"RSI-2 Strategy" from Larry Connors for ProRealTime

Hi all !

Here is the backtest that I made, from the « RSI-2 Strategy » of Larry Connors.

He’s also the co-author of the « Cumulative RSI » Strategy.

It took me 5 minutes to write the code, as the rules are very simple : no need to detail them.

Even if the strategy is positive on many stocks, indices, I don’t find it that great.

But you are free to test it and why not improve it.

The picture shows the CAC40 for the last 20 years.

Best Regards,

DEFPARAM CumulateOrders = False

n = 2

// Conditions pour ouvrir une position acheteuse

MM200 = Average[200](close)

MM5 = Average[5](close)

RSI2 = RSI[2](close)

c1 = close > MM200

c2 = close < MM5

c3 = RSI2 < 10

IF c1 AND c2 AND c3 THEN

BUY n SHARES AT MARKET

ENDIF

// Conditions pour fermer une position acheteuse

c4 = close > MM5

IF c4 THEN

SELL AT MARKET

ENDIF

// Conditions pour ouvrir une position en vente à découvert

c1v = close < MM200

c2v = close > MM5

c3v = RSI2 > 90

IF c1v AND c2v AND c3v THEN

SELLSHORT n SHARES AT MARKET

ENDIF

// Conditions pour fermer une position en vente à découvert

c4v = close < MM5

IF c4v THEN

EXITSHORT  AT MARKET

ENDIF

Download

Filename: RSI2-Strategy.itf

Downloads: 641

Comments

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TheHovisTrader

6 years ago

Hi - the way Larry trades it does not work - discovered that over 10 years ago! BUT If you trade it using specific price formations it works super well

air

10 years ago

Good start. Works decently during stock runaway bull market. I have tested it over 80 year period (DJ industrial) and it is not profitable during many years.

Doctrading

11 years ago

Hello,

You are right, this system isn't designed for day trading.

In my opinion, RSI with short periods work well for daily candles (there are plenty of strategies with RSI2, RSI5, etc.), but not for intraday trading, where there can happen big moves.

zilliq

11 years ago

Even for bigger Ut (here 15 mn)

http://zupimages.net/up/16/13/1e63.png

May be it will be optimize

Nicolas

10 years ago

RSI is an oscillator made for price centering. This strategy bet on mean reverting phenomena. I'm pretty sure that 2 bars of 1 minute can't define this! :)

zilliq

11 years ago

Hi,

Sadly, as I thought, the results on 1mn UT are catastrophic :-( for Intraday trader

zilliq

11 years ago

Hi,

Sadly, as I thought, the results on 1mn UT are catastrophic :-( for Intraday trader

Doctrading

11 years ago

Here is the new picture :

http://www.doctrading.fr/wp-content/uploads/2016/03/RSI-2-strategy-n4.png

and the new backtest :

http://www.doctrading.fr/wp-content/uploads/2016/03/RSI-2-backtest-n4.png

more profitable !

Happy trading to all

Doctrading

11 years ago

My apologies to all :

with this new line, backtest show less brute gains, but far less drawdown and better profit factor (from 1,5 to >2).

Test it if you want :)

Doctrading

11 years ago

There is an error at line 41.
It should be :

c3v = RSI2 > 90

On the CAC40, it gives better result with the error...

Sorry for it

Madrosat

11 years ago

Bonjour

ne pensez vous pas que ligne 41 il faudrait C3v >90 plûtot que C3v <90??

Félicitations pour ce site

Madrosat