Wednesday, October 3, 2012

RSI 2 Statistics follow up

The RSI 2 example that I posted last week closed out today.  Remember last week the SPX got oversold enough to cause the 2 length RSI to close below 1% while still over the 160 day MA, something which has only occurred 7 times in the last 24 years.  The exit rules for the system is to exit on a close back above the 8 day SMA i.e. revision to the mean as the rubber band stretches back.  Today the SPX closed back over the 8 day simple MA and closed out the trade - now there has been 8 examples of this over the last 24 years, all 100% winning trades.

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