RSI-5 Ftse index trading system

RunTheNumbers

Member
65 1
I thought I'd put something on the board to generate a bit of discussion here. - I took the original idea from TMF US mechanical boards and amended it a bit.

This is a FTSE index trading system - trading the cash index (all transactions take place at the end of the day when SB companies get pretty close).

It generated 4,575 points in just over 8 years, with a win ratio of 90.38%!

The rules:

1. Go long when the 5 day RSI closes below 35.
2. If the price falls 2% from initial entry then average down.
3. Average down a maximum of 3 times.
4. Exit when the 5 day RSI closes above 55.
5. Don't trade if the price is below the 100 day simple moving average of closing prices.
6. No stops - I need help with this 'cause whenever I put in stops it wipes the performance!

Although it has a fantastic win ratio, the intra-trade drawdowns need some nerve to follow. However, I have yet to see a position/swing trading system that doesn't have some fairly steep draws.

Anyway - comments welcome.

regards

Ben
 

Attachments

egro1egro

Active member
123 7
Interesting sistem. Is the main idea then to be contrary to the current movement? or to be optimistic when it is on the clear bottom?

I don't know because I haven't seent what daily charts for FTSE look like. If they usually go in 5 days loops (I mean, any momentum is usually exhausted by 5th day). Or is it usually starts a new movement after 5 days of chopping around.
Anyway, I can propably see how to improve it but only if you tell me what is this system based on, on what observation? Or if you can show daily charts of a typical activity period (1-2 months) with RSI-5 attached to it.

Thanks
 

RunTheNumbers

Member
65 1
egro1egro said:
Interesting sistem. Is the main idea then to be contrary to the current movement? or to be optimistic when it is on the clear bottom?

I don't know because I haven't seent what daily charts for FTSE look like. If they usually go in 5 days loops (I mean, any momentum is usually exhausted by 5th day). Or is it usually starts a new movement after 5 days of chopping around.
Anyway, I can propably see how to improve it but only if you tell me what is this system based on, on what observation? Or if you can show daily charts of a typical activity period (1-2 months) with RSI-5 attached to it.

Thanks
I think it basically buys on short term price weakness. I haven't looked at in terms of cycles, because if the market stays weak then the system averages down to reflect the changed conditions. The moving average filter seems to be very effective at keeping you out of prolonged market weakness.

I must confess I haven't looked at any charts. I set out to devise a system that would really only be based on EOD prices (ie all entry and exits are carried out at the EOD as this is the best time for SB prices to be close to the cash index). The problem of a system that relies on other types of entry is the accuracy of the data. Although I do have continuous data for most futures contracts so I might try it on the FTSE future, or the S&P emini.

Regards

Ben
 

laptop1

Experienced member
1,105 131
It's Avr 11 points a week, over 8 years.
 

RunTheNumbers

Member
65 1
laptop1 said:
It's Avr 11 points a week, over 8 years.
I know this, but this is a position trading strategy with a very high success rate averaging over 87 points per trade. With the right money management and the benefit of compounding this could be exceptionally profitable over the stretch, without significant effort levels.

Regards

Ben
 

TWI

Senior member
2,527 252
This is very similar to the VTO-5 system which has been posted on web for years trading Nasdaq. Simple but works, as for whether anybody can sustain the draws with anything but a small position...
 

laptop1

Experienced member
1,105 131
RunTheNumbers said:
I know this, but this is a position trading strategy with a very high success rate averaging over 87 points per trade. With the right money management and the benefit of compounding this could be exceptionally profitable over the stretch, without significant effort levels.

Regards

Ben
I know of a similar method, to the one you have shown, but It's based on intraday.

Another method you wish to look at, buy the Dow on the 1st of every month, hold for 1 day, that simple, ho and no stops are used...it hasn't had one bad year, since 1996, even in the bear market from 2000
 

egro1egro

Active member
123 7
Ok, just use your EOD data and post a daily chart with your RSI-5 on it. And a lot of suggestions may follow.
I showed one system to trade S&P e-mini (ES) on 5-min chart in this thread:

http://www.trade2win.com/boards/showthread.php?t=20310

Trading from daily charts can be similar and yet quite different.
You have to decide which way to go. Every timeframe poses different challenges. But nobody would suggest to trade without S/L anyway. Some people trade with very loose S/L - I, personally, wouldn't be comfortable with them.

RunTheNumbers said:
I think it basically buys on short term price weakness. I haven't looked at in terms of cycles, because if the market stays weak then the system averages down to reflect the changed conditions. The moving average filter seems to be very effective at keeping you out of prolonged market weakness.

