The basic rule is buy when RSI(2) is below 10 and exit when RSI(2) is above 80. The results are impressive and well worth checking out.
While the system works well with leveraged ETFs, it also works with plain ol'stocks, such as the Nasdaq 100. I ran a quick five-year backtest starting with $50,000. Equity per trade is 10 percent. No stop loss was used.
6 comments:
Thanks Dog.
Again, ricockulous.
I'm wondering, with the win/loss ratio so high, does it need a stop?
If Taleb knew I asked that, he would punch my mustache off.
Looking at the distribution, I'm still thinking some sort of stop is necessary. Can you run the standard deviations of the losses out to 3 deviations? That might be instructive.
Probably not, but a catastrophic stop at 15 or 20 percent would protect against the few extreme outliers, especially if they occurred during a vacation.
Running standard deviations is beyond my Excel skills, however, taking a look at the Maximum Adverse Excursion chart, no trade losing more than 12 percent has ever been a winner.
So, sticking a stop around 15 percent would be about right.
Dogwood, is this on the QQQQ's or individual Naz 100 stocks? I'm guessing the latter.
Thanks,
ARISTOTLE
Aristotle,
Individual Nasdaq 100 stocks. But,click the RSI(2) label at the bottom of the post and you'll find other backtest results using variants of this strategy on different instruments.
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