the 3rd day
Posted by royal flush on 11th of Oct 2012 at 04:11 pm
Today is the 3rd day closing below 10 on my regular RSI 2 so a 2nd buy is made on the system.
RSI-EMA
Posted by sbaxman111 on 11th of Oct 2012 at 10:48 am
How do you get an RSI with an EMA component? Is such a signal available on stockcharts?
no the EMA based RSI
Posted by matt on 12th of Oct 2012 at 09:54 pm
no the EMA based RSI is a custom thing, not available at Stockcharts.
I will let you know
Posted by matt on 11th of Oct 2012 at 09:30 am
I will let you know when this RSI 2 system closes out of the trade, at minimum RSI 2 has to close above 80%. However it's an EMA based RSI so it's a little faster than your standard RSI, so it will move up over 80% easier than a standard RSI 2 indicator
What are your other rules?
Posted by sschulman on 10th of Oct 2012 at 06:41 pm
Hi Matt,
Seems like a very nice system.
What are your rules for your version of this system for its 2nd, 3rd, and 4th entries? eg for 2nd entry now, would the RSI2 on spx have to stay below 10% for another day?
right now the other rules
Posted by matt on 10th of Oct 2012 at 09:46 pm
right now the other rules are simply to take scale ins on a lower low and not governed by the RSI. Clearly the system could be made better if filters or other rules were added to avoid certain trades, something I may do eventually.