Short Term Trading System with RSI Ratios

This trading system is based on the ratio of two short-term relative strength indicators.
The ratio is created by dividing the 7-bar RSI with the 2-bar RSI.
That ratio is then ranked for all stocks in NASDAQ 100 index and the top 5 stocks are bought at the open of the next day.
Each new position or trade is sold after 4 trading day at the close of the session.

An additional market rule was added to prevent this short term trading system from entering any new trade when the market is bearish:
That rule consists of comparing the SPY (ETF/S&P 500) with its 60-bar moving average.
It instructs the backtester to enter new positions only if the SPY is above its 60-bar moving average.

The strategy was tested with NASDAQ 100 stocks for the 2000-2014 period and has a Sharpe ratio above 1, a Sortino ratio of 1.59, a return of 27% and a drawdown of -27%. The backtesting also produces 2879 trades and shows that this strategy has positive return for every year except (2005 / -2.8%) and (2007 / -1.4%).

Technical Analysis

• NSE Open Interest
• Percent Bollinger Bands smothed with exponential Moving Average
• Head and Shoulders Pattern Index
• Doji
• Ratio of open-close to high-low range
• Donchian Channels
• RSI Predictor
• Year to Date Change Indicator
• Market Volatility - Composite Indicator using Stocks Standard Deviation
• CRB Global Commodity Equity Index
• More trading objects...

Fundamental Analysis

• Stocks with an EPS Several Times Higher than the Industry Average EPS
• Number of dividend payments per day in the U.S. Stock Market
• Earnings database
• All-Star Traders Outperform/Underperform Picks for US Stocks
• ForexRate RSS Feed
• FOMC meeting dates
• Sales, Growth and Estimates
• Short Selling historical data
• ASX Fundamental data
• Ratio of Stocks Outperforming/Underperforming Their Industry
• More trading objects...