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Do Or Die

Regime Adjusted RSI System

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This follows from the discussions Trading Regime Analysis Using RSI

Trading on daily time frame:

  • Using RSI(10) and look back period of 25 bars
  • Buy when the RSI suggests uptrend AND it bounces off from 40-50 level
  • Trade delay is applied with buying at next bar open for realistic trades
  • Initial stop is (Low of Buy bar - twice average bar range) ; protective stop of 15% throughout the trade
  • Sell when stop is hit or RSI changes trend.
  • Long-only, because on daily time frame speed of downtrend tends to be much higher than uptrend, and so symmetric conditions for Long/Short do not work
  • Tested on a random sample of around 75 stocks. Max open positions are 4 and 25% of equity per trade
  • No optimization at any stage

Trade log for the same stock discussed in previous thread- PEP is attached.

Result:

Net % Profit:358.7% Exposure %:69.69 CAR:18.82% Max. Sys Drawdown -29.38% # Trades:165 % of Winners:43 % of Losers:57

attachment.php?attachmentid=26713&stc=1&d=1321638109

attachment.php?attachmentid=26714&stc=1&d=1321638113

 

 

Trading on Intraday (1-minute) time frame:

  • Using RSI(10) and look back period of 25 bars
  • Same Buy/Sell rule as above
  • Symmetric Short/Cover rules applied
  • All trades initiated after 10 and closed by 3:45
  • Entry delayed by open price of next bar after signal, to account for slippage; other trading costs excluded
  • Tested for past six weeks on same list of stocks

Trade log for AAPL as discussed here is attached.

Net % Profit:10.44% Exposure %:66.39 CAR:159.64% Max. Sys Drawdown -5.05% # Trades:814 % of Winners:36.61% of Losers:63.39%

attachment.php?attachmentid=26715&stc=1&d=1321638113

1.png.c470470f399411d4e7dd4bdb97c346b1.png

2.png.1a5a5d711f99c9b88f4f658117f45e6f.png

11.png.f080cbbe00cbf03d360d6505fab14e9b.png

PEP trades.xls

AAPL intraday trades.xls

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Confused a bit here.

 

You state:

 

Using RSI(10) and look back period of 25 bars

 

But that looks to me you're using a RSI with a 10 period (last 10 bars), so what's up with the look back period of 25...?

 

Other than that: like your posts and explanation. Nice work.

 

Cheers,

 

R.

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Hi,

 

Please refer the title 'Trading Regime Analysis Using RSI' as mentioned above.

 

RSI(10) is used, looking back upto 25 bars of history only to decide whether the trend is upside, downside or ranging.

 

Cheers.

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