Posted by sbaxman111 on 27th of Feb 2013 at 11:48 am
On Feb 20th GLD closed with an RSI-2 of just 0.15% and the
GDX closed at just 1.33%. In my conservative version of the
RSI-2 system this was a LONG signal due to a close of 2.99% or
less. The target for the Long trade was the 9 day
line and/or an RSI-2 close above 80%. This sell criteria was met
yesterday when the GDX tagged the 9 day line intra-day (although it
did not close above the 9 day line), and the RSI-2 for GDX closed
at 80.80%. GLD closed yesterday with an RSI-2 of 90.10%. It was
also the 5th consecutive day for the pattern of a low RSI value to
a high RSI value. 4-5 consecutive days in the same direction is a
very common number of days for these reversion to mean trades to
play out. This trade was an example of this 5 day pattern from
low to high.
This was a very nice 4.27% gain for going Long GDX on the
20th. The 300% NUGT etf made 12.94% during that same time.
With the 200 day line for GDX still Bearish at yesterday's
close, an aggressive trader yesterday could have concluded that the
"reversion to the mean" trade was over because the target for the
trade was hit, and that the GDX would likely revert back to the
underlying 200 day Bearish trend once again. That is what is
happening today as GDX is down about 1.60%. This "reversion to the
trend" has had a high % degree of success in my own data over a
long period of time following a "reversion to the mean
trade.
Posted by sbaxman111 on 28th of Feb 2013 at 01:20 pm
Thanks for the kind words Doug:
As of yet I haven't used the Tradestation platforms. Most
of my trading uses the Rydex dynamic index funds (DOW, SPX, RUT,
ADRE) that have an am as well as a pm trading option. But with the
excellent GDX and XLE information from BPT, I also now trade etf's
in my brokerage account.
Today the RSI-2 for GLD/GDX is 21.53/16.86% as I write this and
GDX is below its 200 day line. So the contrarian "reversion to the
trend" short GDX trade taken at the close on the 26th is still
valid. I am still short GDX.
Today is the 3rd consecutive day in a high to low RSI-2 pattern.
If this trade gets to 5 consecutive days lower I would also think
of taking profits and exiting - simply because patterns
historically last 2-5 consecutive days in the vast majority of
cases. Of course there are alwasy exceptions - the longest that a
consecutive day pattern has lasted in my Index data is 13 days.
My target here is a new RSI-2 Long signal below an end of
day 3% RSI-2 level or a 2.5% stop loss from the lowest GDX
value that is achieved during the trade. I think of this as a
"dynamic" stop loss....one that occurs off of the lowest or highest
point within a trade, and NOT the original entry point. Also, if
there are 3 consecutive days below RSI-2 10% without reaching an
end of day value below 3%, that is a one day Long trade that,
statistically, has a very high success ratio in my own data.
GDX is also nearing its previous and recent 37.39 intra-day
low so it is reasonable to be aware of that as support as well.
Best wishes.
smoothy- just an
FYI about 35 BPT members here personally have my Tradestation
Systems installed on their computers following them in real time.
I will be doing a webinar in the future where I will go over the
systems in detail, trades they take and some of the trade logic
that I implemented in the systems, this should answer everyone's
questions about them
However I am trying to decide on a time frame to do the webinar
- some ideas are 4:30 or 5:00 EST, or maybe wait until 7 pm EST in
order to give folks a chance to get home from work, or Saturday
morning or Sunday afternoon.
here's a poll that I put together where you and others can vote
from
These systems could be very helpful to have and I'm just
weighing the possibility of opening a Tradestation account. I'll
look forward to the webinar but would also like to hear from any
members with opinions about the platforms, how they use them, and
Tradestation as a broker.
