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

Hello!

Could re-upload your PDF please? Your Dropbox link doesn't work.
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I keep getting errors when I cut and paste the code
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@ChrisMoody I've gone through a number of strategies here on TV and find all strategies interesting on the approach. Thank you for your contributions here on TV I have found all of your indicators/strategies worth-while. After reading comments, it is sad on the number of traders that ask for your specific system. These traders are the largest majority of people who lose money in the markets and will never make it as a trader unless they change their approach to trading. These same people 'want' to learn without putting in the demo time, reading books, watching videos, etc. Thanks again!
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so is any one coded and tested this recently ?
profitably ?
thanks
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@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.
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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
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metroplex camaross1925
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...
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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!
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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.
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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


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