Looking to set up automated trading of Larry Connors RSI 2 system

• 05/22/2016 at 4:29 PM #7691
  Diarmad

  Hi there, I am a complete novice when it comes to ProRealtime and automated trading in general.  I have read very positive things about Larry Connors simple but effective RSI-2 Swing Trading System and I’d really love to give it a try.  I understand that somebody here tried his system but only in terms of Day Trading and really its the 4/5 day Swing trading system that appears to be most effective.

  Is there anybody here who could help me implement this?

  Kind regards

  Dermot

  

  Diarmad

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  05/23/2016 at 8:29 AM #7731
  Nicolas

  Hi Diarmad,

  You are referring to this post : http://www.prorealcode.com/prorealtime-trading-strategies/rsi-2-strategy-larry-connors/

  The rules of this strategy are set for daily timeframe, so trade would last about some days. What are the rules you are talking about please?

   

  

  Nicolas

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  05/23/2016 at 5:17 PM #7807
  Diarmad

  Hi Nicolas,

  Some of the rules that make the system operate better are not included here.

  I’ll list these rules:

  1. The stock’s 100 day historical volatility is above 30.
  2. The stock’s 10 day Average Directional Index (ADX) is above 30.
  3. The stock has closed down for N-1 of the last N trading days for Longs (e.g. it has closed down 3 of the last 4 days) or the stock has closed up for N-1 of the last N trading days for Shorts (e.g. It has closed up 4 of the last 5 days)
  4. Today’s lowest price (for longs) is at least 3% below the previous day’s close.  The highest price (for shorts) is at least 3% above the previous day’s close.
  5. The 2 period RSI value is above 98 for shorts or below 2 for longs.  (this improves results significantly compared to the RSI used in the existing model).
  6. If the above rules are met buy the stock tomorrow at 4% below today’s close for Longs and sell the stock at 4% above today’s close for Shorts.
  7. Exit the trade when the stock shows closes with an RSI (2) value above 70 for Longs or and RSI (2) value below 30 for Shorts.  (This could be done manually as there are a few different options for exiting trades with Connors and it usually happens day 4 or 5 after the trade has been placed.

  How easy do you think it would be to add these rules to our existing model?

  Kind regards

  Dermot

   

   

  

  Diarmad

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  05/23/2016 at 7:03 PM #7819
  Nicolas

  This should not be so difficult.

  Maybe I’ll have a look tomorrow. Please remind me if I forgot 🙂 Thanks.

  

  Nicolas

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  05/24/2016 at 4:40 PM #7897
  Diarmad

  Thank you Nicolas!

  

  Diarmad

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  05/27/2016 at 3:33 PM #8232
  Yannick

  Hello

  Some rules are easy to code

  Please find rules

  with ADX[10]>30

  and Today’s lowest price (for longs) is at least 3% below the previous day’s close.  The highest price (for shorts) is at least 3% above the previous day’s close.

  Each time you add a rule/condition >less trades , fewer drawdown and the ratio Earning€/loss € increase

  Piece of backtest

  DEFPARAM CumulateOrders = False n = 2 // Conditions pour ouvrir une position acheteuse myADX = ADX[10] MM200 = Average[200](close) MM5 = Average[5](close) RSI2 = RSI[2](close) c1 = close > MM200 c2 = close < MM5 c3 = RSI2 < 10 c11 =low<close [1]+0.029*close[1] IF c1 AND c2 AND c3 and myADX>30 and c11 THEN // BUY n contracts AT MARKET ENDIF // Conditions pour fermer une position acheteuse c4 = close > MM5 IF c4 THEN SELL AT MARKET ENDIF // Conditions pour ouvrir une position en vente à découvert c1v = close < MM200 c2v = close > MM5 c3v = RSI2 < 90 c21 =high >close [1]+0.029*close[1] IF c1v AND c2v AND c3v and myADX>30 and c21 THEN // SELLSHORT n contracts AT MARKET ENDIF // Conditions pour fermer une position en vente à découvert c4v = close < MM5 IF c4v THEN EXITSHORT AT MARKET ENDIF SET STOP %LOSS 2

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  DEFPARAM CumulateOrders = False   n = 2   // Conditions pour ouvrir une position acheteuse myADX = ADX[10] MM200 = Average[200](close)   MM5 = Average[5](close)   RSI2 = RSI[2](close)   c1 = close > MM200   c2 = close < MM5   c3 = RSI2 < 10 c11 =low<close [1]+0.029*close[1] IF c1 AND c2 AND c3 and myADX>30 and c11 THEN // BUY n contracts AT MARKET   ENDIF   // Conditions pour fermer une position acheteuse   c4 = close > MM5   IF c4 THEN   SELL  AT MARKET   ENDIF   // Conditions pour ouvrir une position en vente à découvert   c1v = close < MM200   c2v = close > MM5   c3v = RSI2 < 90 c21 =high >close [1]+0.029*close[1] IF c1v AND c2v AND c3v and myADX>30 and c21 THEN // SELLSHORT n contracts AT MARKET   ENDIF   // Conditions pour fermer une position en vente à découvert   c4v = close < MM5   IF c4v THEN   EXITSHORT  AT MARKET   ENDIF   SET STOP %LOSS 2

   

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  Nicolas

  

  Yannick

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  05/27/2016 at 3:37 PM #8235
  Nicolas

  I started to work on this last evening, but have done something else instead, I were stuck there:

