ChrisMoody

Larry Connors RSI-2 Trading System!!! Surprising Win Rate!!!

NASDAQ:CELG   CELGENE CORP
This year I am focusing on learning from two of the best mentors in the Industry with outstanding track records for Creating Systems, and learning the what methods actually work as far as back testing.

I came across the RSI-2 system that Larry Connors developed. Larry has become famous for his technical indicators, but his RSI-2 system is what actually put him “On The Map” per se. At first glance I didn’t think it would work well, but I decided to code it and ran backtests on the S&P             100 In Down Trending Markets, Up Trending Markets, and both combined. I was shocked by the results. So I thought I would provide them for you. I also ran a test on the Major forex Pairs (12) for the last 5 years, and All Forex Pairs (80) from 11/28/2007 - 6/09/2014, impressive results also.

***At the bottom of the page is a link where you can download the PDF of the Backtesting Results.

The RSI-2 Strategy is designed to use on Daily Bars, however it is a short term trading strategy. The average length of time in a trade is just over 2 days. But the results CRUSH the general market averages.

Detailed Description of Rules For RSI-2 System are In The First Post. Also Provided are General Results Testing Stocks and Forex . And a PDF You Can Download To See Detailed Back Testing Results!!!


Indicators now published in Public Library:

Upper Indicator:
CM RSI-2 Strategy - Upper Indicators.


Lower Indicator:
CM RSI-2 Strategy Lower Indicator

RSI-2 Strategy

***At the bottom of the page is a link where you can download the PDF of the Backtesting Results.

The RSI-2 Strategy is designed to use on Daily Bars, however it is a short term trading strategy. The average length of time in a trade is just over 2 days. But the results CRUSH the general market averages.

Indicators Used:
A 2 Period RSI with the upper line at 90 and the lower line at 10 looking for Extremes.
A 200 period Simple Moving Average, and a 5 period SMA.
***That’s it!!!

Entry Rules:
Buy Only When Stock is Above 200-SMA, AND Below 5-Day SMA, With RSI Below 10
Short Only when Stock is Below 200-SMA, AND Above 5-Day SMA, With RSI Above 90

Exit Criteria:
If Buying EXIT when Price goes Above 5 SMA.
If Selling Exit when Price Goes Below 5 SMA.
***The thought process is that the security has “Pulled Back” from it’s Major Trend - And will Continue The Major Trend By Crossing the 5 SMA in the direction of the Major Tend.

Entry Choices:
Conservative - Once Criteria = True THEN Buy at Market on the Next Days Open
Aggressive - Once Criteria = True THEN Buy Near Current Days Close.

The Aggressive Entry would create more Profits However I used the Conservative Entry in my back test.

Rules Used in Backtest:
If Entry Condition True Then Enter Next Day At Market Open.
If Exit Condition True the Exit That Day At Market On Close IF Close is Above the 5 SMA in Up Trend, or Below the 5 SMA in Down Trend.

Dates used for back test…

***For Forex I just tested the last 5 years on The Major 12 Pairs (Page 1), and the last page I tested All forex Pairs (80) from 11/27/2007 to 6/09/2014.

***Starting on Page 4 (PDF Link Below) I Tested S&P 100 in Bull Markets, Bear Markets, and Bull and Bear Markets Combined…I ran the test on the Nasdaq 100 at the end.

***All The Markets I tested Showed Almost Exact Win Percentages…The RSI-2 System Seems to Be VALID…However, in Bull Markets “Buy” Trades significantly out performed “Short” Trades, The opposite for Bear Markets….So Filtering the Direction of Trades You Take Would Significantly Increase The Results.

For S&P 100:
First Period tested was from 11/27/07 through 06/09/2014…which covered a major Down Trend and a Major Up Trend.
Second Period tested was 11/27/07 to 3/13/09 … The beginning of the Major Sell Off in the Market to the Dead Low to test an Extreme Downtrend.
Third Period Tested was from 3/14/09 to 06/09/2014 … To Test a Major Uptrend.

***Results are based on Buying 100 Shares of Stock. Only 1 Entry…No Scaling In. Closing 100% of Trade on Exit Criteria.
***Forex Results are based on buying 1 Standard Lot***Note The Forex results aren’t showing a Dollar Amount…It Shows TOTAL PIPS. So multiply the Pips times your Trade Size.

Results:
S&P 100: Bull and Bear Markets Combined - 11/27/07 through 06/09/2014
Winning Percent - 65%
***Check Out The Equity Curve!!!

S&P 100: Bear Markets - 11/27/07 to 3/13/09
Overall Winning Percent - 66%
"Buy” Winning Percent - 67% but only made $151,127
“Short” Winning Percent - 65.6% but made $1,054,487 … Significantly More Money Made Going With Trend.

S&P 100: Bull Markets - 3/14/09 to 06/09/2014
Overall Winning Percent - 64.9%
"Buy” Winning Percent - 69.6% but made $2,665,689 … Significantly More Money Made Going With Trend.
“Short” Winning Percent - 54% Lost $130,840 … Going Against Trend.

Nasdaq 100: Bull and Bear Markets - 11/27/07 through 06/09/2014
Overall Winning Percent - 63%

Forex All Symbols (80): Bull and Bear Markets 11/27/2007 - 6-09-2014
Overall Winning Percent - 58.4% … + 32,552 Pips

Forex Major 12 Pairs: Last 5 Years
Overall Winning Percent - 59.6% … +9,196 Pips

Code for Upper Indicators. Highlight Bars and 5 SMA and 200 SMA.
http://pastebin.com/NYP282X6

Code for RSI Strategy - Lower RSI Indicator
http://pastebin.com/zc0J6xy0

Video On Importing Custom Indicators from PasteBin:
http://videos.tradingview.com

DropBox Link For PDF of Detailed Trade Results
https://dl.dropboxusercontent.com/u/77187122/TradingView%20Posts/RSI-2%20Strategy%20Results.pdf
+3 Reply
RafaelOsechas ChrisMoody
2 years ago
i backtesting whit tdameritrade strategy desk but chngin SMA > 5 i have better results can you explain why?
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baerrus PRO ChrisMoody
2 years ago
What are the rules to exit failed trades?
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ChrisMoody PRO baerrus
2 years ago
Connors never could find a STOP that made the system perform better. Therefore there isn't one in this system. the 5 SMA is so close to price you always get a price movement that gets you out of the trade...Even if you get a big gap that moves against you the 5 period avg will quickly catch up and exit you out of the trade.

Although if you read near the bottom of this thread..someone mentioned a revised system that was getting better results with a stop and a different moving avg. I will code that system sometime soon and report results under that thread.
+2 Reply
jtdorman ChrisMoody
2 years ago
Thanks Chris for all of your really helpful work and guidance. I am using the CRSI strategy daily and I have been reading one of Mr Connors books that says a better way to implement this strategy is to use what he calls a cumulative RSI where the RSI values when added together would stay below, lets say, 35 for 2 days. Could you incorporate this cumulative structure into your current 2 period RSI strategy code?

Thank you again for your patience with us less talented scripters!!!
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tpaise ChrisMoody
a year ago
I am very late for getting best strategy rsi2 . Kindly guide me for getting rsi2 strategy afl for back test - tpaise@gmail.com
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ericesquire PRO ChrisMoody
2 days ago
@ChrisMoody, Do you have updated links for this? Quite a bit of interest in this thread, but no active links - can you come through with the assist?

We appreciate you.

-E
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LazyBear PRO
2 years ago
Only yesterday I was reading about this RSI2 strategy. Connors calling this "the only indicator he will choose" intrigued me actually.

Amazing results indeed. Thanks Chris for sharing the backtesting results.
+1 Reply
ChrisMoody PRO LazyBear
2 years ago
I was pretty shocked at the consistency of the results...I also tested several individual stocks...and entire markets and the results were always the same...I just didn't want to make the PDF 100 pages long. It's also a little difficult to code the precise strategy on TV until they integrate Buy/Sell Functions for strategies...

One key fact I forgot to mention...When you get multiple entry bars if you scale in a maximum of 3 times then the WIN Rate Goes Up Exponentially...B/c I couldn't code a good way to see this on TV I just used the entry at first bar......So a lot of the losses would have been wins by allowing multiple entries...bringing you cost basis down....

One thing I've learned From my two mentors....and we're talking 40+ years of creating some of the most profitable systems that have lasted for decades....which Hedge funds pay Huge money for is this....

If you can't write the entire strategy including all entry and exit rules etc on a 3 by 5 notecard then it's too complicated. It's Amazing how simple the Systems these guys use....One of my mentors gave me two forex systems he created. We're talking 80% win rate...Based on testing back to 2002 it's typical to see largest con sec wins of 20, and largest consecutive losing trades at 3... where the wins are higher than the losses...which equals VERY Small Drawdowns....and if you saw the rules of the system you would LAUGH...literally two lines of code
+6 Reply
LorraineP PRO ChrisMoody
a year ago
So do you share this 80% win strategy?
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Tilsey PRO ChrisMoody
7 months ago
Hi Chris, are you able to share the 80% strategy?
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BlueOpal ChrisMoody
7 days ago
@ChrisMoody, Hello Chris, nice work thanks for this! I was caught by this post, would you be willing to share this strategy or at least the basic concept behind it?
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Drat
2 years ago
Nice work sir!
+1 Reply
TASAVANT
2 years ago
Great stuff, wonder what the results will be using the Connors RSI?
+1 Reply
SettleforNothing TASAVANT
2 years ago
This is a great method with few false signals, one thing that gets annoying is when you get multiple entries. I tried filtering the RSI Chris used with the Connors RSI ( ran with your suggestion), using the same levels ( Over 90 for OB and under 10 for OS). Surprisingly I came out with some good results and it seems to save you on potential losers. However, you'd also have to deal with the reality of fewer entries. What I found is if you wait for both RSI's to leave the extreme zone then you can take a position, this has the benefit of not taking one of the multi-signals.
snapshot
+1 Reply
ChrisMoody PRO SettleforNothing
2 years ago
If I didn't mention above...I also ran backtest with scaling in up to 3 times on the multi signals and that drastically increased the results.

I'm not sure if you were referring to false signals with your green and red arrows. The red bars were when the RSI was over 90...The green arrow pointing to the RSI isn't part of the system. the only signal thee was the bar painting yellow because it closed back inside the 5 sma...the RSI doesn't have anything to do with the exit.

The system is only prove on the Daily Bars.

And I did run the backtest on the connors RSI and the results were far worse. The system doesn't have the ability to produce LARGE wins on any one trade...therefore you need a large amount of trades...b/c you will find even more extreme examples of the Multi Signal moving against you. With a high win percentage....BUT...not having wins that far exceed your losses it requires a large # of trades.

The only applicable "Filter" is mentioned above...In Extreme trending markets Not taking Countertrend trades during the times the market is trending.

Hope that helps...let em know if anything isn't clear
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SettleforNothing ChrisMoody
2 years ago
I see where I misunderstood now, it took me a bit of scanning to see what you meant.
+1 Reply
Thanks for publishing this.
+1 Reply
ChrisMoody PRO MichaelRudelich
2 years ago
No problem...Thanks
+1 Reply
TheLark PRO
2 years ago
Hey Chris, what program were you using to run your backtests?
+1 Reply
ChrisMoody PRO TheLark
2 years ago
Sent you PM regarding that
+1 Reply
aziz92 ChrisMoody
2 years ago
Hey Chris,
Could you also PM me with the program? Appreciate it!
+1 Reply
ChrisMoody PRO aziz92
2 years ago
My apologies for never answering you. Just noticed I didn't. Your welcome to PM me. The platform I use is $1500 up front and $139 per month. With Strategies and backtesting expected to be released In December...I would hold off on any 3rd party platform...but your welcome to PM me if you want to spend the money
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MatteoBertocchi ChrisMoody
2 years ago
Hi Chris, a really impressive study!
May you also send me the PM about your backtesting tool?
I will really appeciate it.. Thank you in advance!
sincerely, Matteo
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ChrisMoody PRO MatteoBertocchi
2 years ago
My apologies for never answering you. Just noticed I didn't. Your welcome to PM me. The platform I use is $1500 up front and $139 per month. With Strategies and backtesting expected to be released In December...I would hold off on any 3rd party platform...but your welcome to PM me if you want to spend the money
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motleifaul
2 years ago
I get buy and sell signals no matter whether we are above or below the MA 200. What make I wrong? Do you have an idea?
+1 Reply
motleifaul motleifaul
2 years ago
snapshot
+1 Reply
ChrisMoody PRO motleifaul
2 years ago
Just checked and it works...You have two options.

