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July 2014 Stocks and Commodities Traders Tips


Wilder's RSI: Extending the Time Horizon (substitute for Exploring Charting Technique)

AIQ Version:

Original article by Mike B. Siroky
AIQ Code by Richard Denning

For this month’s Tips, I substituted the article by Mike B. Siroky, “Wilder’s RSI: Extending the Time Horizon” for the article by Sylvain Vervoort.

I provide a system that uses the author’s adjustable RSI bands that automatically adjust to the appropriate level for the input RSI length. The system is very simple:

  • Buy next bar at market open when the RSI is less than the lower confidence interval band (RSI_CILOW).
  • Exit the long position next bar at market open when the RSI is greater than the upper confidence interval band (RSI_CIUP).
  • Reverse rules for shorting.
  • I have a parameter that allows testing long only, short only or both long and short.
  • The system lost when the short side was allowed to trade.
Figure 1 shows the AIQ EDS Summary long only back-test report using the NASDAQ 100 list of stocks over the period 5/11/2000 to 5/12/2014. Neither commission nor slippage have been subtracted from these results. In running this test, I used a capital protect of 98% which is equivalent to a 2% stop loss using the close. All entries and exits are at the next open. I could not get the short side to show a profit even with added market timing filters for trend on the NASDAQ 100 index.

Captions:
Figure 1 – AIQ EDS Summary long only back-test report using the NASDAQ 100 list of stocks over the period 5/11/2000 to 5/12/2014.

EDS Code:
RSI Extended.EDS
(right click and choose Save As)


 

Traders Studio Version :

Original article by Mike B. Siroky
Traders Studio Code by Richard Denning

For this month’s Tips, I substituted the article by Mike B. Siroky, “Wilder’s RSI: Extending the Time Horizon” for the article by Sylvain Vervoort.

The following code files are contained in the download from the websites:

  • System RSI_EXTENDED – a trading system I created using the adjustable trading bands for the RSI that were suggested by the author
  • Function RSI_CILOW – returns the lower RSI trading band based on the inputs: RSI length and the number of standard deviations that determine the confidence interval
  • Function RSI_CIUP – returns the upper RSI trading band based on the inputs: RSI length and the number of standard deviations that determine the confidence interval

I provide a system that uses the author’s adjustable RSI bands that automatically adjust to the appropriate level for the input RSI length. The system is very simple:

  • Buy next bar at market open when the RSI is less than the lower confidence interval band (RSI_CILOW).
  • Exit the long position next bar at market open when the RSI is greater than the upper confidence interval band (RSI_CIUP).
  • Reverse rules for shorting.
  • I have a parameter that allows testing long only, short only or both long and short.
  • The system lost when the short side was allowed to trade.
I optimized the parameters on a sample of seven of the NASDAQ 100 stocks, and then I ran a test using all 100 of the NASDAQ 100 stocks. The equity curve trading 200 shares each of the NASDAQ 100 list of stocks, trading long only, is shown in Figure 1 together with the underwater equity curve. The drawdown during bear markets might be improved by adding a market timing index trend filter

Captions:
Figure 1 – Equity and underwater equity curves trading the NADSAQ 100 list of stocks, long only, for the period 2000 through April 2014.

Traders Studio Code:
RSI Extended_TSZ.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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