The EMA based RSI 2 system that I discussed before will be
taking an initial long position today of 30% if the SPX closes
negative or even flat. The system has a total of 4 potential
scale ins if better prices are met (30%, 30%, 20%, 20%). Most
of the trades end up having 2 entries. Currently the S&P 500 is
down 5 points, again the closing price is the key.
Key statistics - 21
years
349 trades
84% winning trades
Profit factor of 9.9
Average time in trade is about 8 days
**
CLick Here** to seea full statistics reportincluding a list of all
the trades. NOTE** this must be opened in Internet Explorer
ONLY not Chrome or Firefox
-----
Modified RSI 2 system -uses an EMA
based RSI 2:
Longs:
When price is above the 160 SMA, go
long when the RSI 2 falls below 10% for 2 days in a
row.
Exit Long when modified RSI closes
back above 80%
Exception (I use a trending
indicator to hold trades for longer periods of time under certain
conditions).
Shorts:
When price is below the 160 SMA, go
short when the RSI 2 closes above 90% for 2 days in a
row.
Exit short when modified RSI closes
back below 40%.
Exception (I use a trending
indicator to hold trades for longer periods of time under certain
conditions).
**Note** For all the statistics
below, all trades were 100K for simplicity purposes with no
compounding.
Additionally, this
is presented for informational purposes only, do what you feel is
right and always use proper money management
Here's the updated RSI 2 strategies - As you know, one RSI
strategy closed out on Thursday (the one that only used the RSI 2
getting over bought without the trending indicator), while the one
with the trending indicator closed out on Friday's ugly day after
the close.
Here are the charts and Statistic reports. The system that
uses the trending indicator has a higher profit factor and a higher
net gain, while the one that ONLY uses the RSI 2 to exit trades has
a lower profit target of 7 vs 9.8 and a lower total profit gained -
however it does have a higher win rate winning 85% of the trades vs
83.9% for the trending system
I will be adding these systems to the Mechanical Systems section
of the website and plan to send email alerts when they trigger
Alert - BPT RSI 2 system with the trending indicator - it now
turned red, so if it stays here will exit end of day - will be a
winning trade though. Obviously the gap up was a gift to take
profits
Regarding the RSI 2 SPX system - again do what you feel is
right, you can either take nice profits or hold and wait for the
system to reverse, or a combination of both. The system won't
exit until its trending indicator goes negative, if I turn off the
trending indicator the system would be out. The stats are
still nice with it off, I've attached two stat reports one with it
on and off: the system with the trending indicator turned off
actually has a slightly higher winning % of 85.3% vs 83.9%, while
the one with the indicator turned on makes more money - again
that's only logical
otherwise do what you feel is right and suits your trading
style.
nah, it's not the same indicator, the BPT MA deluxe formerly M3
switch is just an exotic type of MA, Hull Exponential modified,
while the trending indicator is based on momentum - no relation to
one another - though I'm sure the BPT MA Hull MA could be back
tested to find a setting that works
BPT EMA RSI 2 system
Posted by matt on 24th of Oct 2012 at 03:25 pm
The EMA based RSI 2 system that I discussed before will be taking an initial long position today of 30% if the SPX closes negative or even flat. The system has a total of 4 potential scale ins if better prices are met (30%, 30%, 20%, 20%). Most of the trades end up having 2 entries. Currently the S&P 500 is down 5 points, again the closing price is the key.
Key statistics - 21 years
349 trades
84% winning trades
Profit factor of 9.9
Average time in trade is about 8 days
** CLick Here** to see a full statistics reportincluding a list of all the trades. NOTE** this must be opened in Internet Explorer ONLY not Chrome or Firefox
-----
Modified RSI 2 system -uses an EMA based RSI 2:
Longs:
When price is above the 160 SMA, go long when the RSI 2 falls below 10% for 2 days in a row.
Exit Long when modified RSI closes back above 80%
Exception (I use a trending indicator to hold trades for longer periods of time under certain conditions).
Shorts:
When price is below the 160 SMA, go short when the RSI 2 closes above 90% for 2 days in a row.
Exit short when modified RSI closes back below 40%.
Exception (I use a trending indicator to hold trades for longer periods of time under certain conditions).
**Note** For all the statistics below, all trades were 100K for simplicity purposes with no compounding. Additionally, this is presented for informational purposes only, do what you feel is right and always use proper money management
Here's the updated RSI 2
Posted by matt on 5th of Nov 2012 at 08:39 am
Here's the updated RSI 2 strategies - As you know, one RSI strategy closed out on Thursday (the one that only used the RSI 2 getting over bought without the trending indicator), while the one with the trending indicator closed out on Friday's ugly day after the close.
Here are the charts and Statistic reports. The system that uses the trending indicator has a higher profit factor and a higher net gain, while the one that ONLY uses the RSI 2 to exit trades has a lower profit target of 7 vs 9.8 and a lower total profit gained - however it does have a higher win rate winning 85% of the trades vs 83.9% for the trending system
I will be adding these systems to the Mechanical Systems section of the website and plan to send email alerts when they trigger
Alert - BPT RSI 2
Posted by matt on 2nd of Nov 2012 at 11:46 am
Alert - BPT RSI 2 system with the trending indicator - it now turned red, so if it stays here will exit end of day - will be a winning trade though. Obviously the gap up was a gift to take profits
futures are up about 7,
Posted by matt on 2nd of Nov 2012 at 09:20 am
futures are up about 7, was up more
Regarding the RSI 2 SPX system - again do what you feel is right, you can either take nice profits or hold and wait for the system to reverse, or a combination of both. The system won't exit until its trending indicator goes negative, if I turn off the trending indicator the system would be out. The stats are still nice with it off, I've attached two stat reports one with it on and off: the system with the trending indicator turned off actually has a slightly higher winning % of 85.3% vs 83.9%, while the one with the indicator turned on makes more money - again that's only logical
otherwise do what you feel is right and suits your trading style.
so far so good on
Posted by matt on 1st of Nov 2012 at 10:46 am
so far so good on the RSI 2 strategy long entry last Wednesday!
However note the trending indicator
Posted by matt on 1st of Nov 2012 at 10:48 am
However note the trending indicator is positive, therefore even though the RSI 2 is now overbought over 80%, the system will not exit the trade
Trending indicator
Posted by jlevinthal on 1st of Nov 2012 at 03:35 pm
Is there a way to get the M3 Switch to match the BPT Trending indicator
nah, it's not the same
Posted by matt on 1st of Nov 2012 at 03:50 pm
nah, it's not the same indicator, the BPT MA deluxe formerly M3 switch is just an exotic type of MA, Hull Exponential modified, while the trending indicator is based on momentum - no relation to one another - though I'm sure the BPT MA Hull MA could be back tested to find a setting that works
nice work!
Posted by morton13 on 1st of Nov 2012 at 11:56 am
just to show for clarification
Posted by matt on 24th of Oct 2012 at 06:23 pm
just to show for clarification - 1st entry of 30% was taken