mktmole
325 posts
msg #108655
- Ignore mktmole |
11/2/2012 11:24:43 AM
/* Weekly Overbought Rotation Strategy. Active Trader Nov 2012 */
/* At Fri Close the 5 stocks with the lowest RSI(20) in S&P 100, buy on Monday */
/* Sell at 5% gain target or the Fri. close of 1 week */
/* Outperformed Buy&Hold by wide margin with postive returns for each year/last 12 years */
Show stocks where Average Volume(90) is above 500,000
and add column weekly RSI(10)
and add column RSI(10)
and sort by column 6 ascending
and chart-length is 6 months
and apply to index S&P100
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mktmole
325 posts
msg #108656
- Ignore mktmole |
11/2/2012 11:30:52 AM
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mktmole
325 posts
msg #108658
- Ignore mktmole |
11/2/2012 11:48:10 AM
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duke56468
683 posts
msg #108659
- Ignore duke56468 |
11/2/2012 12:43:33 PM
Thanks mktmole. No stop loss?
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mktmole
325 posts
msg #108672
- Ignore mktmole |
11/2/2012 6:45:41 PM
welcome duke.
re stops
".. instead of attempting to limit losses with stops, which typically negatively impacts a systems bottom line,... manage risk and exposure by applying the profit taking rule to lock in outsized gains. After all, a one week, 4 pct gain is more than 600 pct annualized. "
( note: changing from 4pct to 5pct reduced the both the drawdown and improved net profit, considerably.)
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ham1198
174 posts
msg #108725
- Ignore ham1198 |
11/8/2012 7:27:27 AM
...didn't you mean "Oversold" rotation strategy??
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johnpaulca
12,036 posts
msg #108726
- Ignore johnpaulca |
11/8/2012 9:03:45 AM
"Weekly" overbought looks correct.
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duke56468
683 posts
msg #108728
- Ignore duke56468 |
11/8/2012 9:57:40 AM
Is there any way to backtest a weekly filter like this on SF, or is it all manual? Using RSI(10) ascending it seems like it would be oversold.
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ham1198
174 posts
msg #108729
- Ignore ham1198 |
11/8/2012 10:54:55 AM
Weekly rotation strategy
By Robert Sucher Jr.
The origins of this month’s trading system lie in a popular strategy of rotating into the most OVERSOLD stocks as defined by the Relative Strength Index (RSI). The resulting system, called RSI Rotation, buys the n stocks with the lowest RSI readings each day and sells existing long positions in any stocks not included on the list. Trading capital is split equally between the positions to create a system that operates at 100-percent exposure. For example, if n were set to 5, the system would allocate 20 percent of equity to each of the five positions.
The “buy low in the hopes of selling higher” idea can pay off in the short term. For example, from May 2000 to August 2012, buying the three most oversold stocks in the (current) Dow Jones Industrial Average (DJIA) returned more than 17 percent annualized (which includes dividend payouts), albeit with a 49 percent drawdown, while buy-and-hold returned 4 percent with a -50-percent drawdown.
A colleague hypothesized that applying rotation on a weekly basis (buying the stocks on the first trading day of each week) might offer more opportunity for an oversold stock to rise (or fall even more). Also, if the converse strategy of buying overbought stocks did not work, it would provide more evidence that it’s generally not a good idea to chase stocks, at least not on a short-term basis. (For another perspective see “Buy high, sell higher,” Active Trader, March 2011.)
Market: Stocks
Entry rule:
Buy the five stocks with the lowest 20-day RSI reading on the first trading day of each week (usually Monday).
Exit rules:
1. If a trade’s Maximum Favorable Excursion (MFE) exceeds 4 percent on an intraday basis, sell at the market the following day.
2. Sell any remaining open positions at the close on the last trading day of the week (usually Friday).
Money management: Allocate 20 percent of account equity per trade.
Test period: Aug. 10, 2000 to Aug. 10, 2012.
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Cheese
1,374 posts
msg #108731
- Ignore Cheese |
11/8/2012 11:17:57 AM
The lowest RSI(20) is the selection rule provided by mktmole and ham1198.
But the filter shows column RSI(10).
Is RSI(10) a typo? If not, what's the role of RSI(10)?
Please advise. Thanks.
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