RSI(2) - Part 1

Buy the close when the RSI is bellow 10 and sell the close when the RSI is above 65. The testing period is Jan 1, 2000 through until Dec 31, 2018. Each position is allocated $5000 of capital and the system allows a maximium of 10 positions. Commissions are 0.01 to buy and sell.

Equity

Statistics

	All trades	Long trades	Short trades
Initial capital	50000.00	50000.00	50000.00
Ending capital	1397335.84	1397335.84	50000.00
Net Profit	1347335.84	1347335.84	0.00
Net Profit %	2694.67%	2694.67%	0.00%
Exposure %	69.24%	69.24%	0.00%
Net Risk Adjusted Return %	3891.52%	3891.52%	N/A
Annual Return %	20.32%	20.32%	0.00%
Risk Adjusted Return %	29.35%	29.35%	N/A
Total transaction costs	148569.50	148569.50	0.00
All trades	6586	6586 (100.00 %)	0 (0.00 %)
Avg. Profit/Loss	204.58	204.58	N/A
Avg. Profit/Loss %	0.53%	0.53%	N/A
Avg. Bars Held	5.83	5.83	N/A
Winners	4431 (67.28 %)	4431 (67.28 %)	0 (0.00 %)
Total Profit	4078437.07	4078437.07	0.00
Avg. Profit	920.43	920.43	N/A
Avg. Profit %	2.41%	2.41%	N/A
Avg. Bars Held	4.23	4.23	N/A
Max. Consecutive	25	25	0
Largest win	17582.85	17582.85	0.00
# bars in largest win	2	2	0
Losers	2155 (32.72 %)	2155 (32.72 %)	0 (0.00 %)
Total Loss	-2731101.23	-2731101.23	0.00
Avg. Loss	-1267.33	-1267.33	N/A
Avg. Loss %	-3.33%	-3.33%	N/A
Avg. Bars Held	9.11	9.11	N/A
Max. Consecutive	15	15	0
Largest loss	-33213.18	-33213.18	0.00
# bars in largest loss	27	27	0
Max. trade drawdown	-34722.87	-34722.87	0.00
Max. trade % drawdown	-50.31	-50.31	0.00
Max. system drawdown	-116373.18	-116373.18	0.00
Max. system % drawdown	-22.50%	-22.50%	0.00%
Recovery Factor	11.58	11.58	N/A
CAR/MaxDD	0.90	0.90	N/A
RAR/MaxDD	1.30	1.30	N/A
Profit Factor	1.49	1.49	N/A
Payoff Ratio	0.73	0.73	N/A
Standard Error	141073.84	141073.84	0.00
Risk-Reward Ratio	0.47	0.47	N/A
Ulcer Index	4.23	4.23	0.00
Ulcer Performance Index	3.53	3.53	N/A
Sharpe Ratio of trades	0.66	0.66	0.00
K-Ratio	0.04	0.04	N/A

Drawdowns

Conclusion

For such a simple system, it does surprisingly well. This system outperforms our buy and hold benchmark by roughly 8% while reducing our maximum drawdown by over 50%.

In future research we will look at optimizing our RSI levels and using stops for additional risk management.