More studies on RSI5 system on ETFs
#1
Posted 08 January 2007 - 11:00 PM
Used my RSI5 system (buy when RSI5 < 30 and price > 50MA, sell when RSI5 > 50) on a basket of ETFs.
The ETFs chosen were well known sector SPDR and others.
BBH BDH DIA HHH IWM MDY NYC OIH PPH QQQQ RKH RTH SMH SPY SWH TLT TTH XBD XLB XLE XLF XLI XLK XLP XLU XLV XLY
Applied the rules starting at 2000 (or whenever ETF started trading).
The rules state that I put $10,000 for each trade, maximum of 10 positions open at a time ($100k account). Stop loss is 10%, and time based exit is 30 trading days (ie get out no matter what).
Results are tabulated below. The results beat buy and hold, ofcourse. But whats interesting is the maximum drawdown, including the bear market, is -5.97%. Which is darn nice.
#2
Posted 08 January 2007 - 11:11 PM
RSI6 short system:
Short if RSI6 is greater than 75 for two days in a row and price is below 200MA. Cover when RSI6 < 70. 10% stoploss, 6 days max hold.
Results in the following. Combining the two system nets a nice total profit which keeps one trading constantly.
#3
Posted 09 January 2007 - 01:49 AM
BIGGEST SCIENCE SCANDAL EVER...Official records systematically 'adjusted'.
#4
Posted 09 January 2007 - 02:04 AM
dcengr,
Try QLD compared to QQQQ on the RSI 5.
The RSI signals look identical but the % of the move is greater with QLD since it's a double long.
Of course you only have 7+ months of history to work with.
For longer history, you can take Rydex funds (RYVNX and forgot the other one).
It's the illiquidity, stupid !
#5
Posted 09 January 2007 - 11:07 AM
What I did:
Used my RSI5 system (buy when RSI5 < 30 and price > 50MA, sell when RSI5 > 50) on a basket of ETFs.
The ETFs chosen were well known sector SPDR and others.
BBH BDH DIA HHH IWM MDY NYC OIH PPH QQQQ RKH RTH SMH SPY SWH TLT TTH XBD XLB XLE XLF XLI XLK XLP XLU XLV XLY
Applied the rules starting at 2000 (or whenever ETF started trading).
The rules state that I put $10,000 for each trade, maximum of 10 positions open at a time ($100k account). Stop loss is 10%, and time based exit is 30 trading days (ie get out no matter what).
Results are tabulated below. The results beat buy and hold, ofcourse. But whats interesting is the maximum drawdown, including the bear market, is -5.97%. Which is darn nice.
Very good results.keep posting etfs buys/sells based on RSI system.
http://etfscreen.com...eener.php?s=746
#6
Posted 09 January 2007 - 11:25 AM
What I did:
Used my RSI5 system (buy when RSI5 < 30 and price > 50MA, sell when RSI5 > 50) on a basket of ETFs.
The ETFs chosen were well known sector SPDR and others.
BBH BDH DIA HHH IWM MDY NYC OIH PPH QQQQ RKH RTH SMH SPY SWH TLT TTH XBD XLB XLE XLF XLI XLK XLP XLU XLV XLY
Applied the rules starting at 2000 (or whenever ETF started trading).
The rules state that I put $10,000 for each trade, maximum of 10 positions open at a time ($100k account). Stop loss is 10%, and time based exit is 30 trading days (ie get out no matter what).
Results are tabulated below. The results beat buy and hold, ofcourse. But whats interesting is the maximum drawdown, including the bear market, is -5.97%. Which is darn nice.
Very good results.keep posting etfs buys/sells based on RSI system.
http://etfscreen.com...eener.php?s=746
DC,
Could u create this type of trading system for Etfs at wealth lab?
http://www.stockfetc...;fid=chan_sl_90
#7
Posted 09 January 2007 - 11:50 AM
What I did:
Used my RSI5 system (buy when RSI5 < 30 and price > 50MA, sell when RSI5 > 50) on a basket of ETFs.
The ETFs chosen were well known sector SPDR and others.
BBH BDH DIA HHH IWM MDY NYC OIH PPH QQQQ RKH RTH SMH SPY SWH TLT TTH XBD XLB XLE XLF XLI XLK XLP XLU XLV XLY
Applied the rules starting at 2000 (or whenever ETF started trading).
The rules state that I put $10,000 for each trade, maximum of 10 positions open at a time ($100k account). Stop loss is 10%, and time based exit is 30 trading days (ie get out no matter what).
Results are tabulated below. The results beat buy and hold, ofcourse. But whats interesting is the maximum drawdown, including the bear market, is -5.97%. Which is darn nice.
Very good results.keep posting etfs buys/sells based on RSI system.
http://etfscreen.com...eener.php?s=746
DC,
Could u create this type of trading system for Etfs at wealth lab?
http://www.stockfetc...;fid=chan_sl_90
I'll take a look at it later.. too many side projects going on atm.