I must confess I haven't looked at any charts. I set out to devise a system that would really only be based on EOD prices (ie all entry and exits are carried out at the EOD as this is the best time for SB prices to be close to the cash index). The problem of a system that relies on other types of entry is the accuracy of the data. Although I do have continuous data for most futures contracts so I might try it on the FTSE future, or the S&P emini.

Regards

Ben
 

mr_cassandra

Well-known member
349 36
Sounds like the former vto 5 day rsi system

I started a couple threads here about it but most of the responses were 'harrumph that won't work' from people who hadn't checked much. Imo, with a little more work, its a viable system, especially with your idea on avging down; which has also been well documented by clearstation poster nocona.

RunTheNumbers said:
I thought I'd put something on the board to generate a bit of discussion here. - I took the original idea from TMF US mechanical boards and amended it a bit.

This is a FTSE index trading system - trading the cash index (all transactions take place at the end of the day when SB companies get pretty close).

It generated 4,575 points in just over 8 years, with a win ratio of 90.38%!

The rules:

1. Go long when the 5 day RSI closes below 35.
2. If the price falls 2% from initial entry then average down.
3. Average down a maximum of 3 times.
4. Exit when the 5 day RSI closes above 55.
5. Don't trade if the price is below the 100 day simple moving average of closing prices.
6. No stops - I need help with this 'cause whenever I put in stops it wipes the performance!

Although it has a fantastic win ratio, the intra-trade drawdowns need some nerve to follow. However, I have yet to see a position/swing trading system that doesn't have some fairly steep draws.

Anyway - comments welcome.

regards

Ben
 

nkruger

Established member
855 76
A new trading system for March?

laptop1 said:
I know of a similar method, to the one you have shown, but It's based on intraday.

Another method you wish to look at, buy the Dow on the 1st of every month, hold for 1 day, that simple, ho and no stops are used...it hasn't had one bad year, since 1996, even in the bear market from 2000
Has anyone looked into this ???
 

mr_cassandra

Well-known member
349 36
i'm not familiar with it, I do know the vto 5day rsi system, It had some drawdowns but beats buy and hold handily.
 

hhass1

Junior member
13 0
nkruger said:
Has anyone looked into this ???
quite interesting, I have just back tested using excel, and it has generated 1014 point over the last 7 years , the biggest lost was 292 down in one day,
the non stop issue worries me, as you need to have deep pocket to handle 3 concurrent losses on a row ( almost 400 points !!! ),

Any thoughts on this ??

Cheers
H
 

mr_cassandra

Well-known member
349 36
bull/bear trend

This is a stretch but when rsi-5 was used a partial factor in the merlin system, they tried to make a determination as to bull/bear trend and adjust buy/sells accordingly. lest I get barked at for shilling, let me quickly and clearly state the merlin system is a paid svc I have posted about at the commercail board. T2w is highly sensitive to paid systems, sometimes almost to the point of ignoring something which C2 says is working well. odd, because we are all happy to pay for many other svcs in life.

hhass1 said:
quite interesting, I have just back tested using excel, and it has generated 1014 point over the last 7 years , the biggest lost was 292 down in one day,
the non stop issue worries me, as you need to have deep pocket to handle 3 concurrent losses on a row ( almost 400 points !!! ),

Any thoughts on this ??

Cheers
H
 

Chipmunk

Newbie
8 0
rsi 5

Instead of being fancy, why not just put in a single stop-loss order, say at 5%, and live with the diminished proft? When run with the S&P 500, the win ratio is 75% with a 5% stop. Also, results don't improve with a 100 day ma filter.

RunTheNumbers said:
I thought I'd put something on the board to generate a bit of discussion here. - I took the original idea from TMF US mechanical boards and amended it a bit.

This is a FTSE index trading system - trading the cash index (all transactions take place at the end of the day when SB companies get pretty close).

It generated 4,575 points in just over 8 years, with a win ratio of 90.38%!

The rules:

1. Go long when the 5 day RSI closes below 35.
2. If the price falls 2% from initial entry then average down.
3. Average down a maximum of 3 times.
4. Exit when the 5 day RSI closes above 55.
5. Don't trade if the price is below the 100 day simple moving average of closing prices.
6. No stops - I need help with this 'cause whenever I put in stops it wipes the performance!

Although it has a fantastic win ratio, the intra-trade drawdowns need some nerve to follow. However, I have yet to see a position/swing trading system that doesn't have some fairly steep draws.

Anyway - comments welcome.

regards

Ben
 
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