Got the EOD buy signal on RUT quant system

I am not going to post the criteria for this, as I have put it on TT in the past. It's a simple system with a robust (but short) track record. My data on it only goes back to summer 2010, so if one claims that we've been in a longer term cyclical bull since then, that could explain its success. The long side of this system has had some massive, gasping winners over the past 3 yrs. It might be different this time (or not). Tomorrow might be the best entry point if we open down big. Signal is for RUT only. GLTA

Hi viccarter. Looking at your past posts to peruse your robust system, yet cant find the right post to refer to. Can you steer me to it ? Thanks Dave

Thank you for your thoughts Vic. I can see Spx and ndx having bottoming action in the next two days and since rut leads, it could very well be a buy already tomorrow. But on the other hand, I am anticipating this turn to be just a short term bounce, nothing else.

Hi viccarter, I'm very interested in robust mechanical systems, would very much like to see the post with criterias. Can you link it please ? Thanks.

This is Russell futures 60 min chart.

It is pretty darn oversold in the short term, I'd definitely not short it here, not sure about buying.

But there is a positive divergence on RSI, and the RSI of the moving average(bottom indicator) is also oversold to the levels where it has bounced last time. Overall looks like a similar magnitude move. So may be due for a bounce here. Daily chart is uglier though.

Also if you look at the bottom indicator it took 2 days to bottom out before it has reached a strong enough position to turn. if there is a real turn coming, its likely to take some time here too. If there are oversold bounces, I'd rather be a seller.

Is your system based on daily or intraday charts ?

Edited by ogm, 24 July 2012 - 09:07 PM.

Essentially I use the RSI 5 <15 on the RUSSELL issues above their respective 50 day MA. This is an EOD close not a mid-day reading. $50DMAARL in TradeStation. It is a good bottom timer -- the market rarely gets there -- only a few times a year. One of those deals where you hold until the first up day. Sometimes you will get a (double-tap) 2 days in a row or a little up and a tap that third day. Here is a chart. Signals are (blue dots on RSI)

Note, the other wave type indicator lags more than the standard RSI 5 on $50DMAARL - but it's also a decent timer, I use this where some traders would use a stochastics or something like that.

Thanks, I see. Yes, I tried to incorporate Russell and SPX stocks above 10 day and above 50 day symbols into one of my existing systems, but Tradestation doesn't have enough data before 2010, which makes it unreliable for bear markets, like you mentioned. There is definitely a danger here. If the market is declining then large number of stocks may remain under their respective moving averages for extended amount of time, and RSI is an oscillator, so it can remain oversold or overbought for an extended amount of time too. I guess if that signal works , we'll know we are still in the bull market, and if it fails, we are entering new territory Wish there was enough data in tradestation for 2000-2001 and 2007-2009 for these symbols. Because signals based on them do look very promising.

Edited by ogm, 24 July 2012 - 10:40 PM.