Replies to post #15532 on ETF SWING & DAY TRADING

[positiontrader]

Nocona,

Plus one last trade in 2005 that started today.

This is probably the best strategy on the short side and only in a bear mode.

RSI 2 Strategy Rules for Sells

1. The index (SPX, NDX, SOX) is below its 200-day MA

2. The 2-period RSI of the index rises 3 days in a row

3. The first rising day (day #1) of the 2-period RSI must be above the 40 benchmark

4. Today the 2-period RSI is above 90

5. Sell short on today's close

6. Exit at the close when the 2-period RSI closes below 25


Regards

Marc


Results from Metal

Here are the short results.

If you have any questions, please post. There are alot here that have done system backtesting, optimization, and tweaking and are very willing to help.

Metal

[e-mail]

AmiBroker System Test ReportSettings

Initial Equity:10000Periodicity/Positions:Daily/ Short
Commissions:0.00 (Use portfolio settings)Annual interest rate:0.00%
Range:1/1/1995 00:00:00 - 12/31/2005Apply to:Current Symbol
Margin requirement:100Futures mode:No
Def. round lot size:0Def. Tick Size0
Drawdowns based on:High/Low prices
Long trades
Buy price:CloseSell price:Close
Buy delay:0Sell delay:0
Short trades
Short price:CloseCover price:Close
Short delay:0Cover delay:0
Stops
Maximum loss:disabledProfit target:disabled
Value:1.30Value:0.00
Exit at stop?yesExit at stop?no

Trailing stop:disabled
Value:0.00
Exit at stop?no

Formula

//PositionSize=10000;
Length=Optimize("MA Length",200,20,300,5);
//Length=270;
Sell_level=Optimize("Sell Level",75,55,95,1);
r1=IIf(Close>MA(Close,Length),1,0);
RSI2=IIf(RSI(2)<Ref(RSI(2),-1),1,0);
r2=IIf(Ref(RSI2,-2) AND Ref(RSI2,-1) AND RSI2,1,0);
r3=IIf(r1 AND r2 AND Ref(RSI(2),-2)<=60,1,0);
r4=IIf(RSI(2)<10,1,0);
RSI2_5=Sum(RSI2,5);
r5=IIf(RSI2_5==5,1,0);
Buy=IIf((r2 AND r3 AND r4),1,0);
Sell=IIf(RSI(2)>Sell_level,1,0);
Buy = ExRem( Buy, Sell ) ;
Sell = ExRem( Sell, Buy );

r1_s=IIf(Close<MA(Close,200),1,0);
RSI2_s=IIf(RSI(2)>Ref(RSI(2),-1),1,0);
r2_s=IIf(Ref(RSI2_s,-2) AND Ref(RSI2_s,-1) AND RSI2_s,1,0);
r3_s=IIf(r2_s AND Ref(RSI(2),-2)>40,1,0);
r4_s=IIf(RSI(2)>90,1,0);
Short=IIf(r1_s AND r2_s AND r3_s AND r4_s,1,0);
Cover=IIf(RSI(2)<25,1,0);
Short = ExRem(Short,Cover);
Cover = ExRem(Cover,Short);


Overall performance summary

Total net profit:2122.24 Total commissions paid:0.00
Return on account:21.22 % Open position gain/loss0.00
Buy&Hold profit:17708.61 Bars (avg. days) in test:2752 (3987)
Buy&Hold % return:177.09% System to Buy&Hold index:-88.02%

Annual system % return:1.78% Annual B&H % return:9.78%

System drawdown:-523.02 B&H drawdown:-19.66
Max. system drawdown:-1100.16 B&H max. drawdown:-17186.54
Max. system % drawdown:-10.57% B&H max. % drawdown:-50.52%
Max. trade drawdown:-936.30
Max. trade % drawdown:-9.10%
Trade drawdown:-832.54

Total number of trades:26 Percent profitable:69.2%
Number winning trades:18 Number losing trades:8
Profit of winners:3640.87 Loss of losers:-1518.63
Total # of bars in winners:93 Total # of bars in losers:85
Commissions paid in winners:0.00 Commissions paid in losers:0.00

Largest winning trade:523.00 Largest losing trade:-607.87
# of bars in largest winner:4 # bars in largest loser:19
Commission paid in largest winner:0.00 Commission paid in largest
loser:0.00

Average winning trade:202.27 Average losing trade:-189.83
Avg. # of bars in winners:5.2 Avg. # bars in losers:10.6
Avg. commission paid in winner:0.00 Avg. commission paid in loser:0.00
Max consec. winners:5 Max consec. losers:2

Bars out of the market:2574 Interest earned:0.00

Exposure:6.5% Risk adjusted ann. return:27.48%
Ratio avg win/avg loss:1.07 Avg. trade (win & loss):81.62
Profit factor:2.40

Performance for SPY

Total net profit:2122.24 Total commissions paid:0.00
Return on account:21.22 % Open position gain/loss0.00
Buy&Hold profit:17708.61 Bars (days) in test:2752 (3987)
Buy&Hold % return:177.09% System to Buy&Hold index:-88.02%

