Found this strategy on Wealth Lab site, but dont have enough ES data to backtest it. Settings: 3 min chart SMA 150 RSI(5) Rules: For longs Entry: Price above SMA 150 and RSI(5) closes <30--->go long For longs Exit: RSI(5) closes >70 or 2 stop loss For shorts Entry: Price below 150 and RSI(5) closes >70---->go short For shorts Exit: RSI(5) closes <30 or 2 stop loss Please, backtest this as far as possible. Thx in advance
If this is your holy grail, you need to look more ... inputs: Price( Close ), RSILength( 5 ),SMALength(150), OverSold( 30 ), OverBought( 70 ) ; variables: MyRSI( 0 ) ; variables: Counter( 0 ) ; MyRSI = RSI( Close, RSILength ) ; if Currentbar > 1 and MyRSI crosses under OverSold and Price > AverageFC( Price, SMALength ) then Buy ( "Buy" ) next bar at market ; If MyRSI crosses over OverBought Then Sell ("Sell") next bar at Market; if Currentbar > 1 and MyRSI crosses over OverBought and Price < AverageFC(Price, SMALength) then Sell Short ( "Short" ) next bar at market ; If MyRSI crosses below Oversold Then Buy cover ("Cover") next bar at Market; This is quickly written code, ask the experts regarding correctness of the code. Did not include stop limit in the code itself, but there is in-house tradestation _stop strategy is used for $100 stop. $2.5 Comsn and $12.5 slippage is assumed
Results for 2 years of back testing. Total Net profit : (63,870.00) Profit Factor: 0.60 Total Number of Trades: 2084 Percent Profitable: 42.08% Ave. Trade Net Profit: (30.65) Ratio of Ave. winning/ Avg losing: 0.82 No. of consecutive wins: 8 No. Consecutive losses: 16 Return on Account: (99.94%) Max. Trade Draw down: (837.50) As you can see, it is not worthwhile strategy, unless you come up with some kind of filters to weed out the bad trades. Good luck