Friday, December 23, 2016 11:27:58 PM
5-day RSI for entries and the Chandelier Exit for exits.
Comparing the Results
Looking at the two tables, it is clear that the tighter of the two exits improved the results (Chandelier (22,1)). I noticed that the Compound Annual Return was generally higher when catching the falling knife (first table) and the Maximum Drawdowns were generally less when waiting for RSI to move back above 30 (second table). This looks like a classic trade-off of less return for less risk. It seems that QQQ and SPY perform better when buying an RSI cross below 30 (first table) and IJR performs better when buying an RSI cross above 30 (second table). This is not surprising because large-caps act different than small-caps. IJR is clearly the best performer on both tables.
12/17 http://stockcharts.com/members/articles/arthurhill/2016/12/systemtrader---testing-a-mean-reverion-system-with-the-chandelier-exit-spy-qqq-ijr---rsi5.html
Comparing the Results
Looking at the two tables, it is clear that the tighter of the two exits improved the results (Chandelier (22,1)). I noticed that the Compound Annual Return was generally higher when catching the falling knife (first table) and the Maximum Drawdowns were generally less when waiting for RSI to move back above 30 (second table). This looks like a classic trade-off of less return for less risk. It seems that QQQ and SPY perform better when buying an RSI cross below 30 (first table) and IJR performs better when buying an RSI cross above 30 (second table). This is not surprising because large-caps act different than small-caps. IJR is clearly the best performer on both tables.
12/17 http://stockcharts.com/members/articles/arthurhill/2016/12/systemtrader---testing-a-mean-reverion-system-with-the-chandelier-exit-spy-qqq-ijr---rsi5.html
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