60 RSI, ATR and SMA Trading System


{ Darek Zeleg gave a presentation to the Detroit Area Market Trader's group on the use of RSI to improve the odds of success. This inspired me to convert the RSI and the Average True Range indicators into a TradeStation strategy.

This is a basic concept, but easier said than done. Additionally, I eventually want to incorporate machine learning into a strategy. Exit trade No rules for exit in this method. Do you need this statement: Take a free trading course with IG Academy.

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{ Darek Zeleg gave a presentation to the Detroit Area Market Trader's group on the use of RSI to improve the odds of success. This inspired me to convert the RSI and the Average True Range indicators into a TradeStation strategy.

As you can see, the results are almost identical. The results are shown below:. The results table below shows how the system did poorly in , and However, performance did come back strongly in As a result, it is hard to say whether the strategy is broken or not. In the second test, Connors comes up with a strategy which uses a cumulative RSI. Maybe I am not testing the right market.

Maybe my rules are not the same. Once again, you san see that the strategy has not performed so well in recent years. Although the percentage of winners has only declined slightly, the drawdown has more than doubled. If we look at the profit table, we can see that the system has actually done quite well every year except in where it lost The results and equity curve from this strategy are shown below:.

So, the RSI 2 trading strategy really has been a great way to get on board some oversold stocks and make some profitable mean reversion trades! The most glaring consideration is shown from looking at the yearly profit table above and this shows that the strongest performance actually came at the beginning of the test period. In recent years the strategy has performed nowhere near as well. This may prove difficult. The performance of the RSI 2 indicator strategy seems to have lost some of its edge in recent years.

This may be because markets have become more efficient, because the strategy has become more widely known, or a combination of the two. The strategy is also difficult to implement especially when dealing with a large universe of stocks.

Overall, the RSI 2 indicator still shows some promise for development and could be used with other rules and on other markets such as on the VIX or fundamental data sources. So long as you can accurately forecast the closing RSI values, it may still be possible to make money from this strategy, or from a variation of it.

Want the Amibroker code for this strategy? Can You Beat The Market? Thank you for the system. How do you get the day RSI unto the hour chart? Also in the last trade described above the 5 day RSI did not come from below 30? Why did you decide to take the trade? The last trade was a weak buy, the blue line is the 5 day rsi and the yellow the 21 day RSI. This is easier to see if you go to the 30M and 15M charts, where it is already showing signs of recovery.

Before that ADX is falling or below my optimizations for the EA ive built show ADX should be somewhere between 18 and 26 , both of which prevent me entering trades. This helps to eliminate whipsaw. If you notice ADX hovers around the 20 signal level. CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage. You should consider whether you understand how CFDs work, and whether you can afford to take the high risk of losing your money.

This strategy is suitable trading day of each currency pair and uses two indicators for inputs. Varchev Traders Read more: If you think, we can improve that section, please comment. Your oppinion is imortant for us.