since the market is quite overbought in the short term I did
some quick backtests using an RSI filter on that breakout
trade.
The first image shows the default trade setting: no trades when
an RSI 2 is > 99%.
The 2nd image shows the filter adjusted to no trades when an
RSI 3 is > 95%
As you can see from the statistics, the default trade has good
stats at 90.2% winning trades and a PF of 19.4, however has a
higher max draw down of about 4.2%.
The statistics using more stringent 3 RSI has a lower profit of
69.8K vs 72K, however 10 less trades of 72 vs 82 and higher winning
% of 93% vs 92.2%, but a Much lower draw down of -2.7% vs
$4.2%. This version did NOT trigger.
Both versions actually went long, therefore I'll be switching
over to this new version as the stats are quite a bit
better.
anyway just sharing for further information,
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since the market is quite
SPY system trade
Posted by matt on 12th of Sep 2019 at 04:25 pm
since the market is quite overbought in the short term I did some quick backtests using an RSI filter on that breakout trade.
The first image shows the default trade setting: no trades when an RSI 2 is > 99%.
The 2nd image shows the filter adjusted to no trades when an RSI 3 is > 95%
As you can see from the statistics, the default trade has good stats at 90.2% winning trades and a PF of 19.4, however has a higher max draw down of about 4.2%.
The statistics using more stringent 3 RSI has a lower profit of 69.8K vs 72K, however 10 less trades of 72 vs 82 and higher winning % of 93% vs 92.2%, but a Much lower draw down of -2.7% vs $4.2%. This version did NOT trigger.
Both versions actually went long, therefore I'll be switching over to this new version as the stats are quite a bit better.
anyway just sharing for further information,