Noconas hourly RSI system

[mrchuffster]

I used the formula from this, without good results, but when I use sierra chart i get much better
results, don't know why. Cheers

I'm trying to find a mathematical definition of RSI so I can write the backtest code!

Anyone got one with worked examples?

I've collected the data.

Thanks

JonnyT

 

[mrchuffster]

ok, i backtested this with sierra chart over four months with an rsi of 3.5
sell signal at 80 and buy at 20, i also reversed the each time so you are constantly in the trade.
eg you sell at 80 and then go short and reverse at the bottom. also a stop loss at 1.5%
came out about 16 % on top , thats without slippage etc.

hope this help, i will definitley give it a go.

cheers

I've been at this since late 2000 to correct my own gross inability to be a trader by using my career abilities as a programmer and fascination with contrarian indicators into a program which removed 'me' from the picture.

You are right about people slagging it off. Over the years I've seen about 75% of the people who respond just quote some sound bite they once heard saying 'you can't time the market' or must be curve-fit etc etc. When you press them for details, many times it turns out they have done little or no work on their own, just read an article once by a broker who said so. JonnyT has downloaded the data and I gave him the rules and the RSI formula. If I talk to 50 people, I get perhaps 5 like him that actually will do the diligence.

My favorite incorrect stock market euphemism is: if any system or indicator works well then everyone will use it and it will be negated. How sad that one is. Whoever thinks that knows very litte about human nature.
This is a rehash of a post I made months ago why NO system or method will ever become so widespread that it will invalidate itself.

The brief answer is the human condition. Below are several examples.

1. it takes money to make money so if it takes 5,000 how many people did you just rule out?
2. Many people will not stay the course thru drawdowns and/or a losing trade or two, how many more people did you just rule out?
3. How many people will jump ship on a long because todays news scared them, or bail on a short because of some great economic news?
4. How many people will quit after one losing trade?
5. How many will try it for awhile then skitter off to try a more exciting looking prospect?
6. How many will freak if they get a drawdown?
7. How many of them would attempt to 2nd guess the signals then get discouraged even though they fudged it up?
8. How many people will make some excsue to withdraw their money because they want a new sofa? (or fill in the blank)

In short, unless it delivers 10% per month to their account in a bank with zero risk, I say no system or indicator will ever become that widespread because people are people.

 

[mr_cassandra]

You didn't use his rsi settings, see below

I went and diligenced my opinion. I have copied for you and will paste here noconas rules for his system. Based on the rules I pasted below, I suspect the rsi got down to 30 but not below 26 hence he covered the short but did not go long.

QQQQ / RSI 5 Hourly System informatiom:

When the RSI 5 of an Hourly bar closes below 26 BUY QQQQ
When the RSI 5 of an Hourly bar closes above 70 SELL QQQQ

When the RSI 5 of an Hourly bar closes above 74 SHORT QQQQ
When the RSI 5 of an Hourly bar closes below 30 COVER QQQQ

Make your trade at the end of an Hourly bar

Use a 2% stop loss. Set the stop loss when you make your trade
and use it where ever it occurs even if it occurs in mid hour.

Use a Live Chart where the 1st bar is a full hour (9:30 ET to 10:30 ET)

If you use options, invest only 10% of allocated money in options and invest 90% in QQQQ

Use slightly in the money near term options

ok, i backtested this with sierra chart over four months with an rsi of 3.5
sell signal at 80 and buy at 20, i also reversed the each time so you are constantly in the trade.
eg you sell at 80 and then go short and reverse at the bottom. also a stop loss at 1.5%
came out about 16 % on top , thats without slippage etc.

hope this help, i will definitley give it a go.

cheers

 

[mrchuffster]

Thanks for that, I used his settings, just experimented with my own and got a slightly better result, but still looks good either way.
cheers

ps. do you charge for your system ?

I went and diligenced my opinion. I have copied for you and will paste here noconas rules for his system. Based on the rules I pasted below, I suspect the rsi got down to 30 but not below 26 hence he covered the short but did not go long.

QQQQ / RSI 5 Hourly System informatiom:

When the RSI 5 of an Hourly bar closes below 26 BUY QQQQ
When the RSI 5 of an Hourly bar closes above 70 SELL QQQQ

When the RSI 5 of an Hourly bar closes above 74 SHORT QQQQ
When the RSI 5 of an Hourly bar closes below 30 COVER QQQQ

Make your trade at the end of an Hourly bar

Use a 2% stop loss. Set the stop loss when you make your trade
and use it where ever it occurs even if it occurs in mid hour.

Use a Live Chart where the 1st bar is a full hour (9:30 ET to 10:30 ET)

If you use options, invest only 10% of allocated money in options and invest 90% in QQQQ

Use slightly in the money near term options

 

[Hittfeld]

It is important to note, that Nocona used prophet.net: He is always entering/closing his trades at the END of an HOURLY bar (starting with opening at 9.30 am ) i.e. first hourly bar of the day would close at 10.30 a.m. EST .

Furthermore he is NOT always in. IF stopped out, he will NOT enter trades in the same direction.

