Rule-Based Trading Systems

[Hamiltonie]

Ok - below is a little more clarification on that specific test:

short entry when RSI(2) is greater than 95
close the short when RSI(2) falls below 50

long entry when RSI(2) is less 5
close the long when RSI(2) goes above 50

The strategy compounds, starting with a fictious account net worth of 10,000. Each position taken would be for current account net worth X 2.

I have to agree with you it does look like a very simple stategy that has very tasty returns.

Marc - have you guys thought about other indicators like %R and CCI for extremes ? and any conclusions ?