1. Per the Chart at top of page...Right click on chart and go to properties and change candles to White...or any solid color besides red, green, yellow
2. Add the lower indicator which highlights where there are sell signals and buy signals
+1 Reply
ZihanYu
2 years ago
hey what is your leverage used? and how many times do you trade a week? thank you.
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ZihanYu
2 years ago
i use leverage 50:1. is that too risky for this system and also what is your stop loss? how many pips do you set your stop loss to be?
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ChrisMoody PRO ZihanYu
2 years ago
First..I don't trade this system...I just tested it and provided the results.

Second...Larry didn't use a Stop Loss...This Backtest results only had one Entry....B/c I couldn't program multiple entries in Pinescript...Larry would take multiple entries to bring his cost basis down...and the snap back would get him out for a profit. I tested taking 3 entries and it drastically improved the results.

Only you can answer if it fits within your risk tolerance. The system was designed for stocks...so if your trading it on something else you should carefully analyze it to see if it works well on other instruments you trade.

FYI...if you trade Forex...extensive studies have been done by all major Forex Brokers. Clients that trade with over a 20:1 Leverage have a 99th percentile chance of wiping out there accounts. There top 10% of Profitable traders all use 10:1 Leverage or less. Just something to consider....
+1 Reply
ZihanYu ChrisMoody
2 years ago
ok so you havent traded this strategy with real money? its easy to make money with play money on any site. The use of real money to make money is another story , so i dont think your back testing is as valid as it looks. Also i have known this guy with a 95 percent win rate, he uses leverage 100:1 and made alot of money. Also alot of good systems on myfxbook have leverages over 50;1.
-2 Reply
ZihanYu ZihanYu
2 years ago
personally, do you know any other excellent systems that has win rate over 90 percent?
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ChrisMoody PRO ZihanYu
2 years ago
ZihanYu...I've traded full time...for a living...with my own money for well over 10 years...so I completely understand that there is a big difference in trading with real money...and as you call it "Play Money"...

Second...I wish everyone the best...and I do whatever I can to pass on items I know to be true. So let's be clear...I could care less how you choose to manage your own money...that's 100% your decision...I simply mentioned the the Forex Study regarding Leverage,..because it is Statistically Valid. 99% of Forex clients that trade at over 20:1 leverage blow out their accounts....therefore...by definition...the roughly 1% that don't Probably do make a lot of money. I know a trader who started with a 100K account. He found a statistical edge in trading the Euro on 15 minute timeframe. He averaged 3 trades per day. Went "All In" Every trade...and a little over a year later his account was at 1.8 Million. His Trade Setup stopped working..and fortunately he was smart enough to stop trading and keep his profits...and he's looking for another edge.

So no reason to defend your position...Do what you want...I'm just hear to help anyone in any way I can.

As for the RSI-2 system...I don't trade it because I already have my own trade setups that have gotten me to where I am at. More importantly systems with a extremely high win rate you'll find have a lot of small profits. So you can doubt the results of that system if you want to. I own easily 50K + of trading software...some turned out to be a complete waste of money...some turned out to be the best in the industry for specific items...Like backtesting. I've also spent a small fortune paying some of the top traders in the world in order to learn their insights/methodologies. A few of these traders are leaders in our industry in regards to developing systems and the correct way to backtest. You can choose to doubt the results above. I coded in the very simple rules for the system...correctly. I tested in extreme bull markets, Bear markets, and typical range bound markets. I included...and tested individually the major Indexes, S&P 500, S&P 100, Nasdaq, Russell 2000, All the major Forex Pairs plus several less liquid/More volatile Forex Pairs, And I tested all the major futures contracts. I was pretty shocked at the consistency, and consistency between all asset classes.

That's why I decided to share the results. Because there are a lot of traders on here who haven't found a statistically reliable system yet.

But let's be crystal clear....I made a statement and backed it up with Statistical Results. Then you come on this thread an state, "so I don't think your back testing is as valid as it looks". You'll have a hard time discrediting me since I don't offer opinions. I only state whit has been proven statistically valid. So next time you try please back up what your saying with more than your opinion.

B/c TradingView has a Global presence....sometimes their is a communication issue due to language barriers. If I took what you were trying to say out of the context in which you meant it I apologize. I'm here to help other traders grow...and achieve their goals...not argue with them.
+19 Reply
ZihanYu ChrisMoody
2 years ago
ok, thank you for the reply. Can you personally tell me what system are you using now? iam really curious. Beacuse you wouldnt publish this system if its so effective as it would be your personal weapon in trading. if too many people know a system, it will just stop working like you said.
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ZihanYu ZihanYu
2 years ago
can you give me your email adresss or contact details? we can discuss in private. How much money have you made trading so far then?
+1 Reply
Hey! Watch this video with jason and you will understand that "How much money have you made" does not matter! when it comes to the mindset in trading. https://www.youtube.com/watch?v=WsUGEh-qdYk
+1 Reply
eleutron298 Mathias-HarmonicTrader-Sweden
5 months ago
video is private. Do I need a password to view it?
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Mathias-HarmonicTrader-Sweden PRO eleutron298
5 months ago
Sorry cant do much about it, its not my video.
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timwest PRO ChrisMoody
2 years ago
So well said Chris - Great work - Great job. Thanks for sharing.
+1 Reply
ChrisMoody PRO timwest
2 years ago
Thanks Tim...
+1 Reply
TASAVANT
2 years ago
Trading the RSI 2 is great, one of the most powerful strategies around with a proven statistical edge..
+1 Reply
ChrisMoody PRO TASAVANT
2 years ago
Indicators now published in Public Library:

Upper Indicator:
CM RSI-2 Strategy - Upper Indicators.


Lower Indicator:
CM RSI-2 Strategy Lower Indicator



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oye ChrisMoody
2 years ago
does this work intraday say on 3 min?
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ChrisMoody PRO oye
2 years ago
You can test it and see. But the system was specifically designed for Daily Bars by Connors
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Algyros PRO ChrisMoody
2 years ago
Thank you, Chris, for this wonderful idea.
Perhaps I'm being dense, which would not be unusual, but I don't fully understand the yellow bars. Could you explain the significance of multiple yellow bars (i.e., how do they function as exit signals)?
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ChrisMoody PRO Algyros
2 years ago
Red Bars = Short ENTRY
Green Bars = Long Entry

Yellow Bars = Profit Objective reached...Close Position. Although sometimes the position loses money when this happens.
I could have coded it a little better. But not worth the time when we have Strategies coming out in December. Then we can code Entries, Profit Targets, Stops with Precision.

I'm going light on all of the strategies I have...b/c they will need to be recoded if I release.
+1 Reply
Algyros PRO ChrisMoody
2 years ago
Thanks, for the reply, Chris.

I realize that things will be different in December, but, until then, I'm still curious about the significance of multiple yellow bars, sometimes separated by a white bar or two. Do they imply a phased taking of profits?
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ChrisMoody PRO Algyros
2 years ago
multiple yellow bars just met the condition of the "Close Position criteria. At the time there wasn't a good way to if condition 1(EXIT) = true...then no more plots, until Next Entry. which is what you basically need to say to just get one yellow bar. Not worth recoding with full Strategies coming out.
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ucsgears PRO oye
2 years ago
This is a quick swing trade system, Making it quicker in 3 min timeframe, i think is physically/mentally demanding. Good Luck, let us know how it works.
+1 Reply
IvanLabrie TOP ucsgears
2 years ago
Maybe if you were to automate it but I wouldn't be too sure it'd work, with all that HFT noise down there.
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ucsgears PRO IvanLabrie
2 years ago
HFT is a concern, But doesn't certainly scare me.
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IvanLabrie TOP ucsgears
2 years ago
Me neither...I trade intraday, some 5m and 15m, as well as longer timeframes without a problem. People are too scared of HFT imho.
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ucsgears PRO IvanLabrie
2 years ago
They are scared by listening to someone because that someone wants to make money from webinars and selling books, in other words, RISK FREE - FREE money. That's just my take on those flash boys. Mostly I have seen those HFT trades are too quick for me to act. Anyway.... GL
+1 Reply
ChrisMoody PRO ucsgears
2 years ago
This is an important topic. First...since the beginning of time the goal for any type of "Market" is to find an EDGE, HFT is just the latest, not the first...not the last. Retail Traders here the news...HFT is creating an unfair market...etc. NOT TRUE. YES...HFT has an EDGE if your trying to scalp for 1 to 2 ticks. Yes...they have an advantage in this arena for a few reasons. #1 it's estimated you have to have a minimum of 500 Million to get in the HFT game. They have Servers within walking distance to the exchanges with dedicated feeds directly in to the exchanges. Therefore there orders are executed within microseconds...Advantage = yes, Illegal??? No...We all want to have an edge...And if we discovered a "True" edge against other traders...would we implement it...YES. Would that be illegal? No...it's called Capitalism...

Retail Traders Constantly ask the Wrong Questions. How can I compete with HFT. Answer...you can't...so they say the game is fixed...

NOT TRUE...There are many "Edges" you can find in all asset classes, on all timeframes.

The questions we ask ourselves are SOOO Important. Try asking yourself, "WHAT STATISTICAL EDGE CAN I FIND IN THE MARKET? AND/OR ON THE INSTRUMENTS AND TIMEFRAMES I TRADE?

There are examples on a Daily basis right here on TradingView.

You can discover a Statistical Edge Yourself....Or you can follow the top people on TradingView and learn the Statistical edges they have found.

This is what is what is so Great abut TradingView. We have traders that started trading TODAY...And we have Traders who have been Trading Full-Time for well over 10 years.

I wonder if you can find one of us who has reached the ability to Trade Full-Time ...who says..."Well it was fun while it lasted...but b/c of HFT I might as well pack it up and go get a job"!!! Sounds ridiculous...Agree?
+6 Reply
FrancisFrango
2 years ago
Thanks a lot for your generosity of sharing the knowledge , God bless...
Reply
ChrisMoody PRO FrancisFrango
2 years ago
No Problem...Thanks
+2 Reply
vitosh ChrisMoody
2 years ago
I tried to repeat the backtests in amibroker .
I used for backtests 3,000 shares traded on the Nyse from 2000 to 2014.
The result was not impressed...
Initial capital 100000.00
Ending capital 95114.73
Net Profit % -4.89 %
Exposure % 0.39 %
Net Risk Adjusted Return % -1266.84 %
Annual Return % -0.34 %
Risk Adjusted Return % -87.50 %
All trades 1719
Avg. Profit/Loss -2.84
Avg. Profit/Loss % -2.84 %
Winners 347 (20.19 %)
Losers 1372 (79.81 %)

