RSI And How To Profit From It - Emini Index Futures Trading | futures io social day trading
futures io futures trading


RSI And How To Profit From It
Updated: Views / Replies:3,470 / 7
Created: by Jeff65 Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

RSI And How To Profit From It

  #1 (permalink)
 Vendor: www.systemtradersuccess.com 
Gurnee, IL
 
Futures Experience: Advanced
Platform: TradeStation
Broker/Data: TradeStation
Favorite Futures: Futures
 
Posts: 46 since Apr 2010
Thanks: 17 given, 92 received

RSI And How To Profit From It

We all know there are no magic indicators but there is an indicator that certainly acted like magic over the past 10 years or so. What indicator is it? Our reliable RSI. In this article we are going to look at two trading systems that were first talked about in the book, ”Short Term Trading Strategies That Work” by Larry Connors and Ceasar Alvarez. It has been well established in various articles on the web that a 2-peirod RSI on the daily chart of the stock index markets has been a fantastic tool for finding entry points. Sharp price drops in the S&P E-Mini futures during bullish markets have historically (since the year 2000) been followed by reversals. These reversals can often be detected by using the standard RSI indicator with a period value of two. Place this indicator on a daily chart and look for points when the indicator falls below five, for example. These extreme low points are buying opportunities.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


RSI(2) SYSTEM

We can turn this into a simple strategy to test the effectiveness of the RSI(2) indicator on the E-mini S&P. In short, we wish to go long on the S&P when it experiences a pullback in a bull market. We can use a 200-day simple moving average to determine when we are in a bull trend and using a 2-period RSI to locate high probability entry points. We can then exit when price closes above a 5-day simple moving average. The rules are clear and simple:
  • Price must be above its 200-day moving average.
  • Buy on close when cumulative RSI(2) is below 5.
  • Exit when price closes above the 5-day moving average.
  • Use a $1000 catastrophic stop loss.

The system backtest was performed from September 1997 through March 2012. A total of $50 for commissions and slippage was deducted per round trip. Below is a chart of what this system would look like along with the system results.
RSI(2) SYSTEM RESULTS

Net Profit: $17,163
Percent Winners: 67%
No. Trades: 64
Ave Trade: $268.16
Max Drawdown: -$5,075
Profit Factor: 1.90

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


These results are great considering we have such a simple system. This demonstrates the power the RSI(2) indicator has had now for well over a decade. Just with this concept alone you can develop several trading systems. For now, let’s see if we can we improve upon these results.

ACCUMULATED RSI(2) STRATEGY

Larry Conners adds a slight twist to the RSI(2) trading system by creating an accumulated RSI value. Instead of a single calculation we will be computing a running daily total of the 2-period RSI. In this case, we are going to use the total of the 2-period RSI for the past three days. When you keep an accumulated value of the RSI(2) you smooth out the values. Below is a chart comparing the standard 2-period RSI indicator with an accumulated 2-period RSI indicator. You can see how much smoother our new indicator is. This is done to reduce the number of trades in hopes of capturing the quality trades. In short, it’s an attempt to improve the efficiency of our original trading system.
The rules are:
  • Price must be above its 200-day moving average.
  • Buy on close when cumulative RSI(2) of the past three days is below 45.
  • Exit when RSI(2) of the close of current day is above 65.
  • Use a $1000 catastrophic stop loss.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

ACCUMULATED RSI(2) SYSTEM RESULTS

Net Profit: $17,412
Percent Winners: 67%
No. Trades: 52
Ave Trade: $334.86
Max Drawdown: -$4,850
Profit Factor: 2.02

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Conclusions

So which one is better? The accumulated strategy worked as intended. It increased the efficiency of the standard RSI(2) trading system by reducing the number of trades, yet produced about the same amount of net profit. As a bonus, the drawdown was even slightly smaller. While both systems do a fantastic job, the accumulation strategy may do a slightly better job. The Accumulated RSI(2) strategy will work well on the mini Dow as well as the two ETFs, DIA and SPY.

S&P CASH MARKET

As a quick test on a market with more historical data, lets try it on the S&P cash market. Below are the results trading 100 shares going back to 1993. No commissions or slippage were deducted. It does rather well.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Download

The EasyLanguage code is available below as a free download. There is also a TradeStation workspace. Please note, the trading concept and the code as provided is not a complete trading system. It is simply a demonstration of a robust entry method that can be used as a core of a trading system. So, for those of you who are interested in building your own trading systems this concept may be a great starting point.

DOWNLOAD HERE

Reply With Quote
The following 8 users say Thank You to Jeff65 for this post:
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Trading Apprentice
NED
 
Futures Experience: None
Platform: Ninja
 
Posts: 34 since May 2010
Thanks: 7 given, 8 received


The accumulated RSI, in which book is that described?

