• Skip to primary navigation
  • Skip to main content
  • Skip to primary sidebar
  • Skip to footer

SanzProphet

DYI Investing, Quant tools and thoughts on the market

  • Start Here
  • Crypto Management
  • About
  • Contact
  • Disclaimer

RSI

Backtesting Options: Selling SPY Puts on RSI(2)

January 30, 2013 by sanz prophet 8 Comments

Let’s try the good old strategy for RSI(2) mean reversion.Buy on Rsi(2)<30Sell on Rsi(2)>60Execution is on the Open of the next day.This is what trading the SPY etf looks like. How about using the same signals and selling 10, 1-point away from the floor price, front month Puts.* Again, we sell 10 Puts right below …

Read moreBacktesting Options: Selling SPY Puts on RSI(2)

Filed Under: RSI, SPY

Connors RSI – Part 1

December 6, 2012 by sanz prophet 22 Comments

One of the readers of this blog, Mark, alerted me to a new indicator/system published from Connors/Alvarez : The ConnorsRSI. What is the ConnorsRSI? It consists of three components:a. Short term Relative Strength, i.e., RSI(3).b. Counting consecutive up and down days (streaks) and “normalizing” the data using RSI(streak,2). The result is a bounded, 0-100  indicator.c. Magnitude of the move …

Read moreConnors RSI – Part 1

Filed Under: Amibroker, Connors, RSI, SPY

7 Winning Trading Systems Reviewed – Pt. 3: RSI 25 75

September 7, 2012 by sanz prophet 1 Comment

Read pt.1 REad pt.2 Back in 2009 Larry Connors and Cesar Alvarez published several short term trading systems in their book “High Probability ETF Trading”. They described 7 mean reverting strategies.  What happens, then once a strategy becomes public domain? Do they loose their edge? All tests are performed on a set of 20 ETFs: DIA,EEM,EFA,EWH,EWJ,EWT,EWZ,FXI,GLD,ILF,IWM,IYR,QQQQ,SPY,XHB,XLB,XLE,XLF,XLI,XLV …

Read more7 Winning Trading Systems Reviewed – Pt. 3: RSI 25 75

Filed Under: ETF trading, mean reverting, RSI, strategy development

Primary Sidebar

Keep in touch

Managed Crypto Funds

via TokenSets.com

Categories

Archives

Footer

RSS Portfolios from Logical-Invest.com

  • Bond ETF Rotation Strategy: Advanced asset and ETF rotation strategies from Logical Invest
  • BUG Permanent Portfolio Strategy: Quantitative investment models from Logical Invest
  • Crypto & Leveraged Top 2 Strategy: Build your own quantitative models from Logical Invest
  • Dow 30 Strategy: Risk-adjusted investment portfolios from Logical Invest

Pages

  • About
  • Contact
  • Disclaimer
  • Start Here

Meta

  • Log in
  • Entries feed
  • Comments feed
  • WordPress.org

Copyright © 2022 · @SanzProphet.com· Log in