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January 2011 Stocks and Commodities Traders Tips


Combining RSI With RSI :

AIQ Version:

Original article by Peter Konner
AIQ Code by Richard Denning

The AIQ code for Peter Konner’s article, “Combining RSI with RSI”, is shown below. The author’s system was tested on the Russell 1000 list of stocks from 1/3/2000 to 11/11/2010. In Figure 1, I show the results of a back test on all trades. On the summary report, Table 1, the average trade is 17.63% with an 231 bar average holding period. Since it is nearly impossible to take positions in all of the Russell 1000 stocks, I also ran a trading simulation using the Portfolio Manager using the same list of stocks and same test period. I took a maximum of 10 positions and compounded profits monthly. Figure 1 shows the resulting equity curve versus the S&P 500. The system beat buy and hold but took a rather large draw down in the recent bear market of 2008-2009. I used the author’s description of the system given in the English explanation rather than the system code. There appears to be a difference in the exits. In the exits, the English version uses “and” whereas the coded version uses “or”.

Table 1: Summary EDS report for the author’s system as applied to the Russell 1000 list of stocks over the period 1/03/2000 to 11/11/2010.

Figure 2: Portfolio Manager equity curve for the author’s system as applied to the Russell 1000 list of stocks over the period 1/03/2000 to 11/11/2010.

EDS Code for Combining RSI With RSI:
RSIwRSI.EDS
(right click and choose Save As)



Traders Studio Version :

Original article by Peter Konner
Traders Studio Code by Richard Denning

The TradersStudio code for Peter Konner’s article, “Combining RSI with RSI”, is shown below. The author’s system was tested on 76 volatile and highly liquid NASDAQ stocks from 1/2/2001 to 11/10/2010 trading equal dollar sized positions at $10,000 each. To take all positions, starting capital is assumed to be $760,000. In Figure 1, I show the resulting equity curve and in Figure 2, I show the resulting underwater equity curve. Maximum drawdown was approximately 34% in 2009 with an average annual return of approximately 19.4% on the initial capital.

Captions:

Figure 1: Consolidated equity curve for the period 1/2/2001 to 11/10/2010.

Figure 2: Consolidated underwater equity curve for the period 1/2/2001 to 11/10/2010.

Traders Studio Code for Combining RSI with RSI:
TradersStudio Combining RSI with RSI Jan 2011.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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