Saturday, June 21, 2008

RSI results

Here are results when you buy and sell SPY when the following condition holds:
Close<MA(20) Close<MA(50) CLOSE<MA(100) CLOSE<MA(200)

Results are for various RSI buy and RSI sell signals

Stock RSI buy RSI sell Trades/Year Avg Profit Avg Days Profitability
SPY 10 60 10.5381 0.7997 4.6169 72.08%
SPY 10 70 10.5381 0.9248 5.8896 73.38%
SPY 10 80 10.4697 1.3439 8.5359 74.51%
SPY 10 90 10.4697 1.9559 14.4967 77.78%







SPY 8 60 8.759 0.947 4.5156 72.66%
SPY 8 70 8.759 1.0596 5.7656 75.00%
SPY 8 80 8.759 1.4313 8.5 75.00%
SPY 8 90 8.759 2.2003 14.5859 79.69%







SPY 5 60 5.9534 1.0836 4.4368 73.56%
SPY 5 70 5.9534 1.1488 6.046 73.56%
SPY 5 80 5.9534 1.592 8.6667 74.71%
SPY 5 90 5.9534 2.5139 14.3563 83.91%







SPY 2 60 2.1897 1.8783 3.5312 87.50%
SPY 2 70 2.1897 2.0091 5.875 87.50%
SPY 2 80 2.1897 2.8984 8.5 87.50%
SPY 2 90 2.1897 3.624 13.75 87.50%

Currently the SPY has an RSI(2) of 4.46. Historically if you bought under these conditions and sold when RSI(2)>80, you would have gained 1.6% in 8.67 TRADING days with a probability of profitability 74.7%.