A couple posts ago, I did the RSI Analysis. This post will focus on ConnorsRSI which I created while working for Larry Connors. When creating the indicator, the focus was on short-term mean-reversion results. We will look at that here but also how does it handle longer-term holds. Since I did not test this when I originally did the work, I was looking forward to seeing the results. ConnorsRSI ConnorsRSI is an indicator made up of three components. The first being a 3 period RSI on the closes. The second being a 2 period RSI applied to the current up/down […]
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[…]Then came the 2000 bear. I tried my hand at day trading but soon discovered it did not fit my personality. It took a long time to realize that trading style must match personality. I turned to building strategies using quantitative methods. What I discovered was, the testing results from most trading methods didn’t hold up as expected. Soon after discovering this I was hired by Connors Research, and from there, my trading knowledge greatly expanded. Larry Connors taught me how to properly look at short term market behavior and how to find edges. I spent nine years looking deeper […]
[…]RSI wins by a bit over ConnorsRSI. With EMSI significantly below. Sharpe Ratio A popular metric among traders. Again, RSI wins by a bit over ConnorsRSI. With EMSI significantly below. % Winners Some people like strategies with high % winners. Again, RSI wins by a bit over ConnorsRSI but it has a much longer average hold. With EMSI below with the shortest hold. Spreadsheet & Code Fill the form below to get the spreadsheet to see the results of these tests. See year by year returns and other values for entry exit and length. Also included in […]
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