RSI(2) - Part 2

We optimize our entry/exit levels to see if we can improve our results. After multiple tests we find that RSI(2) < 5 is a better entry but our exit of RSI(2) > 65 is a reasonable exit level.

Equity

Statistics

	All trades	Long trades	Short trades
Initial capital	50000.00	50000.00	50000.00
Ending capital	1836520.21	1836520.21	50000.00
Net Profit	1786520.21	1786520.21	0.00
Net Profit %	3573.04%	3573.04%	0.00%
Exposure %	54.07%	54.07%	0.00%
Net Risk Adjusted Return %	6607.87%	6607.87%	N/A
Annual Return %	22.16%	22.16%	0.00%
Risk Adjusted Return %	40.99%	40.99%	N/A
Total transaction costs	217371.18	217371.18	0.00
All trades	5149	5149 (100.00 %)	0 (0.00 %)
Avg. Profit/Loss	346.96	346.96	N/A
Avg. Profit/Loss %	0.73%	0.73%	N/A
Avg. Bars Held	5.82	5.82	N/A
Winners	3531 (68.58 %)	3531 (68.58 %)	0 (0.00 %)
Total Profit	5613954.94	5613954.94	0.00
Avg. Profit	1589.91	1589.91	N/A
Avg. Profit %	2.61%	2.61%	N/A
Avg. Bars Held	4.31	4.31	N/A
Max. Consecutive	46	46	0
Largest win	30499.40	30499.40	0.00
# bars in largest win	4	4	0
Losers	1618 (31.42 %)	1618 (31.42 %)	0 (0.00 %)
Total Loss	-3827434.74	-3827434.74	0.00
Avg. Loss	-2365.53	-2365.53	N/A
Avg. Loss %	-3.37%	-3.37%	N/A
Avg. Bars Held	9.11	9.11	N/A
Max. Consecutive	12	12	0
Largest loss	-39066.85	-39066.85	0.00
# bars in largest loss	23	23	0
Max. trade drawdown	-42677.65	-42677.65	0.00
Max. trade % drawdown	-52.55	-52.55	0.00
Max. system drawdown	-193458.87	-193458.87	0.00
Max. system % drawdown	-23.00%	-23.00%	0.00%
Recovery Factor	9.23	9.23	N/A
CAR/MaxDD	0.96	0.96	N/A
RAR/MaxDD	1.78	1.78	N/A
Profit Factor	1.47	1.47	N/A
Payoff Ratio	0.67	0.67	N/A
Standard Error	134374.22	134374.22	0.00
Risk-Reward Ratio	0.78	0.78	N/A
Ulcer Index	3.99	3.99	0.00
Ulcer Performance Index	4.20	4.20	N/A
Sharpe Ratio of trades	0.93	0.93	0.00
K-Ratio	0.06	0.06	N/A

Drawdowns

Conclusion

We improve the results slightly.