Errors in my formulas, I could not find.
Anybody tried to repeat the backtests ? What results were obtained?
+1 Reply
vitosh vitosh
2 years ago
shares used in the test:
A , AA , AAP , AAPL , AAT , AAV , AB , ABB , ABBV , ABC , ABEV , ABG , ABM , ABR , ABRN , ABT , ABX , ACC , ACCO , ACE , ACG , ACH , ACI , ACM , ACMP , ACN , ACP , ACRE , ACT , ACW , ADC , ADM , ADPT , ADS , ADT , ADX , AEB , AEC , AED , AEE , AEG , AEH , AEK , AEL , AEM , AEO , AEP , AER , AES , AET , AF , AFA , AFB , AFC , AFG , AFGE , AFL , AFM , AFQ , AFSD , AFT , AFW , AG , AGC , AGCO , AGD , AGI , AGM , AGN , AGO , AGRO , AGU , AGX , AHC , AHH , AHL , AHP , AHS , AHT , AI , AIB , AIF , AIG , AIN , AIR , AIT , AIV , AIW , AIY , AIZ , AJG , AKO/A , AKP , AKR , AKS , AL , ALB , ALDW , ALE , ALEX , ALG , ALJ , ALK , ALL , ALLE , ALLY , ALR , ALSN , ALU , ALV , ALX , AMBR , AMC , AMD , AME , AMG , AMH , AMID , AMP , AMRC , AMRE , AMRN , AMT , AMTD , AMTG , AMX , AN , ANET , ANF , ANFI , ANH , ANN , ANR , ANW , AOD , AOI , AOL , AON , AOS , AP , APA , APAM , APB , APC , APD , APF , APH , APL , APO , APU , AR , ARC , ARCO , ARCX , ARDC , ARE , ARES , ARG , ARI , ARL , ARMF , ARMK , ARN , ARO , ARP , ARPI , ARR , ARU , ARW , ARY , ASA , ASC , ASG , ASGN , ASH , ASPN , ASR , ASX , AT , ATE , ATEN , ATHL , ATHM , ATI , ATK , ATLS , ATO , ATR , ATU , ATV , ATW , AU , AUO , AUQ , AUY , AV , AVA , AVAL , AVB , AVD , AVG , AVH , AVIV , AVK , AVP , AVT , AVV , AVX , AVY , AWF , AWH , AWI , AWK , AWP , AWR , AXE , AXL , AXLL , AXP , AXR , AXS , AYI , AYN , AYR , AZN , AZO , AZZ , B , BA , BABA , BAC , BAF , BAH , BAK , BALT , BAM , BANC , BAP , BAS , BAX , BBD , BBDO , BBF , BBG , BBK , BBL , BBN , BBT , BBVA , BBW , BBX , BBY , BC , BCA , BCC , BCE , BCEI , BCF , BCH , BCO , BCR , BCRH , BCS , BCX , BDC , BDJ , BDN , BDX , BEE , BEL , BEN , BEP , BERY , BF , BF/A , BF/B , BFAM , BFK , BFO , BFR , BFS , BFZ , BG , BGB , BGC , BGCA , BGG , BGH , BGR , BGS , BGT , BGX , BGY , BH , BHE , BHI , BHK , BHL , BHLB , BHP , BID , BIE , BIF , BIG , BIN , BIO , BIO/B , BIOA , BIP , BIT , BITA , BJZ , BK , BKD , BKE , BKH , BKK , BKN , BKS , BKT , BKU , BKW , BLH , BLK , BLL , BLOX , BLT , BLW , BLX , BMA , BME , BMI , BMO , BMR , BMS , BMY , BNA , BNJ , BNK , BNNY , BNS , BNY , BOCA , BOE , BOH , BOI , BORN , BOXC , BP , BPI , BPK , BPL , BPT , BPY , BPZ , BQH , BQR , BR , BRC , BRFS , BRK , BRK/B , BRO , BRP , BRS , BRSS , BRT , BRX , BSAC , BSBR , BSD , BSE , BSI , BSL , BSMX , BSX , BT , BTA , BTE , BTF , BTH , BTO , BTT , BTU , BTZ , BUD , BUI , BURL , BVN , BWA , BWC , BWG , BWP , BWS , BX , BXC , BXMT , BXP , BXS , BYD , BYI , BYM , BZH , BZT , C , CAB , CACI , CAE , CAF , CAG , CAH , CAJ , CALX , CAM , CAP , CAS , CAT , CATO , CB , CBA , CBB , CBD , CBG , CBI , CBK , CBL , CBM , CBO , CBPX , CBR , CBS , CBS/A , CBSO , CBT , CBU , CBX , CBZ , CCC , CCE , CCG , CCI , CCJ , CCK , CCL , CCM , CCO , CCS , CCSC , CCU , CCV , CCZ , CDE , CDI , CDR , CE , CEA , CEB , CEE , CEL , CELG , CELP , CEM , CEN , CEO , CEQP , CF , CFG , CFI , CFN , CFR , CFX , CGA , CGG , CGI , CHA , CHD , CHE , CHGG , CHH , CHK , CHKR , CHL , CHMI , CHMT , CHN , CHS , CHSP , CHT , CHU , CI , CIA , CIB , CIE , CIEN , CIF , CIG , CIG/C , CII , CIM , CIO , CIR , CIT , CIVI , CJES , CKH , CKP , CKR , CL , CLA , CLB , CLC , CLD , CLDT , CLF , CLGX , CLH , CLI , CLNY , CLR , CLS , CLV , CLW , CLX , CM , CMA , CMC , CMCM , CMG , CMI , CMK , CMLP , CMN , CMO , CMP , CMRE , CMS , CMU , CNA , CNC , CNCO , CNHI , CNI , CNK , CNL , CNNX , CNO , CNP , CNQ , CNS , CNW , CNX , CO , CODE , CODI , COF , COG , COH , COL , COO , COP , COR , CORR , COT , COTY , COUP , COV , CP , CPA , CPAC , CPB , CPE , CPF , CPG , CPK , CPL , CPN , CPS , CPT , CQB , CR , CRCM , CRD , CRD/A , CRD/B , CRH , CRI , CRK , CRL , CRM , CRR , CRS , CRT , CRY , CS , CSC , CSG , CSH , CSI , CSL , CSLT , CSS , CST , CSTM , CSU , CSV , CSX , CTB , CTC , CTL , CTLT , CTQ , CTR , CTS , CTT , CTU , CTV , CTW , CTX , CTY , CUB , CUBE , CUDA , CUK , CUZ , CVA , CVB , CVC , CVD , CVE , CVEO , CVG , CVI , CVO , CVRR , CVS , CVT , CVX , CW , CWEI , CWT , CX , CXE , CXH , CXO , CXP , CXW , CYD , CYH , CYN , CYNI , CYS , CYT , CZZ , D , DAC , DAL , DAN , DANG , DAR , DATA , DB , DBD , DBL , DCA , DCI , DCM , DCO , DCT , DCUA , DCUB , DCUC , DD , DDC , DDD , DDE , DDF , DDR , DDS , DDT , DE , DECK , DEG , DEI , DEL , DEO , DEX , DF , DFP , DFS , DFT , DG , DGI , DGX , DHF , DHG , DHI , DHR , DHT , DHX , DIN , DIS , DK , DKL , DKS , DKT , DL , DLB , DLPH , DLR , DLX , DMB , DMD , DMO , DNB , DNI , DNOW , DNP , DNR , DNY , DO , DOC , DOM , DOOR , DOV , DOW , DPD , DPG , DPM , DPO , DPS , DPZ , DQ , DRA , DRC , DRD , DRE , DRH , DRI , DRII , DRL , DRQ , DSE , DSL , DSM , DST , DSU , DSW , DSX , DTE , DTF , DTK , DTQ , DTT , DTZ , DUA , DUC , DUK , DUKH , DV , DVA , DVD , DVN , DVR , DW , DWRE , DX , DXB , DY , DYN , E , EAA , EAB , EAE , EARN , EAT , EBF , EBR , EBS , EC , ECA , ECL , ECOM , ECR , ECT , ED , EDD , EDE , EDF , EDI , EDN , EDR , EDU , EE , EEA , EEP , EEQ , EFC , EFF , EFM , EFR , EFT , EFX , EGF , EGL , EGN , EGO , EGP , EGY , EHI , EIG , EIX , EJ , EK , EL , ELA , ELB , ELJ , ELLI , ELP , ELS , ELU , ELX , ELY , EMC , EMD , EME , EMES , EMF , EMN , EMO , EMQ , EMR , EMZ , ENB , ENBL , END , ENH , ENI , ENJ , ENL , ENLC , ENLK , ENR , ENS , ENV , ENZ , EOC , EOD , EOG , EOI , EOS , EOT , EPAM , EPB , EPD , EPE , EPR , EQC , EQCN , EQCO , EQM , EQR , EQS , EQT , EQY , ERA , ERF , ERJ , EROS , ESD , ESE , ESI , ESL , ESNT , ESRT , ESS , ESV , ETB , ETE , ETG , ETH , ETJ , ETM , ETN , ETO , ETP , ETR , ETV , ETW , ETX , ETY , EV , EVC , EVDY , EVER , EVF , EVG , EVGN , EVHC , EVN , EVR , EVT , EVTC , EW , EXAM , EXAR , EXC , EXCU , EXD , EXG , EXH , EXK , EXL , EXP , EXPR , EXR , F , FAC , FAF , FAM , FAV , FBC , FBHS , FBP , FBR , FC , FCB , FCE/A , FCE/B , FCF , FCH , FCN , FCT , FCX , FDI , FDO , FDP , FDS , FDX , FE , FEI , FELP , FENG , FEO , FET , FF , FFA , FFC , FFG , FGB , FGL , FGP , FHN , FHY , FI , FICO , FIF , FIG , FII , FIS , FIX , FL , FLC , FLO , FLR , FLS , FLT , FLTX , FLY , FMC , FMD , FMN , FMO , FMS , FMX , FMY , FN , FNB , FNF , FNFV , FNV , FOE , FOF , FOR , FPF , FPL , FPO , FPT , FR , FRA , FRC , FRF , FRM , FRO , FRT , FSCE , FSD , FSIC , FSL , FSM , FSS , FST , FT , FTI , FTK , FTT , FUL , FUN , FUR , FVE , FXCM , G , GAB , GAM , GAS , GB , GBAB , GBL , GBX , GCA , GCAP , GCH , GCI , GCO , GCV , GD , GDF , GDL , GDO , GDOT , GDP , GDV , GE , GEB , GEF , GEF/B , GEH , GEK , GEL , GEO , GEQ , GER , GES , GF , GFA , GFF , GFI , GFIG , GFY , GG , GGB , GGE , GGG , GGM , GGP , GGT , GGZ , GHC , GHI , GHL , GHM , GHY , GIB , GIL , GIM , GIMO , GIS , GJH , GJO , GJP , GJR , GJS , GJT , GJV , GLF , GLOB , GLOG , GLOP , GLP , GLPW , GLT , GLW , GM , GME , GMED , GMK , GMT , GMZ , GNC , GNE , GNI , GNRC , GNT , GNW , GOF , GOL , GOV , GPC , GPI , GPK , GPM , GPN , GPRK , GPS , GPT , GPX , GRA , GRAM , GRO , GRR , GRT , GRUB , GRX , GS , GSF , GSH , GSI , GSJ , GSK , GSL , GTI , GTN , GTN/A , GTS , GTY , GUA , GUT , GVA , GWR , GWRE , GWRU , GWW , GXP , GY , GYB , GYC , GZT , H , HAE , HAL , HAR , HASI , HBI , HBM , HCA , HCC , HCI , HCJ , HCLP , HCN , HCP , HD , HDB , HDY , HE , HEI , HEI/A , HELI , HEP , HEQ , HES , HF , HFC , HGG , HGH , HGR , HGT , HHC , HHS , HHY , HI , HIG , HII , HIL , HIO , HIVE , HIW , HIX , HJV , HK , HL , HLF , HLS , HLT , HLX , HMC , HME , HMLP , HMN , HMY , HNI , HNP , HNR , HNT , HOG , HON , HOS , HOT , HOV , HP , HPF , HPI , HPP , HPQ , HPS , HPT , HPY , HQH , HQL , HR , HRB , HRC , HRG , HRL , HRS , HRTG , HSBC , HSC , HSEA , HSEB , HSP , HST , HSY , HT , HTA , HTD , HTF , HTGC , HTGX , HTGY , HTGZ , HTH , HTR , HTS , HTY , HTZ , HUB , HUB/A , HUB/B , HUM , HUN , HVB , HVT , HVT/A , HW , HXL , HY , HYB , HYF , HYI , HYL , HYT , HZO , I , IAE , IAG , IBA , IBM , IBN , IBP , ICA , ICB , ICD , ICE , ICL , IDA , IDE , IDG , IDT , IEH , IEX , IFF , IFN , IFT , IGA , IGD , IGI , IGR , IGT , IHC , IHD , IHG , IHS , IID , IIF , IIM , IL , IM , IMAX , IMN , IMPR , IMPV , IMS , INB , IND , INF , INFY , ING , INGR , INN , INT , INTC , INVN , INXN , INZ , IO , IOC , IP , IPG , IPHI , IPI , IQI , IR , IRC , IRE , IRET , IRF , IRL , IRM , IRR , IRS , ISD , ISF , ISG , ISH , ISP , IT , ITC , ITG , ITT , ITUB , ITW , IUKP , IVC , IVH , IVR , ivv , IVZ , IX , JAH , JBJ , JBK , JBL , JBN , JBR , JBT , JCE , JCI , JCP , JDD , JE , JEC , JEQ , JFC , JFR , JGG , JGT , JGV , JGW , JHI , JHP , JHS , JHX , JKS , JLA , JLL , JLS , JMEI , JMF , JMI , JMLP , JMM , JMP , JMPB , JMPC , JMT , JNJ , JNPR , JNS , JOE , JOF , JONE , JOY , JPC , JPG , JPI , JPM , JPS , JPW , JPZ , JQC , JRI , JRN , JRO , JSD , JSN , JTA , JTD , JTP , JW/A , JW/B , JWN , K , KAI , KAMN , KAP , KAR , KATE , KB , KBH , KBR , KCC , KCG , KED , KEF , KEG , KEM , KEP , KEX , KEY , KF , KFH , KFI , KFS , KFY , KGC , KHI , KIM , KING , KIO , KKD , KKR , KMB , KMF , KMG , KMI , KMM , KMP , KMPR , KMR , KMT , KMX , KN , KND , KNL , KNM , KNOP , KNX , KO , KODK , KOF , KOG , KOP , KORS , KOS , KR , KRA , KRC , KRG , KRO , KS , KSM , KSS , KST , KSU , KT , KTF , KTH , KTN , KTP , KW , KWK , KWN , KWR , KYE , KYN , KYO , L , LAD , LADR , LAS , LAZ , LB , LBF , LCI , LCM , LDF , LDL , LDOS , LDP , LDR , LEA , LEAF , LEE , LEG , LEJU , LEN , LEN/B , LEO , LEU , LF , LFC , LFL , LG , LGF , LGI , LGP , LH , LHO , LII , LIN , LITB , LL , LLL , LLY , LM , LMT , LNC , LND , LNKD , LNN , LNT , LO , LOCK , LOR , LOW , LPG , LPI , LPL , LPT , LPX , LQ , LRE , LRN , LTC , LTM , LUB , LUK , LUV , LUX , LVLT , LVS , LXFR , LXFT , LXK , LXP , LXU , LYB , LYG , LYV , LZB , M , MA , MAA , MAC , MAIN , MAN , MANU , MAS , MATX , MAV , MBI , MBLY , MBT , MC , MCA , MCC , MCD , MCI , MCK , MCN , MCO , MCP , MCQ , MCR , MCS , MCV , MCY , MD , MDC , MDLY , MDP , MDR , MDT , MDU , MED , MEG , MEI , MEN , MEP , MET , MFA , MFC , MFD , MFG , MFL , MFM , MFO , MFT , MFV , MG , MGA , MGF , MGM , MGR , MGU , MHD , MHF , MHFI , MHG , MHI , MHK , MHN , MHNA , MHNB , MHNC , MHO , MHR , MHY , MIC , MIE , MIG , MIL , MILL , MIN , MITT , MIXT , MIY , MJI , MJN , MKC , MKL , MLI , MLM , MLP , MLR , MLU , MM , MMC , MMD , MMI , MMM , MMP , MMS , MMT , MMU , MN , MNE , MNI , MNK , MNP , MNR , MO , MOD , MODN , MOG , MOG/A , MOG/B , MOH , MON , MOS , MOV , MPA , MPC , MPLX , MPO , MPV , MPW , MPX , MQT , MQY , MR , MRC , MRH , MRIN , MRK , MRO , MS , MSA , MSB , MSCA , MSCI , MSD , MSF , MSFT , MSI , MSJ , MSK , MSL , MSM , MSO , MSP , MSZ , MT , MTB , MTCN , MTD , MTDR , MTG , MTH , MTL , MTN , MTOR , MTR , MTRN , MTS , MTT , MTU , MTW , MTX , MTZ , MUA , MUC , MUE , MUH , MUI , MUJ , MUR , MUS , MUSA , MUX , MVC , MVCB , MVNR , MVO , MVT , MW , MWA , MWE , MWG , MWO , MWR , MWV , MWW , MX , MXE , MXF , MXL , MXT , MY , MYC , MYCC , MYD , MYE , MYF , MYI , MYJ , MYM , MYN , MZF , N , NAC , NAD , NADL , NAN , NAO , NAT , NAV , NAZ , NBB , NBD , NBG , NBHC , NBL , NBR , NC , NCA , NCFT , NCI , NCR , NCS , NCT , NCV , NCZ , NDP , NDRO , NE , NEA , NEE , NEM , NEP , NES , NEU , NEV , NEWM , NFG , NFJ , NFX , NGG , NGL , NGLS , NGS , NGVC , NHF , NHI , NI , NID , NIE , NIM , NIO , NIQ , NJ , NJR , NKA , NKE , NKG , NKX , NL , NLS , NLSN , NLY , NM , NMA , NMBL , NMFC , NMI , NMM , NMO , NMR , NMT , NMY , NNA , NNC , NNI , NNJ , NNN , NNP , NNY , NOA , NOAH , NOC , NOK , NOR , NORD , NOV , NOW , NP , NPD , NPF , NPI , NPK , NPM , NPO , NPP , NPT , NPTN , NPV , NQ , NQI , NQJ , NQM , NQP , NQS , NQU , NR , NRF , NRG , NRK , NRP , NRT , NRZ , NS , NSAM , NSC , NSH , NSL , NSLP , NSM , NSP , NSR , NSS , NTC , NTG , NTI , NTL , NTP , NTT , NTX , NTZ , NU , NUE , NUM , NUO , NUS , NUV , NUW , NVGS , NVO , NVR , NVS , NWE , NWHM , NWL , NWN , NWY , NX , NXC , NXN , NXP , NXQ , NXR , NYCB , NYLD , NYRT , NYT , O , OAK , OAKS , OAS , OB , OC , OCIP , OCIR , OCN , OCR , ODC , OEC , OEF , OFC , OFG , OGE , OGS , OHI , OI , OIA , OIBR , OII , OILT , OIS , OKE , OKS , OLN , OLP , OMC , OME , OMG , OMI , OMN , ONE , OPK , OPWR , OPY , ORA , ORAN , ORB , ORCL , ORI , ORN , OSK , OWW , OXF , OXM , OXY , OZM , P , PAA , PAC , PACD , PAG , PAGP , PAH , PAI , PAM , PANW , PAR , PAY , PAYC , PB , PBA , PBF , PBFX , PBH , PBI , PBR , PBR/A , PBT , PBY , PBYI , PCF , PCG , PCI , PCK , PCL , PCM , PCN , PCP , PCQ , PDI , PDM , PDS , PDT , PE , PEB , PEG , PEI , PEO , PEP , PER , PES , PF , PFD , PFE , PFG , PFH , PFK , PFL , PFN , PFO , PFS , PFSI , PFX , PG , PGEM , PGH , PGI , PGN , PGP , PGR , PGZ , PH , PHD , PHG , PHH , PHI , PHK , PHM , PHT , PHX , PII , PIKE , PIM , PIR , PIY , PJC , PJH , PJS , PKD , PKE , PKG , PKI , PKO , PKX , PKY , PL , PLD , PLL , PLOW , PLT , PM , PMC , PMF , PML , PMM , PMO , PMT , PMX , PNC , PNF , PNI , PNK , PNM , PNR , PNTA , PNW , PNX , PNY , POL , POM , POR , POST , POT , POWR , PPG , PPL , PPO , PPP , PPR , PPS , PPT , PPX , PQ , PRA , PRE , PRGO , PRH , PRI , PRLB , PRO , PRU , PRY , PSA , PSB , PSF , PSG , PSO , PSX , PSXP , PT , PTP , PTR , PTY , PUK , PULS , PVA , PVG , PVH , PVTD , PWE , PWR , PX , PXD , PYB , PYN , PYS , PYT , PZB , PZC , PZE , PZN , Q , QEP , QEPM , QIHU , QRE , QTM , QTS , QTWO , QUAD , R , RAD , RAI , RALY , RAS , RATE , RAX , RBA , RBC , RBS , RCAP , RCI , RCL , RCS , RDC , RDN , RDS , RDS/A , RDY , RE , REG , REN , RENN , RES , RESI , REV , REX , REXR , RF , RFI , RFP , RFT , RGA , RGC , RGP , RGR , RGS , RGT , RH , RHI , RHP , RHT , RICE , RIG , RIGP , RIO , RIOM , RIT , RJD , RJF , RKT , RKUS , RL , RLD , RLGY , RLH , RLI , RLJ , RM , RMAX , RMD , RMT , RNDY , RNE , RNF , RNG , RNO , RNP , RNR , ROC , ROG , ROK , ROL , ROP , ROYT , RPAI , RPM , RPT , RQI , RRC , RRMS , RRTS , RS , RSE , RSG , RSH , RSO , RSPP , RST , RT , RTEC , RTI , RTN , RUBI , RUK , RVT , RWT , RXN , RY , RYAM , RYI , RYL , RYN , RZA , S , SA , SAH , SAIC , SALT , SAM , SAN , SAP , SAQ , SAR , SB , SBGL , SBH , SBNA , SBR , SBS , SBW , SBY , SC , SCCO , SCD , SCG , SCHW , SCI , SCL , SCM , SCQ , SCS , SCU , SCX , SD , SDLP , SDR , SDRL , SDT , SE , SEAS , SEE , SEM , SEMG , SEP , SERV , SF , SFB , SFE , SFG , SFL , SFN , SFS , SFUN , SFY , SGF , SGL , SGM , SGU , SGY , SGZA , SHG , SHI , SHO , SHW , SID , SIG , SIR , SIX , SJI , SJM , SJR , SJT , SJW , SKH , SKM , SKT , SKX , SLB , SLCA , SLF , SLG , SLH , SLRA , SLTB , SLW , SM , SMA , SMF , SMFG , SMG , SMI , SMLP , SMM , SMP , SN , SNA , SNE , SNH , SNHN , SNI , SNN , SNOW , SNP , SNV , SNX , SNY , SO , SOL , SON , SOR , SPA , SPE , SPF , SPG , SPH , SPLP , SPN , SPR , SPW , spy , SQM , SQNS , SR , SRC , SRE , SRF , SRI , SRLP , SRT , SRV , SSD , SSE , SSI , SSL , SSLT , SSNI , SSP , SSS , SSTK , SSW , SSWN , ST , STAG , STAR , STAY , STC , STE , STI , STJ , STK , STL , STM , STN , STNG , STO , STON , STR , STRI , STT , STV , STWD , STZ , STZ/B , SU , SUI , SUNE , SUP , SUSP , SVM , SVU , SWAY , SWC , SWFT , SWH , SWI , SWJ , SWK , SWM , SWN , SWS , SWU , SWX , SWY , SWZ , SXC , SXCP , SXE , SXI , SXL , SXT , SYA , SYF , SYK , SYT , SYX , SYY , SZC , T , TA , TAC , TAHO , TAI , TAL , TAM , TANN , TAOM , TAP , TAP/A , TARO , TBI , TC , TCAP , TCB , TCC , TCCA , TCI , TCK , TCO , TCP , TCPI , TCS , TD , TDA , TDC , TDE , TDF , TDG , TDI , TDJ , TDS , TDW , TDY , TE , TEF , TEG , TEI , TEL , TEN , TEO , TEP , TER , TEU , TEVA , TEX , TFG , TFX , TG , TGH , TGI , TGP , TGS , TGT , THC , THG , THGA , THI , THO , THQ , THR , THS , TI , TIF , TIME , TISI , TJX , TK , TKC , TKF , TKR , TLI , TLK , TLLP , TLM , TLP , TLYS , TM , TMH , TMHC , TMK , TMO , TMST , TMUS , TNC , TNET , TNH , TNK , TNP , TOL , TOO , TOT , TOWR , TPC , TPH , TPL , TPRE , TPUB , TPVG , TPX , TPZ , TR , TRC , TREC , TREX , TRF , TRGP , TRI , TRK , TRLA , TRMR , TRN , TRNO , TROX , TRP , TRQ , TRR , TRUP , TRV , TRW , TS , TSE , TSI , TSL , TSLF , TSLX , TSM , TSN , TSNU , TSO , TSQ , TSS , TSU , TTC , TTF , TTI , TTM , TTP , TU , TUMI , TUP , TV , TVC , TVE , TVPT , TW , TWC , TWI , TWN , TWO , TWTR , TWX , TX , TXT , TXTR , TY , TYC , TYG , TYL , TZF , UA , UAL , UAM , UAN , UBA , UBP , UBS , UCP , UDR , UFI , UFS , UGI , UGP , UHS , UHT , UIL , UIS , UL , UMC , UMH , UN , UNF , UNH , UNM , UNP , UNT , UPL , UPS , URI , URS , USA , USAC , USB , USG , USM , USNA , USPH , UTF , UTI , UTL , UTX , UVE , UVV , UZA , V , VAC , VAL , VALE , VALE/P , VAR , VBF , VC , VCO , VCRA , VCV , VE , VEC , VEEV , VET , VFC , VG , VGI , VGM , VGR , VHI , VIPS , VIV , VJET , VKQ , VLO , VLP , VLRS , VLT , VLY , VMC , VMEM , VMI , VMO , VMW , VNCE , VNO , VNQ , VNTV , VOC , VOO , VOYA , VPG , VPV , VR , VRS , VRTV , VRX , VSH , VSI , VTA , VTN , VTR , VTRB , VTTI , VVC , VVI , VVR , VZ , VZA , WAB , WAC , WAG , WAGE , WAIR , WAL , WAT , WBAI , WBC , WBK , WBS , WCC , WCG , WCIC , WCN , WD , WDAY , WDR , WEA , WEC , WES , WEX , WF , WFC , WFT , WG , WGL , WGO , WGP , WHG , WHR , WHX , WHZ , WIA , WIT , WIW , WLH , WLK , WLKP , WLL , WLP , WLT , WM , WMB , WMC , WMK , WMS , WMT , WNC , WNR , WNRL , WNS , WOR , WPC , WPG , WPP , WPT , WPX , WPZ , WR , WRB , WRE , WRI , WRT , WSH , WSM , WSO , WSO/B , WSR , WST , WTI , WTM , WTR , WTS , WTW , WU , WUBA , WWAV , WWE , WWW , WX , WY , WYN , X , XAA , XCO , XEC , XEL , XIN , XKE , XL , XLS , XNY , XOM , XON , XOXO , XPO , XRM , XRS , XRX , XUE , XYL , Y , YDKN , YELP , YGE , YOKU , YPF , YUM , YUME , YZC , ZA , ZBK , ZEN , ZEP , ZF , ZFC , ZMH , ZNH , ZOES , ZPIN , ZQK , ZTR , ZTS , ZX ,
Reply
ChrisMoody PRO vitosh
2 years ago
I'm happy to help you out...if you answer a few questions.

