***At the bottom of the page is a link where you can download the PDF of the Backtesting Results.
This year I am focusing on learning from two of the best mentors in the Industry with outstanding track records for Creating Systems, and learning the what methods actually work as far as back testing.
I came across the RSI-2 system that Larry Connors developed. Larry has become famous for his technical indicators, but his RSI-2 system is what actually put him “On The Map” per se. At first glance I didn’t think it would work well, but I decided to code it and ran backtests on the S&P 100 In Down Trending Markets, Up Trending Markets, and both combined. I was shocked by the results. So I thought I would provide them for you. I also ran a test on the Major forex Pairs (12) for the last 5 years, and All Forex Pairs (80) from 11/28/2007 - 6/09/2014, impressive results also.
The RSI-2 Strategy is designed to use on Daily Bars, however it is a short term trading strategy. The average length of time in a trade is just over 2 days. But the results CRUSH the general market averages.
Detailed Description of Indicators, Rules Below:
Link For PDF of Detailed Trade Results d.pr/f/Q885
hello sir i am traying to create an alert for rsi 2 lower but failed every time plz help me to create an alert for this
//Created by ChrisMoody
//Based on Larry Connors RSI-2 Strategy - Lower RSI
study(title="_CM_RSI_2_Strat_Low new", shorttitle="_CM_RSI_2_Strategy_Lower new", overlay=false)
src = close,
//RSI CODE
up = rma(max(change(src), 0), 2)
down = rma(-min(change(src), 0), 2)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
//Criteria for Moving Avg rules
ma5 = sma(close,5)
ma200= sma(close, 200)
//Rule for RSI Color
//col = close > ma200 and close < ma5 and rsi < 10 ? lime : close < ma200 and close > ma5 and rsi > 90 ? red : silver
alert_alert = close > ma200 and close < ma5 and rsi < 10 ? lime : close < ma200 and close > ma5 and rsi > 90 ? 1 : 0
//plot(rsi, title="RSI", style=line, linewidth=4,color=col)
//plot(100, title="Upper Line 100",style=line, linewidth=3, color=aqua)
//plot(0, title="Lower Line 0",style=line, linewidth=3, color=aqua)
//band1 = plot(90, title="Upper Line 90",style=line, linewidth=3, color=aqua)
//band0 = plot(10, title="Lower Line 10",style=line, linewidth=3, color=aqua)
//fill(band1, band0, color=silver, transp=90)
isaiasdobrasil
⋅
Hi, excellent work, I can tell you, that you are a phenomenon. A question, can you put an arrow in this indicator? When it hits the 90 or the 100 and the 10 the 0? I'm doing very well with this indicator, it was what I was looking for, I use it for 1 minute, look I'm very happy, thank you very much, it's that GOD BLESS YOU.
K24magic
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@isaiasdobrasil, Hi! after one year, still sounds good? do you use it always 1minute t.f.? and on what? crypto, forex, indices...thank you
I tried to repeat the backtests in amibroker .
I used for backtests 3,000 shares traded on the Nyse from 2000 to 2014.
The result was not impressed...
Initial capital 100000.00
Ending capital 95114.73
Net Profit % -4.89 %
Exposure % 0.39 %
Net Risk Adjusted Return % -1266.84 %
Annual Return % -0.34 %
Risk Adjusted Return % -87.50 %
All trades 1719
Avg. Profit/Loss -2.84
Avg. Profit/Loss % -2.84 %
Winners 347 (20.19 %)
Losers 1372 (79.81 %)
Errors in my formulas, I could not find.
Somebody tried to repeat the backtests ? What results were obtained?
hdam
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So based on these results if you would short instead of buying it would be profitable.
Bonavest
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I am guessing the coloring is backwards. The candles that are above the 200 SMA and are GREEN should be RED and be SELL signals...?
ChrisMoody
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The post at the top on the lower pic if you click on it it take you to the page where I cover the rules in detail. The color codes re correct. Example of the rules.
Entry Rules:
Buy Only When Stock is Above 200-SMA, AND Below 5-Day SMA, With RSI Below 10
Short Only when Stock is Below 200-SMA, AND Above 5-Day SMA, With RSI Above 90
Exit Criteria:
If Buying EXIT when Price goes Above 5 SMA.
If Selling Exit when Price Goes Below 5 SMA.
***The thought process is that the security has “Pulled Back” from it’s Major Trend - And will Continue The Major Trend By Crossing the 5 SMA in the direction of the Major Tend.
Entry Choices:
Conservative - Once Criteria = True THEN Buy at Market on the Next Days Open
Aggressive - Once Criteria = True THEN Buy Near Current Days Close.
The Aggressive Entry would create more Profits However I used the Conservative Entry in my back test.
Rules Used in Backtest:
If Entry Condition True Then Enter Next Day At Market Open.
If Exit Condition True the Exit That Day At Market On Close IF Close is Above the 5 SMA in Up Trend, or Below the 5 SMA in Down Trend.
khres
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@ChrisMoody, Hello, for Forex Day Trading what TF the best for this indicator? 1 hour maybe?
akulus
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I follow your scripts with great interest. Great source for learning. This script works also for crypto markets. I set my own alerts and made over 200 profitable microtransactions in one day for 15 pairs, bull and bear conditions. Works great, thank you.
//Created by ChrisMoody
//Based on Larry Connors RSI-2 Strategy - Lower RSI
study(title="_CM_RSI_2_Strat_Low new", shorttitle="_CM_RSI_2_Strategy_Lower new", overlay=false)
src = close,
//RSI CODE
up = rma(max(change(src), 0), 2)
down = rma(-min(change(src), 0), 2)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
//Criteria for Moving Avg rules
ma5 = sma(close,5)
ma200= sma(close, 200)
//Rule for RSI Color
//col = close > ma200 and close < ma5 and rsi < 10 ? lime : close < ma200 and close > ma5 and rsi > 90 ? red : silver
alert_alert = close > ma200 and close < ma5 and rsi < 10 ? lime : close < ma200 and close > ma5 and rsi > 90 ? 1 : 0
//plot(rsi, title="RSI", style=line, linewidth=4,color=col)
//plot(100, title="Upper Line 100",style=line, linewidth=3, color=aqua)
//plot(0, title="Lower Line 0",style=line, linewidth=3, color=aqua)
plot(alert_alert, title="alertisgood", style=line, linewidth=1,color=yellow)
//band1 = plot(90, title="Upper Line 90",style=line, linewidth=3, color=aqua)
//band0 = plot(10, title="Lower Line 10",style=line, linewidth=3, color=aqua)
//fill(band1, band0, color=silver, transp=90)