Kind regards

Hittfeld

 

[mr_cassandra]

No its not for sale

besides Noconas outperforms mine but I can't be at a screen all day. As I noted in a recent post to Hittfeld, Being as I'm fortunate enough to have enough capital to do well on my own with it, I can't see why I shopuld go out on a limb liability-wise for a few dollars more.

My original intent concervsing about my system (mvp) was to engage in a learning curve with other system designers, but that type of conversation turned out to be tiny compared to harrumphers and wannabe's.

Thanks for that, I used his settings, just experimented with my own and got a slightly better result, but still looks good either way.
cheers

ps. do you charge for your system ?

 

[mr_cassandra]

Updated Nocona system rules (thanx HF)

I went and diligenced my opinion. I have copied for you and will paste here noconas rules for his system. Based on the rules I pasted below, I suspect the rsi got down to 30 but not below 26 hence he covered the short but did not go long.

QQQQ / RSI 5 Hourly System informatiom:

When the RSI 5 of an Hourly bar closes below 26 BUY QQQQ
When the RSI 5 of an Hourly bar closes above 70 SELL QQQQ

When the RSI 5 of an Hourly bar closes above 74 SHORT QQQQ
When the RSI 5 of an Hourly bar closes below 30 COVER QQQQ

Make your trade at the end of an Hourly bar

Use a 2% stop loss. Set the stop loss when you make your trade
and use it where ever it occurs even if it occurs in mid hour.

Use a Live Chart where the 1st bar is a full hour (9:30 ET to 10:30 ET)

If you use options, invest only 10% of allocated money in options and invest 90% in QQQQ

Use slightly in the money near term options

It is important to note, that Nocona used prophet.net: He is always entering/closing his trades at the END of an HOURLY bar (starting with opening at 9.30 am ) i.e. first hourly bar of the day would close at 10.30 a.m. EST .

Furthermore he is NOT always in. IF stopped out, he will NOT enter trades in the same direction.

 

[mrchuffster]

I know what his rules are I CAN READ, just telling you about my experimentation with his system.

It is important to note, that Nocona used prophet.net: He is always entering/closing his trades at the END of an HOURLY bar (starting with opening at 9.30 am ) i.e. first hourly bar of the day would close at 10.30 a.m. EST .

Furthermore he is NOT always in. IF stopped out, he will NOT enter trades in the same direction.

Kind regards

Hittfeld

 

[mr_cassandra]

My post was generic so everyone would see rules

I was just adding in the notes from Hittfeld and preposting it. The conversation on this is increasing so I'm attempting to make one generic post that anyone can use to evaluate noconas system.

Absolutely no offense intended.

regards, Steve

I know what his rules are I CAN READ, just telling you about my experimentation with his system.

 

[mr_cassandra]

Nocona's Latest closed trade

10-26-05 Covered short for small gain at close. A long was not triggered. The gains are not big but they come often.

Since 5-24-05 there have been 41 trades with 7 losses for a collective gain of 23.29% w/o margin and cummulative gain of 57.8% with margin.

Nocona


Using margin he shows 57.8% since May 24. He's headed for 100% plus as a yearly rate. I've now watrched him weather a couple losses (stop outs) and immediately resume original course and heading.

 

[mr_cassandra]

new improvement to Noconas FREE PUBLIC system

Posted by: nocona
In reply to: None Date:10/27/2005 10:02:53 AM
Post #of 9671

QQQQ / RSI 5 Hourly

New Override Rule:

When a signal is reached set your screen to Line and use a MA 2.
Stay with the short term trend until the MA 2 crosses at any time. Most of the time you will get a better price.

Example: Without MA 2 Rule

10-19-05 Long at $37.71
10-19-05 Sell at $38.34
Gain 1.67%

Using MA 2 Rule:

10-19-05 Long at $37.71
10-19-05 Sell at $37.64
Gain 2.47%
<<<error>>> I think he means 38.64 not 37.64>>>>>>>>
Since 5-24-05 there have been 41 trades with 7 losses for a collective gain 23.49% w/o margin and a cummulative gain of 58% with margin not using the MA 2 Rule.

Using the MA 2 Rule the results would be considerably more.

Nocona

10-26-05 Covered short for small gain at close. A long was not triggered. The gains are not big but they come often.

Since 5-24-05 there have been 41 trades with 7 losses for a collective gain of 23.29% w/o margin and cummulative gain of 57.8% with margin.

Nocona


Using margin he shows 57.8% since May 24. He's headed for 100% plus as a yearly rate. I've now watrched him weather a couple losses (stop outs) and immediately resume original course and heading.

 

[mr_cassandra]

Latest compilation Nocona Hourly rsi system

QQQQ / RSI 5 Hourly System informatiom:

When the RSI 5 of an Hourly bar closes below 26 BUY QQQQ
When the RSI 5 of an Hourly bar closes above 70 SELL QQQQ

When the RSI 5 of an Hourly bar closes above 74 SHORT QQQQ
When the RSI 5 of an Hourly bar closes below 30 COVER QQQQ

Make your trade at the end of an Hourly bar

Use a 2% stop loss. Set the stop loss when you make your trade
and use it where ever it occurs even if it occurs in mid hour.