1. What exactly are your entry rule on the Long side and entry rule on the downside. Not you Amibroker code. Just write it out in plain english.

2. What is your exact exit criteria on the Long and short side.

You should be able to write this out on less than half of a 3 by 5 index card.
Reply
vitosh ChrisMoody
2 years ago
Thank you willingness to help.

I use the following settings:

Buy on next open when True:
Close_Price > MA_period_200 AND Close_Price < MA_period_5 AND RSI < 10
***************
SELL on close when True:
High_Price > MA_period_5 AND past_Close_Price < past_MAperiod_5 AND Close_Price > MA_period_200

AND in any of the four previous timeframes the following conditions were true
(Close_Price > MA_period_200 AND Close_Price < MA_period_5 AND RSI < 10)
***************
RSI period is two.
Moving average is based on Close_Price.
Reply
vitosh ChrisMoody
2 years ago
SHORT on next open when True:
Close_Price < MA_period_200 AND Close_Price < MA_period_5 AND RSI >90
***************
COVER on close when True:
Low_Price < MA_period_5 AND past_Close_Price > past_MAperiod_5 AND Close_Price < MA_period_200

AND in any of the four previous timeframes the following conditions were true
(Close_Price < MA_period_200 AND Close_Price > MA_period_5 AND RSI >90)
***************
always position size of 100 shares.
I did not use multiple sign.
Reply
vitosh vitosh
2 years ago
the text in the top two responses distorted...I use the following settings:
BUY on next open when True:
Close_Price more than MA_period_200 AND less than MA_period_5 AND RSI less than 10
****************
SHORT when True:
Close_Price less than MA_period_200 AND more than MA_period_5 AND RSI more than 90
Reply
vitosh vitosh
2 years ago
SELL on close when True:
High_Price more than MA_period_5 AND Close_Price more than MA_period_200 AND past Close_Price less than past MA_period_5
AND in any of the four previous timeframes the following conditions were true
(Close_Price more than MA_period_200 AND less than MA_period_5 AND RSI less than 10)
**************************
COVER when True:
Low_Price less than MA_period_5 AND Close_Price less than MA_period_200 AND past Close_Price more than past MA_period_5
AND in any of the four previous timeframes the following conditions were true
(Close_Price less than MA_period_200 AND more than MA_period_5 AND RSI more than 90)
Reply
ChrisMoody PRO vitosh
2 years ago
Sorry...I never saw your responses...I'll reply later...
Reply
ChrisMoody PRO vitosh
2 years ago
vitosh...

Sorry for the delay...In the next day or so I'm going to go through this thread and answer any questions that haven't been answered...so if your still interested in this method just reply to this and I will get you an answer
+1 Reply
aziz92 ChrisMoody
2 years ago
Hey Chris,
I'm interested. I did the backtest and I got similar results to vitosh. I know you are a busy guy, so no hurries. Just know that we eager to know what's wrong and when you get a chance please correct us.
Reply
larry.klein.7568
2 years ago
Where can I get this trading system automated so I don't need to do anything? I don't own software and I don't want to learn a programming language. I just want to set it and forget it. larry-klein@comcast.net
Reply
ChrisMoody PRO larry.klein.7568
2 years ago
I'm not sure how to answer your question...but there is some good news.

If you don't own software...then you have to have a broker who has the capability or who provides you with software that will run custom criteria.

If you don't know how to code...then you have to higher a programmer.

Good news.... TradingView just released Beta Paper Trading...so down the road you will be able to trade through Brokers on TradingView...and TradingView will have the ability to run Strategy's which is what you need to run Automated Systems. At that time I'lll be happy to provide the code.
Reply
larry.klein.7568 ChrisMoody
2 years ago
any update on automating this (without me needing to program) or babysit the automation? I currently use Interactive Brokers but I don't care which broker I use.
Reply
ChrisMoody PRO larry.klein.7568
2 years ago
Larry...I'm in no way trying to be ruse...but I'm not sure how to respond. You can either go buy a Multi-Thousand dollar platform which is set up to Auto-Trade...or you can wait to TradingView...1. Gets out of Beta Testing on Chart Trading...2. Implements Strategy capabilities...3. Implements IB as a Broker you can trade through.

If you asking for a time frame based on the above...That I can only give partial info. Per 1. above...No idea. Per 2. above Beta possibly in 2 weeks to a month and a half...Out of Beta No idea. 3. I know the owners have a great relationship with IB...so if I had to guess I would say IB will be a linked Broker....but I have no idea when items 1 and 2 will be out of Beta...

Let me tell you the problem with this strategy...The results I posted were on Large Index's...Note the account size required to take the trades in that amount of stocks. If you narrow it down to a much smaller group...the results could drastically change. Unless your account size is in the millions there are better strategies to trade.

Again...In no way trying to be rude...your question wasn't specific so I tried to cover the general basics.

Feel free to ask a more specific question...
Reply
larry.klein.7568 ChrisMoody
2 years ago
I reviewed the Connors paper on this and it appears (I deduced) that if the stocks in the s&P 500 are traded, there are maybe 5-10 positions at any one time as the criteria to open a position are pretty stringent. Therefore, it would seem an account of $500k would work. if not, I am all ears.
Reply
ChrisMoody PRO larry.klein.7568
2 years ago
Excellent Response...Well Thought out Question/Statement.

If you look at the PDF...I ran trades on the S&P 100, Nasdaq 100, and at the End 80 Forex Symbols. Some are broken down in to Long and Short Trades...But if you take the S&P 100 and Nasd 100 ALL Trades they were consistently at right over 1000 trades per year. Divide that by 52...and your right at 20 trades per month. Avg Trade close to 4 days...so in that case your dead on at about 5 trades per time. If you look at the 80 Forex pairs the total number of trades per year is proportional to over 1000 if there were 100 forex Pairs. So pretty consistent across all 3 groups.

I'd have to assume adding 400 additional stocks would take the number over 10...I haven't run the test...

As long as you were accurate at defining a Up-Trend and Down-Trend....Trading ONLY with the Trend Produced significantly better results...which would allow you to filter out a few hundred trades.

However, I would take not of the Drawdown trading a basket of 100 stocks...(assuming buying 100 shares)....the drawdowns were around 500K. So with a little more research to verify this draw down is normal for 100 stocks trading 100 shares per trade...then we would have to decide the % of capital drawdown we were willing to take...and work backwards.

I have no idea what the answer would be...but one thought that comes to mind is...(And I would Research this...Personally)...is if trading with the trend produces better results...Would trading a basket of stocks that had 52 Week Highs or Lows within the last X days or Weeks be a very profitable group of stocks to trade? Or also researching what if we only traded the top 2 Best and or worse Sectors and the Basket of Stocks within those two sectors....

My guess is if they generated enough trades two things would be in our benefit....they would be stocks that were MOVING...generating higher point/percent returns...and they Should SNAP back into a profitable trade quickly..giving quick profits....

I really think that would be worth checking in to...
Reply
PerBerglund8c larry.klein.7568
2 years ago
I guess that would be an average. In strong downturns (which produce buy signals) stocks are very much correlated. I ran a backtest on 30 stocks for this strategy, and 10 simultaneous positions was not uncommon. So that would translate to about 170 simultaneous trades on sp500.
Reply
ericesquire PRO ChrisMoody
2 days ago
@ChrisMoody, Just a side note...how much of a joke is it that this is a 2 year old post and TradingView still is sucking wind when it comes to integrating more brokers, even as many others have released API access.

Totally annoyed by this. But what choise do we have? It's as if they have us by the base of our snarglies. =)
Reply
SiriusInkheart larry.klein.7568
2 years ago
Call tradingscreen.com, I know they provide software for automation (excel plugins), and if you pay them, they probably will develop a custom excel ware for you.
Reply
DavidColin
2 years ago
Thanks for this Chris. I have one question though. If this is based on buying just 100 shares, how on earth is the average trade $518? I coded this in Tradestation and got all the same win rates etc. I don't have the ability to test on a portfolio as you did, but even on super high priced stocks like Google, the average trade was only in the $160 range. On lower priced stocks, even though they had a high percentage of winners, the average trade was so small as to not be worth trading, after costs.
Reply
ChrisMoody PRO DavidColin
2 years ago
I think your reading the Metrics wrong. All that number is saying is ( Assuming your talking about the S&P number is over that period of time the Strategy made roughly 3.7 million. There were a total of a little over 7K Trades. Divide the Profit or the 3.7Million by the number of trades 7K..and if you use the exact numbers on the PDF you will get and Average Trade of $518.

The Google number doesn't seem accurate...depending on when you ran the numbers ...If I have time I'll run Googles numbers for the exact same time period and post the results.
Reply
DavidColin ChrisMoody
2 years ago
Yes that is how I am reading that metric. Here's a screenshot of the Google backtest.

https://www.dropbox.com/s/jvjgi0gp2s1ocbi/RSI2.png?dl=0
Reply
DavidColin ChrisMoody
2 years ago
Exact time period is 8/19/04 - 12/19/14
Reply
stefan.daewoong
2 years ago
Hey Chris for sharing! I've been searching for strategies that are proven to be statistically successful, so this is perfect. Just a small question about your exit condition. Do you exit when the bar touches the 5SMA during the day or only when it closes above/below it?
Reply
Algyros PRO stefan.daewoong
2 years ago
Chris,

You might want to look at the following: http://systemtradersuccess.com/connors-2-period-rsi-update-2014/.

The basic difference between your strategy and the above is that the 10 sma is used as an exit criterion. In addition, a stop loss is used.
Reply
ChrisMoody PRO Algyros
2 years ago
I'll take a look at their Stop Loss Criteria and code it eventually with the changes. Larry never could find a stop loss that improved the results. And I'll test the other changes to make sure they didn't curve fit it...I'll test on exact same criteria I did before.....EVENTUALLY....

Thanks for the post and info though
+1 Reply
Algyros PRO ChrisMoody
2 years ago
Actually, Jeff Swanson says that he was mistaken in his initial backtest and that a stoploss does not improve performance. But, he says that raising the exit criterion to a 10 sma cross does.
Reply
ChrisMoody PRO Algyros
2 years ago
Walking out the door right now...want to reply in detail on this and the comment below...Do me a favor and if I don't reply by tonight post a comment below reminding me...So many messages...it's hard to keep up once I walk away and come back.

Thanks Algyros
Reply
Algyros PRO ChrisMoody
2 years ago
Let this be the reminder you asked for. And, thank you, Chris, for the wealth of information and ideas you share with the Tradingview community.
Reply
ChrisMoody PRO Algyros
2 years ago
Stay on me...My To-Do List is getting long...especially with the new post about questions regarding the TradingView platform...and I'm posting another questions Topic for a Pinescript/Coding video series tomorrow.

But there are a few questions in this thread I need to answer....so I will set aside a few hours soon...
Reply
Cheeno Ren
2 years ago
I have been told by people that some traders are making 200k a day from their own home! Do you guys think thats possible at all? As brokers make the most money, when their clients looses.
Reply
timwest PRO Cheeno Ren
2 years ago
It depends how much money you have to trade with Cheeno Ren. The real questions to ask anyone who trades: What is your average winner, what is your average loser, how many trades per day do you make? How much do you risk on each trade? If you get that information, then I can tell you what is possible in terms of $/day.
+1 Reply
Cheeno Ren timwest
2 years ago
The question is that if broker will let you make that much. I think they will manipulate prices once you make that much, you are a big threat to them as a client.
-1 Reply
Cheeno Ren Cheeno Ren
2 years ago
What i meant is that, if you had enough capital and a good strategy. Is it possible for traders to make 200k a day?
+1 Reply
Neel_K PRO Cheeno Ren
2 years ago
My friend, that is not the question you should be asking, if you are new to this business. I have made this mistake by being driven by how much you could make. ! You should rather ask..how much time i can devote to this to learn it and master it. It is like any other business, if you have a good business idea, ( trading plan) , supported by good discipline and strategy. And if you keep at it..slowly n steadily your business would grow. in return making you money. If you just want to open a shop and start trading...it would be no different than any other life endeavour you undertake. Best wishes.
+2 Reply
Cheeno Ren Neel_K
2 years ago
I have a system that i have used for one year with positive return now and i have been studying trading tor 3 years. I am just afraid my broket will try make me loose to loose my capital. What is the limit the broker will let you make?
Reply
Neel_K PRO Cheeno Ren
2 years ago
if you are good ..n make money. Brokers would ..make more money when you trade more often with them. I'm assuming you are using a regulated broker.

