Short Term Trading System with RSI Ratios

This trading system is based on the ratio of two short-term relative strength indicators.
The ratio is created by dividing the 7-bar RSI with the 2-bar RSI.
That ratio is then ranked for all stocks in NASDAQ 100 index and the top 5 stocks are bought at the open of the next day.
Each new position or trade is sold after 4 trading day at the close of the session.

An additional market rule was added to prevent this short term trading system from entering any new trade when the market is bearish:
That rule consists of comparing the SPY (ETF/S&P 500) with its 60-bar moving average.
It instructs the backtester to enter new positions only if the SPY is above its 60-bar moving average.

The strategy was tested with NASDAQ 100 stocks for the 2000-2014 period and has a Sharpe ratio above 1, a Sortino ratio of 1.59, a return of 27% and a drawdown of -27%. The backtesting also produces 2879 trades and shows that this strategy has positive return for every year except (2005 / -2.8%) and (2007 / -1.4%).

Technical Analysis

• Garman-Klass Volatility Estimator
• Elastic Volume Weighted Moving Average - eVWMA
• Occurrence Since
• Camarilla Pivot Points Study
• DIDI INDEX
• Euronext Lisbon - Historical Quotes
• Relative Performance Chart - Dynamic assets and index
• Open ARMS Index - Open-10 TRIN
• TSP Sentiment Survey - Percentage of Bullish and Bearish Traders
• Minimum Variance Optimization with Solver V1.1- AMM
• More trading objects...

Fundamental Analysis

• Initial Jobless Claims - Historical data
• NSE Margin Trading
• Price to Sales Ratio for US Stocks
• Fails to deliver
• Update the Industry Name of your U.S. Stocks
• Consumer Credit Historical Data
• Commitments of Traders
• Stocks with an EPS Several Times Higher than the Industry Average EPS
• Insiders' Blog stories
• Trade Weighted Exchange Index
• More trading objects...