Annual system % return:1.78% Annual B&H % return:9.78%

System drawdown:-523.02 B&H drawdown:-19.66
Max. system drawdown:-1100.16 B&H max. drawdown:-17186.54
Max. system % drawdown:-10.57% B&H max. % drawdown:-50.52%
Max. trade drawdown:-936.30
Max. trade % drawdown:-9.10%
Trade drawdown:-832.54

Total number of trades:26 Percent profitable:69.2%
Number winning trades:18 Number losing trades:8
Profit of winners:3640.87 Loss of losers:-1518.63
Total # of bars in winners:93 Total # of bars in losers:85
Commissions paid in winners:0.00 Commissions paid in losers:0.00

Largest winning trade:523.00 Largest losing trade:-607.87
# of bars in largest winner:4 # bars in largest loser:19
Commission paid in largest winner:0.00 Commission paid in largest
loser:0.00

Average winning trade:202.27 Average losing trade:-189.83
Avg. # of bars in winners:5.2 Avg. # bars in losers:10.6
Avg. commission paid in winner:0.00 Avg. commission paid in loser:0.00
Max consec. winners:5 Max consec. losers:2

Bars out of the market:2574 Interest earned:0.00

Exposure:6.5% Risk adjusted ann. return:27.48%
Ratio avg win/avg loss:1.07 Avg. trade (win & loss):81.62
Profit factor:2.40

Trade list for SPY
TradeEntry dateEntry priceExit dateExit priceNet ProfitEquity value
Short9/16/1998105.00009/30/1998101.7500309.523810309.5238
Short10/16/1998106.000011/11/1998112.2500-607.87299701.6509
Short10/22/1999130.090010/26/1999127.8100170.03429871.6852
Short10/31/2000142.950011/8/2000140.5600165.046010036.7311
Short12/28/2000133.72001/2/2001128.8100368.534110405.2653
Short1/18/2001134.78002/2/2001134.8000-1.544410403.7209
Short3/8/2001127.12003/9/2001123.3600307.725110711.4460
Short3/27/2001118.31004/2/2001114.2000372.107611083.5536
Short4/12/2001118.85004/24/2001121.5800-254.591010828.9626
Short4/27/2001125.78005/3/2001125.210049.073810878.0364
Short5/16/2001128.95005/23/2001129.2500-25.307810852.7286
Short6/5/2001128.80006/8/2001127.0000151.668811004.3974
Short6/21/2001123.82006/25/2001121.7200186.635611191.0330
Short7/2/2001124.13007/5/2001121.6800220.881311411.9143
Short7/31/2001121.35008/6/2001120.300098.743011510.6573
Short10/4/2001107.440010/9/2001105.9600158.561211669.2185
Short11/5/2001110.680011/21/2001114.0400-354.251711314.9667
Short12/19/2001115.790012/31/2001114.3000145.602211460.5689
Short7/30/200290.94008/2/200286.7900522.997311983.5662
Short10/15/200288.700010/24/200288.360045.934312029.5005
Short11/5/200291.850011/8/200289.6500288.131412317.6318
Short11/15/200291.400011/26/200291.7000-40.429212277.2026
Short1/2/200391.07001/15/200392.4000-179.298412097.9042
Short3/17/200386.78003/28/200386.71009.758612107.6628
Short7/30/2004110.84008/4/2004110.200069.910712177.5735
Short8/18/2004110.03008/30/2004110.5300-55.337512122.2360



"Don't Panic!"

[fishbait]

VTO Modified:Nocona

Now that's alota work.
Thanks


Interesting: Its best returns were in the big down years. Odd for a system that only goes long. Counter to the conventional wisdom of only trading in the direction of the overall trend.

QQQQ
1.000
1997 1.2662 1.266
1998 1.2403 1.570
1999 1.2280 1.929
2000 1.6500 3.182
2001 1.2470 3.968
2002 1.4077 5.586
2003 1.1461 6.402
2004 1.0787 6.906
2005 1.1465 7.917
Avg 1.2678 792% Correct?

[positiontrader]

Nocona,

Metal calculated the VTO returns as follows .Your modified RSI 5 return in 2000 was 65%.Is this correct? Did the regular VTO method double that return using a 2 x fund(130.3%)? I am confused

Regards

Marc

Posted by: MetalFillBoy
In reply to: None Date:12/30/2005 10:36:12 PM
Post #of 15757

ALL: RSI(5) System using 2X Funds.

Ok, so it is Friday night, and nothing better to do than backtest everybodys trading ideas (Hey, Metal, what if we bought on a full moon, when the RSI(x) was at 120, and my car only has a 1/2 tank of preimum, what would be the avg winning trade be, in pesos?) :O)

In all seriousness, someone asked about using 2X funds to trade the RSI(5). So, not being that hard to run, here are the results, (1X return and NDX returns were pulled directly from vtoreport.com)

Year 1X_returns 2X_returns NDX
1997 21.7% 46.7% 20.6%
1998 12.2% 23.2% 85.3%
1999 15.1% 31.8% 102.0%
2000 63.8% 130.3% -36.8%
2001 14.1% 21.0% -32.7%
2002 18.8% 27.2% -37.6%
2003 21.6% 44.5% 49.1%
2004 3.1% 6.0% 10.4%
2005 6.4% 13.0% -4.4%
Total 365.1% 1490.5% 104.9%

[zelareka]

do you use margin to get these results