1 -remember each trade that you make - gives commissions to brokers. It is not in their interest if you walk away or they take you out of game al together.
2 - If you have seen the system work, you should have no fear , if you increase the capital. ( as long as the system works.
3- You can always diversify your brokers n run the same trade in many brokers.( if your system allows that much time or is automated) . Remember...your broker can go broke n and pose a risk of never be able to return your money (e.g. brokers who went broke overnight due to SNB Crash.) - Hence again, regulated brokers would "reduce" if not eliminate the risk.
- if you still see your stop being hunted, you can always change to better broker. In my experience Good trades in larger timeframes and regulated brokers are rarely affected by it.
- you can always catch up with guys in chat room n do more research. I will rest this case here. as this is a separate subject than the trading system posted above. There few notes you could check on brokers few fellow traders have posted e.g. https://www.tradingview.com/u/JasperForex/ and i'm sure you with your experience n knowledge will do well. all the best.
Reply
Cheeno Ren Neel_K
2 years ago
I uses Oanda, what do you guys think of this broker in terms of account and trade size?
Reply
Neel_K PRO Cheeno Ren
2 years ago
on a lighter note : http://www.forexlive.com/blog/2015/01/25/the-best-way-to-make-200k-trading-start-with-100-million/
Reply
Cheeno Ren Neel_K
2 years ago
Oanda
Reply
LiyouZhang
2 years ago
Thanks for sharing this! Very good resource for other traders!
There is one small question which I couldn't find the answer in your backtesting document. How much is the initial capital you used in your backtest?
Reply
ChrisMoody PRO LiyouZhang
2 years ago
It shows capital required based on the DrawDowns listed at the top left. You would have to choose based on that number what % Drawdown your willing to take and Adjust Capital Accordingly.

I have several options when adjusting for capital in backtests...One is to put in a Certain Amount of Capital, One is to put in certain amount of Capital per trade, and another is Total Shares per trade.

I chose Total Shares per trade (100) to allow test results to include all trades that happened...to give people an estimate of the total amount of trades they can expect per year based on the number of symbols they use.
Reply
JosephVanderveer ChrisMoody
2 years ago
Chris thanks for the info. here. Very good, cant say enough. I have a few questions that may have been answered or even in your backtest but I want to try and clear them up.

How do you average 789.4 trades in a year on the long side in bull market? That's 65 trades in a month? How is that possible when there are only 21 trading days in a month is we are only trading an index like spy? I am probably missing something here.

Also its hard to come up with the amount of capital required if I don't know the price of the index you were buying. It just says spy, not the exact one, unless you are including all stocks of the spx.

Thanks again for all your help.
Reply
morganj71
2 years ago
Chris
I was part Of Larry's trading group (Chairmans Club). This strategy was always entered on a limit order the next day at a limit of at least 2%. Never market. Filtering system was historical volatility. We traded many systems like this, most with slight variations. These mean reversion systems worked really well. They did slow down a little from 2009- 2013 with the low volatility environment.
Reply
prashanthrayakar morganj71
a year ago
Chris, I think the hardest part is to know when to add the second lot. A stock can keep on going down.
Reply
Hi Chris,

This is a very interesting topic and I stumbled across it by chance. I have been trading this strategy for a while, albeit, with a few variations.

I only buy when the RSI2 is below 5 and not 10. I have found between 5-10 the market occasionally continues to drop for several days. If you can hold out until the RSI is below 5 I have found the market usually reacts better to that. I haven't backtested it but it is a personal preference.

Secondly, I still apply the basics such as a support/resistance and Fibs just to add basic price action into the scenario. I do my basic fundamental checks to ensure price isn't dropping for a fundamental reason (slowing income, reduced profits etc).

Thirdly, as Chris stated the system works a lot better when going with the trend. I only buy in bull markets when the RSI2 is below 5. I tend not to trade bear markets, but when I do I only sell above 95. I won't short in a bull market or buy in bear market.

Finally, I don't close out on the 5 or 10 SMA. I set my profit targets usually at the previous swing highs.

This is purely how I have adapted the system to suit my trading needs and this indicator should be in your arsenal of weapons to help execute trades, not the only one.

I've noticed some posters are asking how to automate this system. People need to remember that an indicator is just an indicator, it is not the holy grail of trading and you should still apply your own trading strategies alongside this system. To blindly follow will only end in tears and an empty wallet.

My advice would be to use a stock screener to apply your filters (below 5 SMA, above 200 SMA, Below 10 RSI2 etc) then use your own knowledge of the markets, apply basic support & resistance levels to the charts and do some fundamental analysis to ensure the company isn't going bankrupt!

Thanks for taking the time to share your results Chris.


+1 Reply
ChrisMoody PRO FollowMyTrades
a year ago
Thanks for your comments. The good news is I just got a sneak peak at the Strategy/Backtesting capability coming to TradingView. Soon you'll be able to get statistical numbers to see if your adjusted method outperforms the method Connors released.
+3 Reply
knatta123 ChrisMoody
a year ago
Chris. you had said 9mos ago. ""I could have coded it a little better. But not worth the time when we have Strategies coming out in December. Then we can code Entries, Profit Targets, Stops with Precision. ""

is the strategy ready?. is the strategy for Amibroker ?


Reply
DigitalMan PRO ChrisMoody
11 months ago
Chris , I know this is an older thread, but the Upper is giving a compilation error message. Can you take a look at it? Most appreciated.
Reply
fhuluman
a year ago
Good day, Chris. This is a brilliant system indeed. I like trading binary options, would you recommend this system or do you have another system that is extremely good for trading binary options?
Reply
EmmanuelArmah fhuluman
a year ago
I have developed the rsi 2,5sma and 200sma for ctrader platform.
Please use this url to download and backtest.
www.ctdn.com/algos/cbots .download pullback strategy.
Reply
prashanthrayakar EmmanuelArmah
a year ago
What has been your experience with using the 5sma stop loss rule, as against not using a stop loss?
Reply
EmmanuelArmah prashanthrayakar
a year ago
when Stop Loss is used ..it affect profit ... so the 5MA is used as Profit taking as well as Stop Loss.. but a gap can cause havoc so i have added Stop Loss Option for traders to use. but when stop loss is used you need to check MaxFeqMins value to stop the algo from opening more trade when yr loss is hit and the conditions that allow the algo to open trade still valid.
Reply
Indeed very impressive, I will try it!
Reply
elazard
a year ago
Hello Chris,

First of all thanks a lot for putting all this together, it's really interesting for a newcomer like me :)
I had a little question tho, it seems that in this indicator, in the lower part, the RSI is getting colored lime even when the RSI doesnt go below 10. I probably misunderstood what the code actually does but from my very limited knowledge it should get the lime color only when the rsi is below 5. So basically am i doing anything wrong or am i just lacking a piece of the puzzle? You can see what i mean on the included screen shot if i messed up the english language too bad :)

Thanks for reading me and sorry for the broken english.

snapshot


Reply
DaChi PRO
a year ago
Hi Chris,
yes is true the system is incredibly simple but effetticve. But it work good in equity markets beacause of their mean revrsion nature that they had devoleped buy the early 2000.
I dont think that the system with the same rules offere the same returns in forex market. This beacuse the momentum nature of forex market.
but this is just my opinion.
All my respect,
David
+1 Reply
LuckyMouse DaChi
a year ago
Very interesting Chris - Thanks for taking the trouble to publish.

For information of readers Pro Realtime can do backtesting, automated trading (both manual setup or coded) and comes free if you trade via IG.com. For v advanced users only is my guess. Looks v sophisticated.

Regards
LM
Reply
doughayman
a year ago
Hi, I brand new here - signed up in Free account - stumbled upon this thread via a Google search. I am an old Wealthlab 3.0 user
(Pascal-based engine), and I still use it today to back-test strategies. Note sure if anyone is interested, but I'll post the WL code
I used to back-test 27 different variations of Connors' RSI(2) strategy, which you guys can use (if you wish) and translate to
Tradeview code accordingly. The code is very readable, IMO, and may provide some impetus for optimization. BTW, I trade the
Connors Composite strategy on equities.

//*******************************************************
// Long Position Optimization Values
{#OptVar1 0;15;30;5} // Stop Loss %
{#OptVar2 500;25;500;25} // RS Threshold
{#OptVar3 5;4;7;1} // MA Period Exit Threshold
{#OptVar4 2;2;5;1} // RSI Period Lookback
{#OptVar5 27;1;5;1} // Designates Algorithm
//*******************************************************

//*******************************************************
// Short Position Optimization Values
// {#OptVar1 0;15;30;5} // Stop Loss %
// {#OptVar2 9500;9500;8000;-25} // RS Threshold
// {#OptVar3 5;4;7;1} // MA Period Exit Threshold
// {#OptVar4 2;2;5;1} // RSI Period Lookback
// {#OptVar5 7;1;10;1} // Designates Algorithm
//*******************************************************



var Bar, ScaleIn, ShareSize, i: integer;
var RSIValue, RSIValue2, RSIValue3, RSIValue4, RSIValue5, R, RCum, P: float;
var LastEntryPrice, R2, RCum2: float;

ClearPositions;
InstallStopLoss (#OptVar1);
for Bar := 200 to BarCount - 1 do
begin
ApplyAutoStops(Bar);
RSIValue := RSI(Bar, #Close, #OptVar4);
RSIValue2 := RSI(Bar-1, #Close, #OptVar4);
RSIValue3 := RSI(Bar-2, #Close, #OptVar4);
RSIValue5 := RSI(Bar-3, #Close, #OptVar4);
RSIValue4 := RSI(Bar, #Close, 4);

// Debug Script
// print(datetostr(getdate(bar)));
// print('Price: ' + floattostr(PriceClose(Bar)) + ' SMA200: ' +
// floattostr(SMA(Bar, #Close, 200)) +
// ' RSI: ' + floattostr(RSIValue) + ' SMA5: ' +
// floattostr(SMA(Bar, #Close, 5)));

