TradersEdgeSystems.com

Consulting | Custom Trading Systems
Built-In Indicators | Custom Indicators

June 2015 Stocks and Commodities Traders Tips


The RSI & Price Trends

AIQ Version:

Original article by Kevin Luo
AIQ Code by Richard Denning

The code provided is a long only trading system suggested by the author with the following rules:

  • Entering trades only during uptrends, that is, when highest high since the lowest low is at least equal to X% from low of the lowest low in long term lookback and when when the highest high since the lowest low is at least equal to Y% from low of the lowest low in short term lookback and
  • Entering when the RSI is moving up and crossing above 50.
  • Closing positions when uptrend reverses, that is, prices move down by more than 20% from the high of prior uptrend or
  • Closing when the the RSI crosses down from above 70.

Figure 1 shows the equity curve and key metrics for the system trading the NASDAQ 100 list of stocks from 1/3/2000 to 4/21/2015. Commission and slippage have been subtracted. The system nicely beats the NDX index over the same time period both in return and maximum drawdown.

Captions:
Figure 1 – Equity curve and key metrics for the system trading the NASDAQ 100 list of stocks from 1/3/2000 to 4/21/2015.

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


 

Traders Studio Version :

Original article by Kevin Luo
Traders Studio Code by Richard Denning

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

  • System: RSITREND - a long only system that uses daily data and buys stocks in the session list that meet the folloing entry and exit criteria:
    • Enter trades only during uptrends, that is, when highest high since the lowest low is at least equal to X% from low of the lowest low in long term lookback and when when the highest high since the lowest low is at least equal to Y% from low of the lowest low in short term lookback and
    • Entering when the RSI is moving up and crossing above 50.
    • Closing positions when uptrend reverses, that is, prices move down by more than 20% from the high of prior uptrend or
    • Closing when the the RSI crosses down from above 70.

Using the NASDAQ 100 list of stocks, I ran the EQUALDOLLAR tradeplan that comes with the product. Figure 1 shows the log chart of the equity curve for the years 1991 through 2014. Also in the same figure is the underwater equity curve. The system returned about 9% compounded over the period with two of the largest draw downs occurring during the 2000 to 2003 (29%) and the 2007 to 2009 (25%) bear market. Otherwise the draw downs run around 5% - 10%.

Captions:
Figure 1 – Log equity curve and underwater equity curve for the RSITREND system run on the EQUALDOLLAR tradeplan using the NASDAQ 100 list of stocks for the years 1991 through 2014.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

Disclaimer | Privacy Policy | Contact Us | Spam Blocker | ©2013 Traders Edge Systems