Rsi 25 strategy
January 20, by JB Marwood. In this article I look at a popular method for trading stocks and futures which utilises the RSI 2 indicator. This is a mean reversion technique for finding overbought and oversold securities. Welles Wilder in However, I tested the RSI 14 indicator on a number of different stocks and I found that these rules have not been all that successful over the last few years. In fact, I found that doing the exact opposite buying overbought stocks and selling oversold stocks results in higher returns as it allows the capture of longer term upward trends. You can read the full article testing the RSI 14 here. Since RSI 14 is not rsi conducive to short-term mean strategy type trades, the rest of this article will look at testing the indicator on a two-day timeframe instead. In strategy book, Connors agrees that the period RSI has no edge statistically and that he is much more successful with RSI 2. Furthermore, Connors and Alvarez found that the lower the RSI 2, the greater the subsequent performance. These strategies will now be tested on more up-to-date data with the back-testing simulator, Amibroker. It has the following strategy. As you can see, the results are almost identical. The results are shown below:. The results table below shows how strategy system did poorly inand However, performance did come back strongly in As a result, it is hard to say whether the strategy is broken or not. In the second test, Connors comes up with a strategy which uses a cumulative RSI. This strategy is tested on the SPY ETF and has the following rules:. Maybe I am not testing the right market. Maybe my rules are not the same. Once again, you san see that the strategy has not performed so well in recent years. Although the percentage of winners has only declined slightly, the drawdown rsi more than doubled. If we look at the profit table, we strategy see that the system has actually done quite well every year except in where it lost The results and equity curve from this strategy are shown below:. So, the RSI 2 trading strategy really has been a great way to get on board some oversold stocks and make some profitable mean reversion trades! The most glaring consideration is shown from looking at the yearly profit table above and this shows that the strongest performance actually came at the beginning of the test period. In recent years the strategy has performed nowhere near as well. This may prove difficult. The performance of the RSI 2 indicator strategy seems to have lost some of its edge in recent years. This may be because markets have become more efficient, because the strategy has become more widely known, or a strategy of the two. The strategy is also difficult to implement especially when dealing with a large universe of stocks. Overall, the RSI 2 indicator rsi shows some promise for development and could be used with other rules and on other markets such as on the VIX or fundamental data sources. So long as you can accurately forecast the closing RSI values, it may still be possible to make money from this strategy, or from a variation of it. Want the Amibroker code for this rsi Can Rsi Beat The Market? Trading systems and charts produced with Amibroker using data from Norgate Premium Data. Simulations assume a cash account with no margin. Thanks also to Rayner Teo and Dr. Howard Bandy for reminding me of the RSI 2 strategy. Just enter your email address below to download all. Unsubscribe at any time. Interesting results and most definitely food for thought. I could see this might be good overlaid on the Vix or even on a shorter timeframe. PositionScore is the ranking method so if there is more than one signal we will choose the stock with the lowest RSI 2. The strategy is good over a time as we can see on Portfolio Equity graph. The table shows the return on increased capital, not the initial, this is why it is lower and lower. All my tests nowadays do include these companies to eliminate survivor bias. Subscribe strategy the rsi list. Notify me of follow-up comments by email. Notify me of new posts by email. JB Marwood is an independent trader, educator and writer specialising in trading systems and stock trading. He began his career trading the FTSE and German Bund for a trading house strategy London and now works through his own strategy. He also writes for Seeking Alpha and other financial publications. Nothing on this site is to be construed as personalised investment advice. Please see the full disclaimer. Latest Charts Amibroker Systems Research Tools I Use Brokers Blog About Amibroker Book Free System Top Posts. The RSI 2 Trading Strategy has been shown to produce some rsi good results on stocks and other markets rsi is that performance sustainable? DCA Approach How strategy build profitable mean reversion trading systems Five New Trading Systems High Probability Stocks: Frederico January 21, 6: JB Marwood January 22, 9: Agreed, might be interesting rsi see how rsi goes on a minute or 1-hour chart. Alonso January 24, Interesting result for the stocks. Do you need this statement: SetPositionSize 1, spsShares Also, do strategy need this one? JB Marwood January 25, rsi JB Marwood January 26, 9: How do you suggest to fine tune it? Piotr January 25, 3: JB Marwood January 25, 8: Yes, that is a good point. Dnps January 25, 6: Do you even code on specific strategy requests? Dnps January 25, 8: How do I get in touch with you? Definetely cant be discussed here. JB Marwood January 26, Jm June 3, Is the stock universe complete or is there survivorship bias in the strategy JB Marwood June 8, 1: Leave a Reply Cancel reply Name Rsi Website Subscribe to the mailing list Notify me of follow-up comments by email. Classic Trading Books That Inspire New Ideas. My 4 Best Intraday Trading Techniques. Ultimate Guide To The Boy Plunger. Testing The RSI 2 Trading Strategy. My Top 5 Ways To Learn Amibroker. Intraday Trading Systems With End Of Day Data:
We also provide empirical studies on both synthetic data and remotely sensed Landsat and MODIS images that show that our approach has significantly lower running times.
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