// ****************
// Entry Conditions
// ****************

If ActivePositionCount = 0 then
begin
Case #OptVar5 of
1: // Long Entry when RSI < X, and Exit for Price > MA(5)
begin
R := #OptVar2 / 100;
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RSIValue < R) and
(Volume(bar) > 250000)) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
2: // Long Entry when RSI < X, and Exit for RSI > 65
begin
R := #OptVar2 / 100;
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RSIValue < R) and
(Volume(bar) > 250000)) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
3: // Short Entry when RSI > X, and Exit for Price < MA(5)
begin
R := #OptVar2 / 100;
If ((PriceClose(Bar) < SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RSIValue > R) and
(Volume(bar) > 250000)) then
begin
ShortAtClose(Bar, 'Short @ Close');
end;
end;
4: // Short Entry when RSI > X, and Exit for RSI < 35
begin
R := #OptVar2 / 100;
If ((PriceClose(Bar) < SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RSIValue > R) and
(Volume(bar) > 250000)) then
begin
ShortAtClose(Bar, 'Short @ Close');
end;
end;
5: // Long Entry with Limit 5 % below Closing Price, when RSI < X,
// and Exit for Price > MA(5)
begin
R := #OptVar2 / 100;
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RSIValue < R) and
(Volume(bar) > 250000)) then
begin
P := 0.95 * PriceClose(Bar);
BuyAtLimit(Bar+1, P, '10% Limit Buy');
end;
end;
6: // Long Entry with Limit 5 % below Closing Price, when RSI < X,
// and Exit for RSI > 65
begin
R := #OptVar2 / 100;
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RSIValue < R) and
(Volume(bar) > 250000)) then
begin
P := 0.95 * PriceClose(Bar);
BuyAtLimit(Bar+1, P, '10% Limit Buy');
end;
end;
7: // Long Entry with RSI(2) Cum < 35; Exit > MA(5)
begin
R := 35.00;
RCum := RSIValue + RSIValue2;
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RCum < R) and
(Volume(bar) > 250000)) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
8: // Long Entry with RSI(2) Cum < 35; Exit RSI > 65
begin
R := 35.00;
RCum := RSIValue + RSIValue2;
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RCum < R) and
(Volume(bar) > 250000)) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
9: // Short Entry with RSI(2) Cum > 65; Exit < MA(5)
begin
R := 65.00;
RCum := RSIValue + RSIValue2;
If ((PriceClose(Bar) < SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RCum > R) and
(Volume(bar) > 250000)) then
begin
ShortAtClose(Bar, 'Short @ Close');
end;
end;
10: // Short Entry with RSI(2) Cum > 65; Exit RSI < 35
begin
R := 65.00;
RCum := RSIValue + RSIValue2;
If ((PriceClose(Bar) < SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RCum > R) and
(Volume(bar) > 250000)) then
begin
ShortAtClose(Bar, 'Short @ Close');
end;
end;
11: // Double-7 Strategy: Buy on 7-day Low; Exit on 7-day High
begin
If ((PriceClose(Bar) < PriceClose(Bar-1)) and
(PriceClose(Bar) < PriceClose(Bar-2)) and
(PriceClose(Bar) < PriceClose(Bar-3)) and
(PriceClose(Bar) < PriceClose(Bar-4)) and
(PriceClose(Bar) < PriceClose(Bar-5)) and
(PriceClose(Bar) < PriceClose(Bar-6))) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
12: // Double-7 Strategy: Short on 7-day High; Exit on 7-day Low
begin
If ((PriceClose(Bar) > PriceClose(Bar-1)) and
(PriceClose(Bar) > PriceClose(Bar-2)) and
(PriceClose(Bar) > PriceClose(Bar-3)) and
(PriceClose(Bar) > PriceClose(Bar-4)) and
(PriceClose(Bar) > PriceClose(Bar-5)) and
(PriceClose(Bar) > PriceClose(Bar-6))) then
begin
ShortAtClose(Bar, 'Short @ Close');
end;
end;
13: // Long Entry with 3-period RSI(2) Cum < 45; Exit RSI > 65
begin
R := 45.00;
RCum := RSIValue + RSIValue2 + RSIValue3;
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RCum < R) and
(Volume(bar) > 250000)) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
14: // Short Entry with 3-period RSI(2) Cum > 55; Exit RSI < 35
begin
R := 55.00;
RCum := RSIValue + RSIValue2 + RSIValue3;
If ((PriceClose(Bar) < SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RCum > R) and
(Volume(bar) > 250000)) then
begin
ShortAtClose(Bar, 'Short @ Close');
end;
end;
15: // Short Price > Last 4 days; Exit < MA(5)
begin
If ((PriceClose(Bar) > PriceClose(Bar-1)) and
(PriceClose(Bar) > PriceClose(Bar-2)) and
(PriceClose(Bar) > PriceClose(Bar-3)) and
(PriceClose(Bar) > PriceClose(Bar-4))) then
begin
ShortAtClose(Bar, 'Short @ Close');
end;
end;
16: // 3-day High/Low Long Method; Exit > MA(5)
begin
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) < SMA(Bar, #Close, #OptVar3)) and
(PriceHigh(Bar) < PriceHigh(Bar-1)) and
(PriceLow(Bar) < PriceLow(Bar-1)) and
(PriceHigh(Bar-1) < PriceHigh(Bar-2)) and
(PriceLow(Bar-1) < PriceLow(Bar-2)) and
(PriceHigh(Bar-2) < PriceHigh(Bar-3)) and
(PriceLow(Bar-2) < PriceLow(Bar-3)) and
(PriceClose(Bar) > 5.00) and
(Volume(bar) > 250000)) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
17: // 3-day High/Low Short Method; Exit < MA(5)
begin
If ((PriceClose(Bar) < SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > SMA(Bar, #Close, #OptVar3)) and
(PriceHigh(Bar) > PriceHigh(Bar-1)) and
(PriceLow(Bar) > PriceLow(Bar-1)) and
(PriceHigh(Bar-1) > PriceHigh(Bar-2)) and
(PriceLow(Bar-1) > PriceLow(Bar-2)) and
(PriceHigh(Bar-2) > PriceHigh(Bar-3)) and
(PriceLow(Bar-2) > PriceLow(Bar-3)) and
(PriceClose(Bar) > 5.00) and
(Volume(bar) > 250000)) then
begin
ShortAtClose(Bar, 'Short @ Close');
end;
end;
18: // Long Entry when RSI(4) < 25, and Exit for RSI > 55
begin
R := 25.00;
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RSIValue4 < R) and
(Volume(bar) > 250000)) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
19: // Short Entry when RSI(4) > 75, and Exit for RSI < 45
begin
R := 75.00;
If ((PriceClose(Bar) < SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RSIValue4 > R) and
(Volume(bar) > 250000)) then
begin
ShortAtClose(Bar, 'Short @ Close');
end;
end;
20: // Long Entry R3 Strategy; Exit for RSI > 70
begin
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(RSIValue < RSIValue2) and
(RSIValue2 < RSIValue3) and
(RSIValue3 < RSIValue5) and
(RSIValue3 < 60.00) and
(RSIValue < 10.00) and
(PriceClose(Bar) > 5.00) and
(Volume(bar) > 250000)) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
21: // Short Entry R3 Strategy; Exit for RSI < 30
begin
If ((PriceClose(Bar) < SMA(Bar, #Close, 200)) and
(RSIValue > RSIValue2) and
(RSIValue2 > RSIValue3) and
(RSIValue3 > RSIValue5) and
(RSIValue3 > 40.00) and
(RSIValue > 90.00) and
(PriceClose(Bar) > 5.00) and
(Volume(bar) > 250000)) then
begin
ShortAtClose(Bar, 'Buy @ Close');
end;
end;
22: // Long %b Strategy; Exit on %b > 0.8
// According to WL online documentation at:
// wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/topic?id=10852
// %b = (Last - Lower Bollinger Band) /
// (Upper Bollinger Band - Lower Bollinger Band)
begin
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(BBandPercentB(Bar, #Close, 5, 1) < 0.2) and
(BBandPercentB(Bar-1, #Close, 5, 1) < 0.2) and
(BBandPercentB(Bar-2, #Close, 5, 1) < 0.2) and
(PriceClose(Bar) > 5.00) and
(Volume(bar) > 250000)) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
23: // MDD Long Strategy; Exit > MA(5)
begin
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) < SMA(Bar, #Close, 5)) and
((PriceClose(Bar) < PriceClose(Bar-1)) and
(PriceClose(Bar-1) < PriceClose(Bar-2)) and
(PriceClose(Bar-2) < PriceClose(Bar-3)) and
(PriceClose(Bar-3) < PriceClose(Bar-4))) OR
((PriceClose(Bar) < PriceClose(Bar-1)) and
(PriceClose(Bar-1) < PriceClose(Bar-2)) and
(PriceClose(Bar-2) < PriceClose(Bar-3)) and
(PriceClose(Bar-4) < PriceClose(Bar-5))) OR
((PriceClose(Bar) < PriceClose(Bar-1)) and
(PriceClose(Bar-1) < PriceClose(Bar-2)) and
(PriceClose(Bar-3) < PriceClose(Bar-4)) and
(PriceClose(Bar-4) < PriceClose(Bar-5))) OR
((PriceClose(Bar) < PriceClose(Bar-1)) and
(PriceClose(Bar-2) < PriceClose(Bar-3)) and
(PriceClose(Bar-3) < PriceClose(Bar-4)) and
(PriceClose(Bar-4) < PriceClose(Bar-5))) OR
((PriceClose(Bar-1) < PriceClose(Bar-2)) and
(PriceClose(Bar-2) < PriceClose(Bar-3)) and
(PriceClose(Bar-3) < PriceClose(Bar-4)) and
(PriceClose(Bar-4) < PriceClose(Bar-5))) OR
(PriceClose(Bar) > 5.00) and
(Volume(bar) > 250000)) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
24: // Long Entry Scaled TPS; Exit RSI > 70
// In Simulator, make sure to enable the "SetShare/PositionSize"
// Value setting.
begin
ShareSize := 200;
ScaleIn := 0;
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RSIValue < 25.00) and
(RSIValue2 < 25.00) and (Volume(bar) > 250000)) then
begin
SetShareSize(StrToInt(FloatToStr(ShareSize * 0.10)));
LastEntryPrice := PriceClose(Bar);
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
25: // Short Entry Scaled TPS; Exit RSI < 30
// In Simulator, make sure to enable the "SetShare/PositionSize"
// Value setting.
begin
ShareSize := 200;
ScaleIn := 0;
If ((PriceClose(Bar) < SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RSIValue > 75.00) and
(RSIValue2 > 75.00) and (Volume(bar) > 250000)) then
begin
SetShareSize(StrToInt(FloatToStr(ShareSize * 0.10)));
LastEntryPrice := PriceClose(Bar);
ShortAtClose(Bar, 'Short @ Close');
end;
end;
26: // Combination of Strategy # 8 and Strategy # 13
// Long Entry with RSI(2) Cum < 35; Exit RSI > 65 AND
// Long Entry with 3-period RSI(2) Cum < 45; Exit RSI > 65
begin
R := 35.00;
R2 := 45.00;
RCum := RSIValue + RSIValue2;
RCum2 := RSIValue + RSIValue2 + RSIValue3;
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RCum < R) and
(RCum2 < R2) and
(Volume(bar) > 250000)) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
27: // Combination of Strategy # 8, # 13, and # 17
// Long Entry with RSI(2) Cum < 35; Exit RSI > 65 AND
// Long Entry with 3-period RSI(2) Cum < 45; Exit RSI > 65
// 3-day High/Low Short Method; Exit < MA(5)
begin
If ((PriceClose(Bar) < SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > SMA(Bar, #Close, #OptVar3)) and
(PriceHigh(Bar) > PriceHigh(Bar-1)) and
(PriceLow(Bar) > PriceLow(Bar-1)) and
(PriceHigh(Bar-1) > PriceHigh(Bar-2)) and
(PriceLow(Bar-1) > PriceLow(Bar-2)) and
(PriceHigh(Bar-2) > PriceHigh(Bar-3)) and
(PriceLow(Bar-2) > PriceLow(Bar-3)) and
(PriceClose(Bar) > 5.00) and
(Volume(bar) > 250000)) then
begin
ShortAtClose(Bar, 'Short @ Close');
end;
R := 35.00;
R2 := 45.00;
RCum := RSIValue + RSIValue2;
RCum2 := RSIValue + RSIValue2 + RSIValue3;
If ((PriceClose(Bar) > SMA(Bar, #Close, 200)) and
(PriceClose(Bar) > 5.00) and (RCum < R) and
(RCum2 < R2) and
(Volume(bar) > 250000)) then
begin
BuyAtClose(Bar, 'Buy @ Close');
end;
end;

