9 replies to this topic

[hedgehawk]

Anybody out there ever tried or backtested the 2 Day RSI Trading System? I just backtested 3 years on the SPY and rec some decent results. It cant be that good though, or else everyone would be using it, wouldnt they? I backtested for 3 years and had 27 trades, 23 winners for 84% wins for total return of 30.78 pnts. I suppose if you scaled out you could increase those 30.78 pnts.


Here are the Rules:

1. The SPX is above its 200-day simple moving average (you can use any S&P 500 derivative product, including the SPYs, E-minis, etc).

2. Day 1 - the 2-period RSI is below 65. This tells us that the market is in a neutral to possibly oversold condition.

3. Day 2 - the 2-period RSI closes lower than Day 1.

4. Day 3 - the 2-period RSI closes lower than Day 2.

5. Buy the market (SPX, SPY, E-mini, etc) on the close Day 3.

6. Exit when the 2-period RSI closes above 75.


I meant to add link to the website that had the 2 day RSI trading system.



http://www.tradingma...R2-Strategy.cfm

[dcengr]

3 years is too short to back test, IMO. I've posted some of my RSI2 trade systems that were back tested for the entire Dow life and shown POSITIVE returns (and its a shorting system). Try back testing for 10-15 years, so you cover at least a bear market.

[NAV]

3 years is too short to back test, IMO.

Try back testing for 10-15 years, so you cover at least a bear market.

I agree. Testing one major bear market like 1929 and the huge sideways market like the 70s and the post 95 vertical move, crash of 87 are absolutely essential.

[Russ]

http://stockcharts.com/c-sc/sc?s=$SPX&p=D&b=5&g=0&i=p33633310267&r=3901.png

[underabigw]

decngr,

Can you provide a link to the posts of your RSI2 trading systems.

Thanks,

UBW

3 years is too short to back test, IMO.

I've posted some of my RSI2 trade systems that were back tested for the entire Dow life and shown POSITIVE returns (and its a shorting system).

Try back testing for 10-15 years, so you cover at least a bear market.

[Rogerdodger]

From My Blog:


RSI 2 Chart Link
BUY: 1. Above 200ma
2. 2-period RSI falls 3 days in a row
3. 1st day must be below 60
4. 2-period RSI is below 10 = BUY
5. Buy an additional unit if the 2-period RSI falls 5 days in a row
6. Exit at the close when the 2-period RSI closes above 75
SELL: 1. below 200ma
2. 2-period RSI rises 3 days in a row.
3.The first rising day (day #1) of the 2-period RSI must be above 40.
4. Today the 2-period RSI is above 90: SELL SHORT
5. Sell an additional unit if the 2-period RSI rises 5 days in a row
6. Exit at the close when the 2-period RSI closes below 25.

Edited by Rogerdodger, 06 November 2007 - 09:25 AM.

[pedro]

1. The SPX is above its 200-day simple moving average (you can use any S&P 500 derivative product, including the SPYs, E-minis, etc). Wouldn't this system be 'turned off' thru the adverse conditions cited as needed for legit backtest ... 87, 01-02, etc. Thru 70s would be interesting yes.

[Rogerdodger]

Wouldn't this system be 'turned off'...

I agree. There are other variables which should be considered.

[vitaminm]

Buy when Rsi2>Rsi3

http://www.americanb...p...=NYSE&Typ=I

Anybody out there ever tried or backtested the 2 Day RSI Trading System? I just backtested 3 years on the SPY and rec some decent results. It cant be that good though, or else everyone would be using it, wouldnt they? I backtested for 3 years and had 27 trades, 23 winners for 84% wins for total return of 30.78 pnts. I suppose if you scaled out you could increase those 30.78 pnts.


Here are the Rules:

1. The SPX is above its 200-day simple moving average (you can use any S&P 500 derivative product, including the SPYs, E-minis, etc).

2. Day 1 - the 2-period RSI is below 65. This tells us that the market is in a neutral to possibly oversold condition.

3. Day 2 - the 2-period RSI closes lower than Day 1.

4. Day 3 - the 2-period RSI closes lower than Day 2.

5. Buy the market (SPX, SPY, E-mini, etc) on the close Day 3.

6. Exit when the 2-period RSI closes above 75.


I meant to add link to the website that had the 2 day RSI trading system.



http://www.tradingma...R2-Strategy.cfm

Edited by vitaminm, 06 November 2007 - 10:40 AM.

[underabigw]

Roger,

Thanks for posting this!

Walter

From My Blog:


RSI 2 Chart Link
BUY: 1. Above 200ma
2. 2-period RSI falls 3 days in a row
3. 1st day must be below 60
4. 2-period RSI is below 10 = BUY
5. Buy an additional unit if the 2-period RSI falls 5 days in a row
6. Exit at the close when the 2-period RSI closes above 75
SELL: 1. below 200ma
2. 2-period RSI rises 3 days in a row.
3.The first rising day (day #1) of the 2-period RSI must be above 40.
4. Today the 2-period RSI is above 90: SELL SHORT
5. Sell an additional unit if the 2-period RSI rises 5 days in a row
6. Exit at the close when the 2-period RSI closes below 25.