I think you should also test it on YM, NQ and TF for confirmation..

Reply With Quote
 
  #4 (permalink)
Elite Member
Newcastle, Australia
 
Futures Experience: Intermediate
Platform: Multicharts 8 - Full Version
Broker/Data: IB
Favorite Futures: SPI,FTSE100, 6E, 6A
 
Posts: 285 since Oct 2010
Thanks: 108 given, 177 received

Hi
I've looked at a few discussions on this over the last few weeks and they all seem to do a blind buy if the rsi < 5. What about only buy if a new high is formed or a close above the previous bars high?
Perhaps this test is done in the code but nobody mentions this.

Thanks,
Neil.

(Sent from my Galaxy S2 via Tapatalk)

Reply With Quote
 
  #5 (permalink)
Live Your Bliss
Canary Islands, Spain
 
Futures Experience: Advanced
Platform: OA
Favorite Futures: What Moves
 
Anagami's Avatar
 
Posts: 701 since Dec 2010
Thanks: 474 given, 1,398 received

This has already been posted all over the net (like Trader's Lab), but thanks.

You get similar signals with other 2 period indicators, for instance try 2 period Double Stochastics.

"...the degree to which you think you know, assume you know, or in any way need to know what is going to happen next, is equal to the degree to which you will fail as a trader." - Mark Douglas
Reply With Quote
The following user says Thank You to Anagami for this post:
 
  #6 (permalink)
 Vendor: www.systemtradersuccess.com 
Gurnee, IL
 
Futures Experience: Advanced
Platform: TradeStation
Broker/Data: TradeStation
Favorite Futures: Futures
 
Posts: 46 since Apr 2010
Thanks: 17 given, 92 received


no111 View Post
The accumulated RSI, in which book is that described?

I think you should also test it on YM, NQ and TF for confirmation..

”Short Term Trading Strategies That Work” by Larry Connors and Ceasar Alvarez. I did try them on YM and NQ and while profitable, its not nearly as effective.

Reply With Quote
 
  #7 (permalink)
 Vendor: www.systemtradersuccess.com 
Gurnee, IL
 
Futures Experience: Advanced
Platform: TradeStation
Broker/Data: TradeStation
Favorite Futures: Futures
 
Posts: 46 since Apr 2010
Thanks: 17 given, 92 received


NW27 View Post
Hi
I've looked at a few discussions on this over the last few weeks and they all seem to do a blind buy if the rsi < 5. What about only buy if a new high is formed or a close above the previous bars high?
Perhaps this test is done in the code but nobody mentions this.

Thanks,
Neil.

(Sent from my Galaxy S2 via Tapatalk)

I have testing such things as buying on a the highest high over the past two bars, but with not much luck. I don't have the results handy. However, these are good ideas and worthy of testing.

Of course, the code is freely available so I encourage people to download it and play with it. This is not a trading system, but a concept which is freely available to experiment with.

Reply With Quote
 
  #8 (permalink)
Live Your Bliss
Canary Islands, Spain
 
Futures Experience: Advanced
Platform: OA
Favorite Futures: What Moves
 
Anagami's Avatar
 
Posts: 701 since Dec 2010
Thanks: 474 given, 1,398 received


Jeff65 View Post
”Short Term Trading Strategies That Work” by Larry Connors and Ceasar Alvarez. I did try them on YM and NQ and while profitable, its not nearly as effective.

I looked at 2-period DoubleStochastic a while ago on YM/NQ. It's a workable strategy if you add a dash of context into the mix (should not be blindly taking signal without contextual consideration) and manage the trade well (go for small losses and bigger winners).

"...the degree to which you think you know, assume you know, or in any way need to know what is going to happen next, is equal to the degree to which you will fail as a trader." - Mark Douglas
Reply With Quote

Reply



futures io > > > > RSI And How To Profit From It

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Jeffs RSI Jeff Castille The Elite Circle 9 December 14th, 2013 11:25 AM
Dax - moving from small loss/breakeven to small profit/profit Disciple Elite Trading Journals 67 April 30th, 2012 07:59 AM
RSI Edge? gever17 NinjaTrader 5 March 23rd, 2011 06:48 PM
RSI Strategy Dienewk NinjaTrader Programming 6 December 9th, 2010 10:12 AM
RSI crossover kaywai NinjaTrader Programming 4 December 21st, 2009 06:14 AM


All times are GMT -4. The time now is 04:11 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-15 in 0.16 seconds with 19 queries on phoenix via your IP 54.90.92.204