Simple RSI-MA Algo Beats DOW By Huge Margin Over Past 100 Years! — Strategy by Stable_Camel
By Stable_Camel
Performance Metrics
- Author: Stable_Camel
- Symbol: INDEX:DOWI
- Timeframe: 1 week
- Net P&L: +4,334,918.60 USD (0.00%)
- Win Rate: 45.0%
- Profit Factor: 7.208
- Max Drawdown: 733,333.38 USD
- Total Trades: 60
Description
This simple RSI-MA long/short algorithm beats the Dow by a FREAKING HUGE margin over the past century (excluding dividends and trading costs).The algorithm uses a fast SMA of the RSI as a buy/cover signal and a slow SMA of the RSI as a sell/short signal.Backtest period = 09/17/1916 - 11/02/2015Dow = 98 --> 17,830 = +18,094% = 5.38% CAGRAlgorithm = net profit + open P/L = +43,349% = 6.31% CAGRNotice how the algorithm dodged both the 30s' Great Depression and the 2008 Crisis. Pretty cool huh? :)ALGORITHM'S FORMULA (use weekly chart):Buy/Cover = MA10(RSI10) cross> 50Sell/Short = MA50(RSI10) cross< 50STRATEGY TESTER'S SETTINGS:- Initial cash = $10,000- Pyramiding disabled- Re-investment enabled (order size = 100% of equity )- Trade re-calculations disabledDISCLAIMER: None of my ideas and posts are investment advice. Past performance is not an indication of future results. This strategy was constructed with the benefit of hindsight and its future performance cannot be guaranteed.