S&P 500 daily RSI(2) long short strategy

S&P 500 daily RSI(2) long short strategy

Hi all,

Have a look to this daily strategy on S&P 500. I guess many of you already know it, as it is made very famous by Larry Connors, I just added a bit of asymmetry between long and short, but the code is still extremely light, with only 2 parameters optimized and a stable performance of over 20 year!

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  1. maorai • 10/21/2017 #

    hi Francesco,
    the variables a and b are missing !!
    thanks for clarify it

  2. Francesco78 • 10/21/2017 #

    a = 10 b = 30, if you run the optimization this is what you will get

  3. Vonasi • 10/21/2017 #

    I’m a big fan of anything with Larry Connors on the SP500 with RSI[2]. I notice that your exit criteria are different for long and short positions. A long position needs a down candle to exit but the short positions exit on up or down candles. Can you explain any logical reasoning behind this or is it just something that seemed to work better?

  4. Francesco78 • 10/21/2017 #

    Hi Vonasi. The logic is based in the fact that the market has a bias to go up. This asymmetry allows long positions to have an “advantage” over short positions.

  5. Vonasi • 10/21/2017 #

    It seems that buy and hold outperforms this strategy. Removing the short side of the strategy (I’m not keen on shorting indices especially the SP500) results in close to buy and hold performance without the amount of time in the market and far less volatility in the equity curve. Not many trades though. Settings of 15 and 35 seem to be optimal for this.

  6. quietlife • 363 days ago #

    HI. My first post on PRC. I tied this on UKX I am limited with 2500 bars, but the results looked very good.

  7. Robin von Bauhn • 342 days ago #

    Nice strategy! Really like the stuff you are posting. Although the performance on the short side is quite bad when in raging bull markets. So try out my favourite filter; close > close[180] (or anywhere between 100-250) for longs and opposite for shorts. Greatly reduces drawdown 🙂

  8. Francesco78 • 341 days ago #

    hi Robin, thank you for yiur comment. Would you mind to post the exact modification to the code that you make? Id love to test it. have a great day.

  9. Robin von Bauhn • 340 days ago #

    Here you go! Would like to hear your feedback 🙂

    cl = RSI[2]100-a

    if cl and close > close[180] then
    buy 5 contracts at market
    endif

    if cs and close 100-(a+b) then
    sell at market
    endif

    if shortonmarket and RSI[2]<(a+b) then
    exitshort at market
    endif

  10. Francesco78 • 340 days ago #

    Sorry there might be few typos, pls send the full code.
    Thank you

  11. Robin von Bauhn • 340 days ago #

    Oh, it’s “cs” that’s missing. I don’t have the code right now but it’s the exact same conditions as in your code above so you can copy it from there. But as you might see I made the sides more symmetrical and removed “close < open" as condition for long exit

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