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

• Market Rule based on the Crossover Between Stock Close prices and their Moving Average
• Correlation Matrix - 41 Major ETFs
• Buy signal watchlist And Buy signal on your Chart (Red Spot)
• DeMark Range Expansion Index
• Stock Trading Rules - Percentage That Passed in the Last Trading Days
• Combination Element from Lexicographical Index
• Connors Alvarez MDD MDU Strategy
• Random Value for Each Trading Bar
• MSR Support-Resistance Trading Indicator
• Polarized Fractal Efficiency
• More trading objects...

Fundamental Analysis

• S&P 500 Earnings and Price Earnings Ratio Estimations
• Price to Book Ratio Historical Data - Market to Book
• Finviz Downloader
• St. Louis Fed Financial Stress Index
• iShares ETFs - Class, Total Net Assets, Inception Date and Number/Top Holdings
• Optionable Stock
• ASX Fundamental data
• Next Split Ex-Date In Days
• Financial fundamental data for US companies
• NSE Board Meetings
• More trading objects...