Number one trading topic around these days is OIL, so I thought I'd pile on with an update of our 500 bar RSI2 model on the XLE and components with (30,88) settings. Only the long side of the system is shown for brevity. I have a little trading rule that's served me well for the past 3 years. . .DON"T SHORT OIL, simple, but effective. The short side trades of the system do make money, but with a much more marginal return and considerable higher drawdown, so I limit my XLE and component trades to BUY signals.
Previously I mentioned Elder concept of a fractal 1:6 time frame ratio to confirm trading momentum, so for today's update I've posted 10M, 60M and daily bars. RIG is still a great perfomer and on the daily bars 7 of the 11 stocks had better trading results than a buy and hold strategy, while on the 60M and 10M all 11 of 11 had better peformance results. I still believe that the trading basket concept still looks like the most robust strategy with the best risk management opportunities.
Before deploying any real money to these trades, additional conditions should be applied, including a stop loss, trailing stop and possibly a time stop. While the current system backtest indicates little open P&L, that situation can change quickly and dramatically.