Vto 5 day rsi system

Dave1971

Active member
135 0
trendie said:
Hi Mr Cassandra,

I must say I am impressed by the 5-day RSI !!
I have just done my own backtest on the Dow, and it does seem to work.

Worth further analysis I think.

Trendie

Did you use the same RSI levels as entry & exit on your dow test :?:

thanks

Dave1971
 

mr_cassandra

Well-known member
349 36
Since you looked at it 2 years ago

How would you compare its performnace in real time since then with your own experience?

darktone said:
Remember looking at this a couple years back. thought then as i do now that it would work better on a daily basis using a standard period RSI with 20 as a buy signal and a price pattern / BO as a trigger.. also exiting on an RSI level i think is a mistake, running stops behind daily swing lows is likley to be a better option.

Cant remember the last time i even thought about an 'indicator' :)
 

mr_cassandra

Well-known member
349 36
otc at clearstation re RSI levels

I put a link to a very constructive suggestion in a prior post on this thread. re rsi levels. In the same post I put a link to a study by fundtimer wherein he documented that if you also short, it does even better.

As with all ideas and posts on this board, its crucial to check for yourself. If you are handy with excel, I can help.

[

QUOTE=Dave1971]Trendie

Did you use the same RSI levels as entry & exit on your dow test :?:

thanks

Dave1971[/QUOTE]
 

trendie

Legendary member
6,732 1,297
Dave1971,

I only used 5-day RSI as a basis !!

I used 5-day RSI AND a 5-day SMA to smooth out the triggers.

I ALSO used ADX as a back-up.

Overall, there is, in my opinion, a positive expectancy.
This means you are likely to make rather than lose money.

I would use this as a basis for fine-tuning.

I also tend to get confirmations using candlesticks !!

I wouldnt follow blindly ANYBODYs ideas.
My approach is to take an idea, and personalise it, so it feels that it belongs to me.
 

trendie

Legendary member
6,732 1,297
Dave1971,

Just to be comprehensive, my main strategy is price-action.

I am always curious about other ideas !!
 

TWI

Senior member
2,536 254
I just read this thread and so decided to experiment a little on e-mini.

I have not played around much with the values, but just added an MA moderator to make general differentiation between bull and bear market and moved RSI o/b and o/s bands 20% either side of 50 depending if bullish or bearish.

Use 5 day RSI
Moderate with 21 day simple MA
When price below MA use 30 & 50 RSI levels for buy/sell
When price above MA use 50 & 70 RSI levels for buy/sell

The equity curve is impressively smooth (attached) but this is little deceptive as time period is long so disguises fact that for e.g. there is a 6k draw at one point in 2003.
However saying that average winner at ~4.9k is more than twice that of average loser and out of 75 trades 50 are profitable.
Would take some ballsy discipline at times but may just be workable.
 

Attachments

  • Equity Curve e-mini RSI system.JPG
    Equity Curve e-mini RSI system.JPG
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TWI

Senior member
2,536 254
FWIW, here is EL Code. Should note I just used day session data and daily chart.

Inputs: AvLength(21), RSILength(5), BuyBull(50), SellBull(70), BuyBear(30), SellBear(50);

{Bull or Bear defined by MA, then RSI used to buy and sell}
if C < Average(close,AvLength) then begin

if RSI(Close, RSILength) > SellBear then
Sell ("BearSell") Next bar at market;

If RSI(Close, RSILength) < BuyBear then
Buy ("BearBuy") Next bar at market;

end;

if currentbar>1 and close > average(close,AvLength) then begin

if RSI(Close, RSILength) > SellBull then
Sell ("BullSell") Next bar at market;

If RSI(Close, RSILength) < BuyBull then
Buy ("BullBuy") Next bar at market;

end;
 

TWI

Senior member
2,536 254
Just having another look at this system. it is not bad. Made money recently, currently long e-mini.
Here is longer term equity curve.
 

Attachments

  • Equity Curve e-mini RSI system.JPG
    Equity Curve e-mini RSI system.JPG
    54.7 KB · Views: 448

TWI

Senior member
2,536 254
****e
 

TWI

Senior member
2,536 254
It is actually not doing badly basis past performance. The chart is a bit long term to really see what is going on in shorter time frame. Basis 1 lot here is realised PnL since 01-July-04.

July $2,675.00
Aug ($300.00)
Sep $250.00
Oct $75.00

So not a lot of action recently.
 

Attachments

  • VTO MA mod e-mini.PNG
    VTO MA mod e-mini.PNG
    21.4 KB · Views: 289

TWI

Senior member
2,536 254
Here is last year
 

Attachments

  • VTO MA mod e-mini 0304.PNG
    VTO MA mod e-mini 0304.PNG
    25.9 KB · Views: 337

mr_cassandra

Well-known member
349 36
vto system update

There's a poster named nocona at clearstation.com, qqqq board who's come up with an interesting variant on vto's idea, its being played out by another poster named berniebaruche as we speak. He puts the trades public at cs rec system.

He makes one compelling point, that being if each reader of these posts were to haul out his december brkr statements and compare them to vto's 8 year record, they might be shocked.

I think the reason more people don't take the time to do so is we've fallen into an instant satisfaction online worl where folks just want a quick chart and no homework.
 
 
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