PereParticipant
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.
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?