QuantifiedStrategies.com - 📈 TRIPLE RSI STRATEGY (90.36% WIN RATE) | BACKTESTED ✅ Come along wi...
No better than luck
Indistinguishable from random entries
- trades tested
- 42
- per trade after costs
- +68.8bp
- winners
- 79%
- years of data
- 15.9
Daily long-only pullback system on the S&P 500 / SPY: buy at the close when the 5-day RSI is below 30, has fallen three days in a row, was below 60 three days ago, and the close is above the 200-day moving average. Sell at the close when the 5-day RSI crosses above 50.
The exact rules we tested
- 01Instrument: SPX | Signal timeframe: 1d | Direction: long
- 02LONG when: (rsi5 < 30) AND ([rsi5 < rsi5_l1] on each of the last 3 bars) AND (rsi5_l3 < 60)
- 03Long filter: close > sma200
- 04Entry: market at the signal bar's close
- 05Stop: none (as taught - the trade closes only on its exit rule)
- 06Entry fills at the signal bar's close (market-on-close)
- 07Exit signals fill at that bar's close (market-on-close)
- 08Exit longs when: rsi5 crosses above 50