Click here to Login








RSI3 Box v001b 2014-02-14

by Dave W., 2001 days ago
Share |






RSI3 Box is a long-only mean reversion system that trades large, liquid ETFs. This version has an average hold time of 2 days. I haven't explored the system in detail -- some optimization, but haven't tested a ton for robustness -- but I think it has promise and a ton of room for add'l research and improvement. The base concepts came largely from Larry Connors.

I've selected parameters to provide a short hold time, relatively good win rate, and winning trades about the same size as losers (i.e., Payoff ratio fairly close to 1.0). This version is out of the market over 60% of the time and still has reasonable returns that have been fairly consistent across years.

For those unfamiliar with Larry's work and mean reversion in general, this system suffers from the standard drawbacks - the MAE can be significant in relation to the size of the eventual wins. Also, there is fairly strong correlation across symbols (it trades a basket of 41 ETFs).

Additional information, including historical performance, is available via the Copy With Pride Google Docs site

Trading system available to member of the following group:
<a href="http://www.quantshare.com/index.php?option=group/group&lid=11">"Copy with pride" - Collaborative Trading Strategy Development</a>


Share This ->
Share |


You have to log in to bookmark this object
What is this?




Type: Trading System

Object ID: 1473


Country:
All

Market: Stock Market

Style:
Technical Analysis

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects

Empty

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

The Ultimate Guide to Create Trading Systems in QuantShare

QuantShare New Website Feature: Groups

QuantShare Trading Software: New Features in the 3.1.2 Version

Create Your Own Technical Stock Rating System

Speed Up Optimizations by Saving Ranking Data into a Custom Database

How to Calculate and Display the Bid/Ask Spread on a Chart

How to Backtest an Intraday Stock Trading System with EOD Ranking

How to Detect Potential Issues/Errors in Your Historical Data?

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright 2019 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.