Simple RSI-MA Algo Beats DOW By Huge Margin Over Past 100 Years!

Dow Jones Industrial Average IndexDJ

描述

⋅ Nov 3, 2015 9:11 AM

This simple RSI-MA long/short algorithm beats the Dow by a FREAKING HUGE margin over the past century (excluding dividends and trading costs).

The algorithm uses a fast SMA of the RSI as a buy/cover signal and a slow SMA of the RSI as a sell/short signal.

Backtest period = 09/17/1916 - 11/02/2015
DJIA = 98 --> 17,830 = +18,094% = 5.38% CAGR
Algorithm = net profit + open P/L = +43,349% = 6.31% CAGR

Notice how the algorithm dodged both the 30s' Great Depression and the 2008 Crisis. Pretty cool huh? :)

ALGORITHM'S FORMULA (use weekly chart):
Buy/Cover = MA10(RSI10) cross> 50
Sell/Short = MA50(RSI10) cross< 50

STRATEGY TESTER'S SETTINGS:
- Initial cash = $10,000
- Pyramiding disabled
- Re-investment enabled (order size = 100% of equity)
- Trade re-calculations disabled

DISCLAIMER: None of my ideas and posts are investment advice. Past performance is not an indication of future results. This strategy was constructed with the benefit of hindsight and its future performance cannot be guaranteed.

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Harsha_Kumar

⋅ Nov 3, 2015 12:58 PM

You must be Damn Good in Mathematics Kory !!

Keep-it-Real

⋅ Jul 12, 2018 8:34 PM

SELL SIGNALS ARE ALWAYS LOOSING - EXCEPT IN 1930!
IT'S BASICALLY ALWAYS BUY FOR THE LAST 100 YEARS

UnknownUnicorn1300833

⋅ Jun 13, 2018 10:31 PM

just use coppock for buys and falling 252mas for sells, simples

SJL1327

⋅ May 27, 2018 9:49 PM

good stuff, thanks for sharing