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GDX RSI-2
Posted by sbaxman111 on 27th of Feb 2013 at 11:48 am
On Feb 20th GLD closed with an RSI-2 of just 0.15% and the GDX closed at just 1.33%. In my conservative version of the RSI-2 system this was a LONG signal due to a close of 2.99% or less. The target for the Long trade was the 9 day line and/or an RSI-2 close above 80%. This sell criteria was met yesterday when the GDX tagged the 9 day line intra-day (although it did not close above the 9 day line), and the RSI-2 for GDX closed at 80.80%. GLD closed yesterday with an RSI-2 of 90.10%. It was also the 5th consecutive day for the pattern of a low RSI value to a high RSI value. 4-5 consecutive days in the same direction is a very common number of days for these reversion to mean trades to play out. This trade was an example of this 5 day pattern from low to high.
This was a very nice 4.27% gain for going Long GDX on the 20th. The 300% NUGT etf made 12.94% during that same time.
With the 200 day line for GDX still Bearish at yesterday's close, an aggressive trader yesterday could have concluded that the "reversion to the mean" trade was over because the target for the trade was hit, and that the GDX would likely revert back to the underlying 200 day Bearish trend once again. That is what is happening today as GDX is down about 1.60%. This "reversion to the trend" has had a high % degree of success in my own data over a long period of time following a "reversion to the mean trade.
Nice work sbaxman...question: do you
Posted by smoothy on 27th of Feb 2013 at 12:05 pm
Nice work sbaxman...question: do you also use Matts Tradestation platforms?
Thx, Doug
Thanks for the kind words
Posted by sbaxman111 on 28th of Feb 2013 at 01:20 pm
Thanks for the kind words Doug:
As of yet I haven't used the Tradestation platforms. Most of my trading uses the Rydex dynamic index funds (DOW, SPX, RUT, ADRE) that have an am as well as a pm trading option. But with the excellent GDX and XLE information from BPT, I also now trade etf's in my brokerage account.
Today the RSI-2 for GLD/GDX is 21.53/16.86% as I write this and GDX is below its 200 day line. So the contrarian "reversion to the trend" short GDX trade taken at the close on the 26th is still valid. I am still short GDX.
Today is the 3rd consecutive day in a high to low RSI-2 pattern. If this trade gets to 5 consecutive days lower I would also think of taking profits and exiting - simply because patterns historically last 2-5 consecutive days in the vast majority of cases. Of course there are alwasy exceptions - the longest that a consecutive day pattern has lasted in my Index data is 13 days.
My target here is a new RSI-2 Long signal below an end of day 3% RSI-2 level or a 2.5% stop loss from the lowest GDX value that is achieved during the trade. I think of this as a "dynamic" stop loss....one that occurs off of the lowest or highest point within a trade, and NOT the original entry point. Also, if there are 3 consecutive days below RSI-2 10% without reaching an end of day value below 3%, that is a one day Long trade that, statistically, has a very high success ratio in my own data.
GDX is also nearing its previous and recent 37.39 intra-day low so it is reasonable to be aware of that as support as well. Best wishes.
Bruce
smoothy- just an FYI about 35
Posted by matt on 27th of Feb 2013 at 12:19 pm
smoothy- just an FYI about 35 BPT members here personally have my Tradestation Systems installed on their computers following them in real time.
I will be doing a webinar in the future where I will go over the systems in detail, trades they take and some of the trade logic that I implemented in the systems, this should answer everyone's questions about them
However I am trying to decide on a time frame to do the webinar - some ideas are 4:30 or 5:00 EST, or maybe wait until 7 pm EST in order to give folks a chance to get home from work, or Saturday morning or Sunday afternoon.
here's a poll that I put together where you and others can vote from
http://www.easypolls.net/poll.html?p=511b334ae4b0f40dd3ccb0ec
These systems could be very
Posted by smoothy on 27th of Feb 2013 at 12:29 pm
These systems could be very helpful to have and I'm just weighing the possibility of opening a Tradestation account. I'll look forward to the webinar but would also like to hear from any members with opinions about the platforms, how they use them, and Tradestation as a broker.