Use a Live Chart where the 1st bar is a full hour (9:30 ET to 10:30 ET)

If you use options, invest only 10% of allocated money in options and invest 90% in QQQQ

Use slightly in the money near term options

It is important to note, that Nocona used prophet.net: He is always entering/closing his trades at the END of an HOURLY bar (starting with opening at 9.30 am ) i.e. first hourly bar of the day would close at 10.30 a.m. EST .

I treat the last bar as an hourly bar even though it is only 30 min

Furthermore he is NOT always in. IF stopped out, he will NOT enter trades in the same direction.

Re ma enhancement 10/27/05-------------------------------------------------------------------------------------
QQQQ / RSI 5 Hourly

New Override Rule:

When a signal is reached set your screen to Line and use a MA 2.
Stay with the short term trend until the MA 2 crosses at any time. Most of the time you will get a better price.
daaverage---I get my signal at the end of an hour and then go MA 2 for execution. Today the cover and long were both intra-hour. I will now wait until I get an hourly signal and then go MA 2 for execution.
-----------------------------------------------------------------------------------------
He's at 58% using margin on qqq since May.24 including any/all losers.

 

[mr_cassandra]

Any word on your back-tests?

They are having a field day with this at Ihub, all sorts of various suggestions/possible improvements being tossed around. I wish I had access to the same prophet net hourly data as nocona uses so I could make an excel test program akin to my mvp program. I think because its hourly data that even a years worth would do it.

http://www.investorshub.com/boards/board.asp?board_id=2462

I'm planning to download the data abd carry out the backtests this week.

JonnyT

 

[mr_cassandra]

Just closed another trade..... 62.7% since May 24

Its free, its public and its almost invisible here on this board. Is everyone doing that much better?

http://www.investorshub.com/boards/read_msg.asp?message_id=8305246

10-26-05 Covered short for small gain at close. A long was not triggered. The gains are not big but they come often.

Since 5-24-05 there have been 41 trades with 7 losses for a collective gain of 23.29% w/o margin and cummulative gain of 57.8% with margin.

Nocona


Using margin he shows 57.8% since May 24. He's headed for 100% plus as a yearly rate. I've now watrched him weather a couple losses (stop outs) and immediately resume original course and heading.

 

[JonnyT]

Its not doing bad.

Could be better...

How does 1272% sound since Jan?

JonnyT

 

[mr_cassandra]

Sounds excellent

How long has your system been doing this in a stable manner?

Its not doing bad.

Could be better...

How does 1272% sound since Jan?

JonnyT

 

[mrchuffster]

I wish I had access to the same prophet net hourly data as nocona uses so I could make an excel test program akin to my mvp program. I think because its hourly data that even a years worth would do it.

i have 5 years data, pm me if you want it

 

[zab]

This is a summary of a simplified version of this system run on NQ - but you get roughly the same results no matter what you do. This system is very unstable. It just happens if you pick an RSI of 5 in the year 2005 it makes money. But the rest of the time it sucks.

 

[mr_cassandra]

Did you include his 2% stop loss and step-aside rule?

I hacked the 5 year data into mvp signal system code and replicated his buy sell and short rules over 5 years and the results were abysmal. However, I hadn't put in his stop loss rule or told the program to 'step asdie' after being stopped out and not chase the same trade again.

These last two are also part of his system and I think were included in my prior posts.

Did your test include those two parts? I'm familiar with the works great only this year problem though from my 5 years work on the mvp signal system. Took me quite awhile to find a rule set which worked in bull, bear, bubble and flat markets.

Until my testing and what yours revealed I felt nocona was outperforming my 9.5 year test period on my own program but now its in doubt. Then again he's been at it since May, mine since late 2000.

http://www.investorshub.com/boards/read_msg.asp?message_id=8407700

The link above goes to a thread of my posts which as a group, supply an overview of my own work.

This is a summary of a simplified version of this system run on NQ - but you get roughly the same results no matter what you do. This system is very unstable. It just happens if you pick an RSI of 5 in the year 2005 it makes money. But the rest of the time it sucks.

 

[mrchuffster]

I hacked the 5 year data into mvp signal system code and replicated his buy sell and short rules over 5 years and the results were abysmal. However, I hadn't put in his stop loss rule or told the program to 'step asdie' after being stopped out and not chase the same trade again.

These last two are also part of his system and I think were included in my prior posts.

Did your test include those two parts? I'm familiar with the works great only this year problem though from my 5 years work on the mvp signal system. Took me quite awhile to find a rule set which worked in bull, bear, bubble and flat markets.

Until my testing and what yours revealed I felt nocona was outperforming my 9.5 year test period on my own program but now its in doubt. Then again he's been at it since May, mine since late 2000.

http://www.investorshub.com/boards/read_msg.asp?message_id=8407700

The link above goes to a thread of my posts which as a group, supply an overview of my own work.

Checkout these guys, you can rent their autotrade mechanical systems.
They include, RSI, Stochastic crossovers, MA crossovers, MACD and more.

ps your broker needs to be IB

http://www.indexfuturos.com