Tuesday, December 09, 2008

More RSI Lag Trades

I ran a few more examples of the RSI Lag system profiled yesterday just to test the robustness of the concept. After testing over 20 ETFs and equities, I found the average return was just over 70%. Not bad for a simple system that seldom keeps you in the market for more than 6 days. Per the reference to Lentz/Graham article, the algorithm may also be useful in collecting short term option appreciation, rather than the focus of the article, which was premium decay. Keep in mind that this system reverses the buy and sell signals from the Lentz/Graham model.
Optimized inputs for GE are 13,14,2,1
Optimized setting for QQQQ are 14,14,6,4
Optimized settings for MSFT are 15,16,5,1

1 comment:

Cucca said...

Nice to see you are back, hopefully I can get back to reading stuff that makes sense.