end; // Case Statement
end

// ***************
// Exit Conditions
// ***************

else
begin
Case #OptVar5 of
1: // Long Entry when RSI < X, and Exit for Price > MA(5)
begin
if (PriceClose(Bar) > SMA(Bar, #Close, #OptVar3)) then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
end;
2: // Long Entry when RSI < X, and Exit for RSI > 65
begin
if RSI(Bar, #Close, #OptVar4) > 65 then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
end;
3: // Short Entry when RSI > X, and Exit for Price < MA(5)
begin
if (PriceClose(Bar) < SMA(Bar, #Close, #OptVar3)) then
begin
CoverAtClose(Bar, LastPosition, 'Cover @ Close');
end;
end;
4: // Short Entry when RSI > X, and Exit for RSI < 35
begin
if RSI(Bar, #Close, #OptVar4) < 35 then
begin
CoverAtClose(Bar, LastPosition, 'Cover @ Close');
end;
end;
5: // Long Entry with Limit 5 % below Closing Price, when RSI < X,
// and Exit for Price > MA(5)
begin
if (PriceClose(Bar) > SMA(Bar, #Close, #OptVar3)) then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
end;
6: // Long Entry with Limit 5 % below Closing Price, when RSI < X,
// and Exit for RSI > 65
begin
if RSI(Bar, #Close, #OptVar4) > 65 then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
end;
7: // Long Entry with RSI(2) Cum < 35; Exit > MA(5)
begin
if (PriceClose(Bar) > SMA(Bar, #Close, #OptVar3)) then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
end;
8: // Long Entry with RSI(2) Cum < 35; Exit RSI > 65
begin
if RSI(Bar, #Close, #OptVar4) > 65 then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
end;
9: // Short Entry with RSI(2) Cum > 65; Exit < MA(5)
begin
if (PriceClose(Bar) < SMA(Bar, #Close, #OptVar3)) then
begin
CoverAtClose(Bar, LastPosition, 'Cover @ Close');
end;
end;
10: // Short Entry with RSI(2) Cum > 65; Exit RSI < 35
begin
if RSI(Bar, #Close, #OptVar4) < 35 then
begin
CoverAtClose(Bar, LastPosition, 'Cover @ Close');
end;
end;
11: // Double-7 Strategy: Buy on 7-day Low; Exit on 7-day High
begin
If ((PriceClose(Bar) > PriceClose(Bar-1)) and
(PriceClose(Bar) > PriceClose(Bar-2)) and
(PriceClose(Bar) > PriceClose(Bar-3)) and
(PriceClose(Bar) > PriceClose(Bar-4)) and
(PriceClose(Bar) > PriceClose(Bar-5)) and
(PriceClose(Bar) > PriceClose(Bar-6))) then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
end;
12: // Double-7 Strategy: Short on 7-day High; Exit on 7-day Low
begin
If ((PriceClose(Bar) < PriceClose(Bar-1)) and
(PriceClose(Bar) < PriceClose(Bar-2)) and
(PriceClose(Bar) < PriceClose(Bar-3)) and
(PriceClose(Bar) < PriceClose(Bar-4)) and
(PriceClose(Bar) < PriceClose(Bar-5)) and
(PriceClose(Bar) < PriceClose(Bar-6))) then
begin
CoverAtClose(Bar, LastPosition, 'Cover @ Close');
end;
end;
13: // Long Entry with 3-period RSI(2) Cum < 45; Exit RSI > 65
begin
if RSI(Bar, #Close, #OptVar4) > 65 then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
end;
14: // Short Entry with 3-period RSI(2) Cum > 55; Exit RSI < 35
begin
if RSI(Bar, #Close, #OptVar4) < 35 then
begin
CoverAtClose(Bar, LastPosition, 'Cover @ Close');
end;
end;
15: // Short Price > Last 4 days; Exit < MA(5)
begin
if (PriceClose(Bar) < SMA(Bar, #Close, #OptVar3)) then
begin
CoverAtClose(Bar, LastPosition, 'Cover @ Close');
end;
end;
16: // 3-day High/Low Short Method; Exit > MA(5)
begin
if (PriceClose(Bar) > SMA(Bar, #Close, #OptVar3)) then
begin
CoverAtClose(Bar, LastPosition, 'Cover @ Close');
end;
end;
17: // 3-day High/Low Short Method; Exit < MA(5)
begin
if (PriceClose(Bar) < SMA(Bar, #Close, #OptVar3)) then
begin
CoverAtClose(Bar, LastPosition, 'Cover @ Close');
end;
end;
18: // Long Entry when RSI(4) < 25, and Exit for RSI > 55
begin
if RSI(Bar, #Close, 4) > 55 then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
end;
19: // Short Entry when RSI(4) > 75, and Exit for RSI < 45
begin
if RSI(Bar, #Close, 4) < 45 then
begin
CoverAtClose(Bar, LastPosition, 'Cover @ Close');
end;
end;
20: // Long Entry R3 Strategy; Exit for RSI > 70
begin
if RSI(Bar, #Close, #OptVar4) > 70 then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
end;
21: // Short Entry R3 Strategy; Exit for RSI < 30
begin
if RSI(Bar, #Close, 4) < 30 then
begin
CoverAtClose(Bar, LastPosition, 'Cover @ Close');
end;
end;
22: // Long %b Strategy; Exit on %b > 0.8
begin
If (BBandPercentB(Bar, #Close, 5, 1) > 0.8) then
begin
SellAtClose(Bar, LastPosition, 'Buy @ Close');
end;
end;
23: // MDD Long Strategy; Exit > MA(5)
if (PriceClose(Bar) > SMA(Bar, #Close, #OptVar3)) then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
24: // Long Entry Scaled TPS; Exit RSI > 70
begin // Liquidate Position(s)
if RSI(Bar, #Close, #OptVar4) > 70 then
begin
for i := 0 to PositionCount-1 do
begin
if PositionActive(i) then
SellAtClose(Bar, i, 'Sell @ Close');
end;
ScaleIn := 0;
end
else
begin // Scale in further if applicable
If ((PriceClose(Bar) < LastEntryPrice) and (ScaleIn < 3)) then
begin // Scale in at next level
ScaleIn := ScaleIn + 1;
case ScaleIn of
1: SetShareSize(StrToInt(FloatToStr(ShareSize * 0.20)));
2: SetShareSize(StrToInt(FloatToStr(ShareSize * 0.30)));
3: SetShareSize(StrToInt(FloatToStr(ShareSize * 0.40)));
end;
LastEntryPrice := PriceClose(Bar);
BuyAtClose(Bar, 'Buy @ Close');
end;
end;
end;
25: // Short Entry Scaled TPS; Exit RSI < 30
begin // Liquidate Position(s)
if RSI(Bar, #Close, #OptVar4) < 70 then
begin
for i := 0 to PositionCount-1 do
begin
if PositionActive(i) then
CoverAtClose(Bar, i, 'Cover @ Close');
end;
ScaleIn := 0;
end
else
begin // Scale in further if applicable
If ((PriceClose(Bar) > LastEntryPrice) and (ScaleIn < 3)) then
begin // Scale in at next level
ScaleIn := ScaleIn + 1;
case ScaleIn of
1: SetShareSize(StrToInt(FloatToStr(ShareSize * 0.20)));
2: SetShareSize(StrToInt(FloatToStr(ShareSize * 0.30)));
3: SetShareSize(StrToInt(FloatToStr(ShareSize * 0.40)));
end;
LastEntryPrice := PriceClose(Bar);
ShortAtClose(Bar, 'Short @ Close');
end;
end;
end;
26: // Combination of Strategy # 8 and Strategy # 13
// Long Entry with RSI(2) Cum < 35; Exit RSI > 65 AND
// Long Entry with 3-period RSI(2) Cum < 45; Exit RSI > 65
begin
if RSI(Bar, #Close, #OptVar4) > 65 then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
end;
27: // Combination of Strategy # 8, # 13, and # 17.
// Long Entry with RSI(2) Cum < 35; Exit RSI > 65 AND
// Long Entry with 3-period RSI(2) Cum < 45; Exit RSI > 65
// 3-day High/Low Short Method; Exit < MA(5)
begin
if (PriceClose(Bar) < SMA(Bar, #Close, #OptVar3) and
(PositionShort(LastPosition))) then
begin
CoverAtClose(Bar, LastPosition, 'Cover @ Close');
end;
if ((RSI(Bar, #Close, #OptVar4) > 65) and
(PositionLong(LastPosition))) then
begin
SellAtClose(Bar, LastPosition, 'Sell @ Close');
end;
end;

end; // Case Statement

//*************************************************************************
// Timed Exit Logic for Losing Trades - NOT USED
// if (((Bar - PositionEntryBar(LastPosition)) > 3)) and
// (PriceClose(Bar) < PositionEntryPrice(LastPosition)) then
// begin
// SellAtClose(Bar, LastPosition, 'Sell @ Timed Exit');
// end;
//*************************************************************************
end; // Else
end;
+3 Reply
Reekardo doughayman
a year ago
is there a good site on the web for learning how to backtest? thanks
Reply
muslim_islam14
a year ago
http://00-up.com/do.php?imgf=1446298199831.jpg
Reply
christowm
a year ago
Chris, can you please repost the code? The pastebin URLs are no longer valid. Thank you in advance.
Reply
luciomorra
a year ago
It can be used in any stock??? why stocks is better to trade?
Reply
DaneKapoor luciomorra
a year ago
Im trying to optimize this strategy for the forex markets. I have created a java robot for use on jforex, however i am no where near getting the same results as you did on forex backtesting for 5 years. are you able to comment on whats settings you used for forex and how did the strategy perform on one of the majors individually such as the eurusd
Reply
EmmanuelArmah DaneKapoor
a year ago
I have the algo for mt4 and ctrader send mebyour email ...mine is emmalleres@ gmail.com
Reply
DaneKapoor
a year ago
Im trying to optimize this strategy for the forex markets. I have created a java robot for use on jforex, however i am no where near getting the same results as you did on forex backtesting for 5 years. are you able to comment on whats settings you used for forex and how did the strategy perform on one of the majors individually such as the eurusd
Reply
paststat
11 months ago
checked the same ,for $SPY with entry set as at close when RSI(2) is below and exit set to a higher close in next five days , otherwise with a loss at the fifth trading day , since Y2K to Dec 2015
results
75 trades ,
68 wins ,
avg per trade at 1.3% , median at 0.83 % ,
avg win trade at 1.74% , avg loss trade at -3.02%
with a profit factor of 5.6

http://paststat.com/home/backtest/7373/RSI2Blw2,/first_positive_prsnt/2000-01-01/2016-01-10


+2 Reply
KarstenReuss
2 months ago
Thanks for posting this trading idea.
I created a simulation model with 40 German mid caps (2008-2016) that simulates a virtual investor who follows a trading system. Basically he decides the end of the day based on Closings what to do and gets in the market with the Opening prices of the next day. If he doesn't have enough cash left however, he cannot buy any additional stocks even if there are more buying signals. His watchlist is always the same 40 stocks, with the first ones having a higher priority in case he's out of cash.

The benchmark Buy-Hold strategy: Buy each stock with 1/40 of the starting capital and hold it forever.

The results of the RIS-2 strategy:

Starting capital (2008)= 20,000 € ; Order Volume = 2,000 €; Costs per Trade = 10 €; capital in August 2016 RIS-2: 13,525 €; capital in August 2016 Buy+Hold: 32,320 €
Starting capital (2008)= 20,000 € ; Order Volume = 4,000 €; Costs per Trade = 10 €; capital in August 2016 RIS-2: 30,135€; capital in August 2016 Buy+Hold: 32,320 €
Starting capital (2008)= 20,000 € ; Order Volume = 6,000 €; Costs per Trade = 10 €; capital in August 2016 RIS-2: 35,466€; capital in August 2016 Buy+Hold: 32,320 €
Starting capital (2008)= 20,000 € ; Order Volume = 8,000 €; Costs per Trade = 10 €; capital in August 2016 RIS-2: 33,061€; capital in August 2016 Buy+Hold: 32,320 €

Starting capital (2008)= 200,000 € ; Order Volume = 20,000 €; Costs per Trade = 50 €; capital in August 2016 RIS-2: 335,244 €; capital in August 2016 Buy+Hold: 326,584 €
Starting capital (2008)= 200,000 € ; Order Volume = 40,000 €; Costs per Trade = 50 €; capital in August 2016 RIS-2: 335,244 €; capital in August 2016 Buy+Hold: 490,889 €
Starting capital (2008)= 200,000 € ; Order Volume = 60,000 €; Costs per Trade = 50 €; capital in August 2016 RIS-2: 335,244 €; capital in August 2016 Buy+Hold: 555,016 €
Starting capital (2008)= 200,000 € ; Order Volume = 80,000 €; Costs per Trade = 50 €; capital in August 2016 RIS-2: 335,244 €; capital in August 2016 Buy+Hold: 622,629 €

Starting capital (2008)= 20,000 € ; Order Volume = 2,000 €; Costs per Trade = 1 €; capital in August 2016 RIS-2: 13,525 €; capital in August 2016 Buy+Hold: 53,495 €

So yeah, this trategy indeed works very well. In some cases. More particularly, if your costs per trade are low, because it has so many trades. For good results the costs per trade should be around 0.1 percent or lower. You need a good broker and a decent amount of money, the order volume mustn't be too small and hence the market capitalization of the stocks you buy shouldn't be too low.
Reply
slavkomae
2 months ago
Hi Chris -- the pastebin links no longer work. Is there anywhere else I can find the code for the indicators and the strategy?

Thanks in advance!
Reply
camaross1925
2 months ago
Thanks for posting this strategy. I have back tested with CQG and it is impressive. However the exit puzzles me. I believe you're getting better exits than you would in real-time, the reason being using a SMA as an exit with daily bars will give you bad data. For example say price has moved passed the SMA intraday and you exit at X, but through out the day the SMA keeps moving along with the price so the end of the day SMA might be X + 5 or X -2. The only way I see to get around this is exit on close if the price is passed the SMA but of course that gives worse results. I guess another way to do it would be to use yesterdays SMA since that's fixed but once again the results won't be as good.

Correct me if I'm wrong or misunderstand.

Thanks,
Eric
Reply
metroplex camaross1925
2 months ago
No - You are 100% correct. You have cited the major design flaw with ALL of larry connor's strategies. They are great academic strategies but fall apart in real trading. The worst part is that he does not offer any realtime historical results with any strategy. Cheers...
Reply
G13Man
13 days ago
so is any one coded and tested this recently ?
profitably ?
thanks
Reply
ericesquire PRO G13Man
2 days ago
@G13Man, did you ever get a reply for this? I'd like to get this trategy ported to Quantopian - anyone want to team up on it, I'm down.
Reply
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