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Blumengasse miniSP500 daily strategy

Pere · 2018-01-29T08:42:10+00:00

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.

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Blumengasse miniSP500 daily strategy

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01/29/2018 at 9:42 AM #60588 quote

Pere
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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 Blumengasse-SP500-1.itf

01/29/2018 at 11:07 AM #60817 quote

Sonia
Participant

Average

Super Pere, thank you

01/29/2018 at 11:46 AM #60827 quote

Nicolas
Keymaster

Legend

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, 8 months ago.

Topic Details

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

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Blumengasse miniSP500 daily strategy

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Blumengasse miniSP500 daily strategy ProOrder: Automated Strategies & Backtesting

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Blumengasse miniSP500 daily strategy

ProOrder: Automated Strategies & Backtesting