Simple RSI-MA Algo Beats DOW By Huge Margin Over Past 100 Years!This simple RSI-MA long/short algorithm beats the Dow by a FREAKING HUGE margin over the past century (excluding dividends and trading costs).
The algorithm uses a fast SMA of the RSI as a buy/cover signal and a slow SMA of the RSI as a sell/short signal.
Backtest period = 09/17/1916 - 11/02/2015
Dow = 98 --> 17,830 = +18,094% = 5.38% CAGR
Algorithm = net profit + open P/L = +43,349% = 6.31% CAGR
Notice how the algorithm dodged both the 30s' Great Depression and the 2008 Crisis. Pretty cool huh? :)
ALGORITHM'S FORMULA (use weekly chart):
Buy/Cover = MA10(RSI10) cross> 50
Sell/Short = MA50(RSI10) cross< 50
STRATEGY TESTER'S SETTINGS:
- Initial cash = $10,000
- Pyramiding disabled
- Re-investment enabled (order size = 100% of equity )
- Trade re-calculations disabled
DISCLAIMER: None of my ideas and posts are investment advice. Past performance is not an indication of future results. This strategy was constructed with the benefit of hindsight and its future performance cannot be guaranteed.
Rsi-2
CM RSI-2 Strategy Lower IndicatorRSI-2 Strategy
***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
Original Post
CM RSI-2 Strategy - Upper Indicators.RSI-2 Strategy
***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
Original Post