  //The stock's 100 day historical volatility is above 30. //The stock's 10 day Average Directional Index (ADX) is above 30. //The stock has closed down for N-1 of the last N trading days for Longs (e.g. it has closed down 3 of the last 4 days) or the stock has closed up for N-1 of the last N trading days for Shorts (e.g. It has closed up 4 of the last 5 days) //Today's lowest price (for longs) is at least 3% below the previous day's close. The highest price (for shorts) is at least 3% above the previous day's close. //The 2 period RSI value is above 98 for shorts or below 2 for longs. (this improves results significantly compared to the RSI used in the existing model). //If the above rules are met buy the stock tomorrow at 4% below today's close for Longs and sell the stock at 4% above today's close for Shorts. //Exit the trade when the stock shows closes with an RSI (2) value above 70 for Longs or and RSI (2) value below 30 for Shorts. (This could be done manually as there are a few different options for exiting trades with Connors and it usually happens day 4 or 5 after the trade has been placed. //indis longN1 = 0 shortN1 = 0 histovolat = historicvolatility[100]>30 adxx = adx[10]>30 longvar = ((close[1]-low)/close[1])*100>=3 //shotvar = ((high-close[1])/close[1])*100>=3 rrsi = rsi[2](close) longrsi = rrsi>98 //shortrsi = rrsi<2 //N-1 fetch lookback N = 5 //nb of days to look for a N-1 condition for i = 0 to N do if close[i]<open[i] then shortN1=shortN1+1 else longN1=longN1+1 endif next if histovolat and adxx and longvar and longrsi and longN1=N-1 then BUY 1 SHARE AT MARKET //close*0.96 LIMIT endif if rrsi>70 then SELL AT MARKET endif

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  //The stock's 100 day historical volatility is above 30. //The stock's 10 day Average Directional Index (ADX) is above 30. //The stock has closed down for N-1 of the last N trading days for Longs (e.g. it has closed down 3 of the last 4 days) or the stock has closed up for N-1 of the last N trading days for Shorts (e.g. It has closed up 4 of the last 5 days) //Today's lowest price (for longs) is at least 3% below the previous day's close.  The highest price (for shorts) is at least 3% above the previous day's close. //The 2 period RSI value is above 98 for shorts or below 2 for longs.  (this improves results significantly compared to the RSI used in the existing model). //If the above rules are met buy the stock tomorrow at 4% below today's close for Longs and sell the stock at 4% above today's close for Shorts. //Exit the trade when the stock shows closes with an RSI (2) value above 70 for Longs or and RSI (2) value below 30 for Shorts.  (This could be done manually as there are a few different options for exiting trades with Connors and it usually happens day 4 or 5 after the trade has been placed.   //indis longN1 = 0 shortN1 = 0 histovolat = historicvolatility[100]>30 adxx = adx[10]>30 longvar = ((close[1]-low)/close[1])*100>=3 //shotvar = ((high-close[1])/close[1])*100>=3 rrsi = rsi[2](close) longrsi = rrsi>98 //shortrsi = rrsi<2   //N-1 fetch lookback N = 5 //nb of days to look for a N-1 condition for i = 0 to N do if close[i]<open[i] then shortN1=shortN1+1 else longN1=longN1+1 endif next   if histovolat and adxx and longvar and longrsi and longN1=N-1 then BUY 1 SHARE AT MARKET //close*0.96 LIMIT endif   if rrsi>70 then SELL AT MARKET endif

  No trade were initiated, so I gave up at that time. This strategy seems very interesting. We should certainly build something relevant all together next week 🙂

   

  

  Nicolas

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  05/27/2016 at 7:47 PM #8252
  Yannick

  Hi Diarmad

  For my information, where do your extra parameters come from?

  your experience or from an other source?

  

  Yannick

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  05/28/2016 at 10:47 AM #8272
  Yannick

  It might be interesting to read

  http://stockcharts.com/school/doku.php?id=chart_school:trading_strategies:rsi2

  

  Yannick

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  05/30/2016 at 2:37 AM #8336
  Diarmad

  Yannick and Nicolas,

  Apologies, I was away for a few days and only saw your messages now.  I’d love to see how this progresses and how it performs in backtests.

  Yannick, the further parameters come from Larry Connors book “The 2 period RSI Pullback Trading Strategy” .  You can get it on Amazon.

   

  

  Diarmad

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  05/31/2016 at 12:57 AM #8453
  Diarmad

  Nicolas,

  Are you saying that all these parameters actually prevent any trades being initiated?  Do you know which parameter creates the largest obstacle?

  It does seem quite difficult to find stocks that meets all these criteria.  Connors mostly does it on with S & P stocks but his system is supposed to work well in many markets.

  Kind regards

  Dermot

   

   

   

  

  Diarmad

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  05/31/2016 at 11:37 AM #8518
  Yannick

  Hello

  According to backtest, this strategy (code in my previous message) is winning on all stock index (US, Europe, Asia ),oil, natural gas but doesn’t on gold and bund.

  For historicvolatility, I don’t find if the returned value is within 0-100% range or 0-1 range. 

  

  Yannick

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  05/31/2016 at 12:09 PM #8523
  Nicolas

  Yes “historicvolatility” is bounded between 0-1 range, sorry for this mistake.

  Yesterday I did some tests and found very hard to meet all these criterias at the same time. I think Yannick’s code is more relevant.

  

  Nicolas

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  05/31/2016 at 9:42 PM #8553
  Diarmad

  great work Yannick.  What sort of returns was it generating?  I have heard as high is 11% per month!

  Apologies if my question seems basic – but I am a complete newbie to automated trading

  

  Diarmad

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  06/05/2016 at 7:14 PM #8845
  Yannick

  Hello

  Please have a look on the backtest that I provided

  It is more +3% a year /index  . But you can run the algorithm on different contracts , if they are not too much correlated ex Eurostoxx, DAX, CAC40 or DowJones/SP500…

   

  I don’t see further optimisation, maybe some can help us?

  

  Yannick

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