Wednesday, October 10, 2012

SPX RSI 2 reversion to mean system

I posted this system earlier today on the trading community blog. This is an RSI 2 reversion to the mean system for the S&P 500, similar to RSI 2 systems that were popularized by Larry Conners. The system took an initial 30% position at today's close because the RSI 2 was oversold below 10% for 2 days in a row.

However, I'm using a slightly modified version of RSI, I'm using an RSI that has an EMA component to it, which makes it a little more responsive than the standard RSI. This system scales into trades in 4 parts of 30%, 20%, 20%, 30%, however in most cases you don't get 4 scale ins, most of the trades end up being 2 - 3 scale ins. Also most of the 1st entries are early and have at least one more scale in (see the detailed statistics and trades below provided in the performance report). Total position size is 100K, but that's with 4 entries, obviously most trades are not 4 entries and so some trades would be 30K (one entry) or 50K (2 entries) etc, again I only used 100K because then the math is easy for % gain calculation, 10K could have been used or any number. The system will exit when RSI 2 closes back over 80% in most cases, however some trades hold for longer periods of time because I have a a trending indicator that will allow the system to hold the trades and ignore the RSI 80% exit.

System Stats:

- Total # of trades is 347 over 21 years.

- 83.86% winning trades

- Profit factor of 9.29 which means on average the system make 9 dollars for every 1 dollar lost.

- Average hold time for the trades is about 8 days, with an average of 33 days between trades.

For the complete statistics and trade history, click on the URL below:

**Click here** to view system statistics and trade history - each trade 100K

The file will open ONLY in Internet Explorer, it shows 7 pages of statistics, trade history, etc.

**as always, this is posted for informational purposes only**

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