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

Dow Jones Industrial Average IndexDJ

Description

⋅ 3 nov. 2015 17:48

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

Dow = 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.

Relative Strength Index (RSI)rsi-ma Moving Averages Momentum Indicator (MOM)tactical long-term DOW DOW Industrials (DOWI)dowjones djia DIA algorithm long_short

Commentaires

greywolf254

⋅ 30 sept. 2018 12:28

your RSI has not functionality on this indicator.

Nicrob

⋅ 25 juil. 2022 13:27

@greywolf254, it does, you just dont read the code..

rareLizard52578

⋅ 7 nov. 2022 15:54

How do i get this on my chart?

Olekmas23

⋅ 5 juin 2022 17:46

Best indicator

sunilkvala

⋅ 7 févr. 2024 14:28

yes rsi is not work but sir its good i have try in deferent parameters in india index as well crude its good its work in 5 minte banknifty 5 minute chart set bais 10 sm1-22 sm2-82 work well total take 90 trade win 39 loss 51 eveg earning rate 0.18 how can i backtest full range

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