Friday, July 25, 2008

RSI update and the STORSI

For comparison purposes with the Clueless20 and the 816 cross, here's my little RSI cross system looking back 500 bars. Considerable fewer false starts, but as there are no stops the open P/L is a bit frightening.
The system works particularly well with the IWM 10 minute and daily bars and, as I favor the IWM in lieu of the DIA or SPY for daytrading, helps explain my high regard for the RSI.
Here's the same data set using a indicator Schwab calls the StochasticRSI, which is an algorithm that blends the the Sto and the RSI signals and smooths out a lot of the peaks and valleys.
The positive effect on the open P/L is fairly impressive and delivers strong overall results.
The RSI and STORSI have a similar trade frequency although the RSI system delivers a more robust performance over this ETF test basket.
I couldn't find the STORSI in TS 2000i. . . if anyone using 8.3 can locate it in the current TS repertoire, please let me know. AdvancedGet offers a detailed STORSI, so E-signal users should be able to test it. Other platforms may also offer the STORSI, but I don't have a list.

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