Version of Larry Connors 2 period RSI on Nasdaq 100 stocks

October 7, 2010



    (source wealth-lab forums)

    “ the RSI(2) strategy and applying it to the Nasdaq 100 stocks. However, instead of limiting the system to long only, I combined the RSI(2) long strategy with an RSI(2) short strategy, then ran a two-year backtest.

    The rules of the system are simple:

    Go long if price is above the MA(50) and RSI(2) is less than 5

    Exit when RSI(2) is above 70 or an 8 percent stop loss is hit

    Go short if price is below the MA(50) and RSI(2) is greater than 95

    Cover when RSI(2) is less than 30 or an 8 percent stop loss is hit

    Starting equity is $100,000 and position sizing is $5,000 per trade”

    523 trades

    Winning % : 69.6%

    Avg win: 4.95%

    Avg loss : 5.83%

    Avg days held : 4.65

    Here are the results:

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