Blumengasse miniSP500 daily strategy

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  • #60588 quote
    Pere
    Participant
    Veteran

    This is a simple strategy for the miniSP500 using the cumulated RSI of 2 periods, starting with a low capital like 3.000€.

    The results since 2011 are spectacular, and the drawdown does not exceed the 10%.

    The same strategy can also be used in other indices, optimizing the values of the two moving average and the entry point.

    screen-shot-at-am-1516962476clp84.png screen-shot-at-am-1516962476clp84.png Blumengasse-SP500-1.itf
    #60817 quote
    Sonia
    Participant
    Average

    Super Pere, thank you

    #60827 quote
    Nicolas
    Keymaster
    Master

    Hi @Pere, I moved your code submission from the Library to this topic for a better comprehension of how you found your variables periods.

    Mean reverting strategy built with RSI2 are indeed very effective in a strong bullish market, and of course way better with optimized variables, but did you try a simple 70/30% validation for them?

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Blumengasse miniSP500 daily strategy


ProOrder: Automated Strategies & Backtesting

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Pere @petrus Participant
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This topic contains 2 replies,
has 3 voices, and was last updated by Nicolas
8 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 01/29/2018
Status: Active
Attachments: 2 files
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