Connors 2-Period RSI Update For 2014

About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • MP says:

    To be clear, the modified strategy buys the close whenever the 1-day RSI(2) (using expected close price) is 10 or lower, right? I.e., it is not using the cumulative RSI(2).

    Also, is the exit executed on close (if close is > 10d MA), or on the following open?


    • The modified strategy buys at the close of the current bar when the 2-period RSI crosses below 10. It does not use the cumulative RSI. The exit also occurs at the close of the current bar when the close price is above the 10-day SMA.

  • Ryan says:

    Have you looked at Mike Bryant’s article discussing an adaptive inverse Fisher RSI?

    Interesting approach.


  • Jim Stanclift says:

    The RSI2 Strategy Files (Trade Station ELD) code differs from the RSI2 Strategy File (Text file) given above. Which one is the one that you have modified to improve the equity curve? What is the EL code for normalization or where can it be found?

    In the future, something that would be very helpful to understanding a EL coded program at first reading, would be a English language definition of the variables and inputs. Yes, some are obvious and others are arcane. We are trying to learn from you so an explanation of terms would be helpful.

    • Hello Jim. I’m looking at the text file version and that appears to have the correct input values. Both the text file and the ELD file should be nearly identical in that 1) they both use RSI(2) as a entry trigger and 2) they both use an SMA as an exit. The only difference between the Connor’s trading model and my slight modification is changing the look-back values from from 5 to 10. I do admit I assume the reader will have some general understanding of coding when I write the articles. I’ve been thinking about creating a series of articles or free training videos on the basics of EasyLanguage coding. This is where I would explain in detail simple trading models, like the one we are looking at now, and what each line of code means. Would this be something you would be interested in?

  • MP says:

    What about the rare case where the predicted close price is below RSI(2) of 10, but above the 10d MA (or barely below it)? No trade in that case? (Using “Modified Trading Model” above).

    • Hello MP. That condition is taken care of in the entry logic of the code. Indeed, you don’t want to open a trade if the exit condition is already true. Here is the line of code:

      If ( RSI_Value < = RSIThreshold ) And ( Close > MA200 ) And ( Close < ExitMA ) Then buy("RSI Buy") vShares shares this bar at close;The code will make no distinction of "barely" below it. It's strictly a boolean value. However, there is no reason why one could not code a requirement demanding the distance from the exit SMA be some X distance away before opening a new trade.

  • Werner says:

    Let’s assume you get kicked out after the 2% stop loss. The marked goes still down this day. Do you enter a new trade at the end of this day?
    Regards, Werner

    • Yes, you would buy again. As long as buy conditions are true and your position is flat.

  • Robert says:

    How can I get the code programmed to run on MT4 using a FXCM or account? Thx.

    • Hello Robert. Sorry but I’m not familiar with that platform. Maybe someone else can help who is reading this? Another option is to take it to another forum where you can probably find someone to covert it for you.

  • Ryan says:

    What about letting the profits run? Once the close is above the 10 day it doesn’t exit until the stop or a subsequent close below the 10 day. So the same amount of risk you let it run more. Certainly win pct declines but I wonder if overall profitability climbs.

  • kora says:

    checked the same ,for $SPY with entry set as at close when RSI(2) is below and exit set to a higher close in next five days , otherwise with a loss at the fifth trading day , since Y2K to Dec 2015
    75 trades ,
    68 wins ,
    avg per trade at 1.3% , median at 0.83 % ,
    avg win trade at 1.74% , avg loss trade at -3.02%
    with a profit factor of 5.6,/first_positive_prsnt/2000-01-01/2016-01-10

  • Bruno says:

    I see a problem. The buy and sell orders are modeled to enter the close of the bar, but at the end of the bar is unrealistic entering orders in response to the aid of TS. I leave the link below.||bar|bar||on||close|close|close|close|close

    • Hello Bruno. Thanks for posting. This market study is fine. Using those orders for back testing a concepts is OK. More specifically, I trade futures so entering at the end of the day is still possible. I’ll also trade at a lower time-frame, say a 5-minute bar which provides even more flexibility. Nonetheless, if you’re uncomfortable with the study you can simply change the code to use “next bar at open”.

  • Bruno says:

    Hi Jeff.
    When I add the order to enter the market the next bar the system becomes much worse.


    • Hello Bruno. I just ran the study changing the order to “next-bar” and it produced what I would call a small change. Net profit falls from $146,762 to $136,209. Profit factor falls from 2.04 to 1.97. In my opinion it’s not a big deal and RSI can be used to create both systems that enter at the close of the bar (trading futures) or entering at the open of the next daily bar (trading ETFs).

  • Mike says:

    Hi Jeff. Is there any chance of having this strategy in Python code format?

  • Hardik says:

    Hii Jeff,

    Have you not updated results for the same strategy for 2015-2016 ??


    • You’re right. It has been a while since the last update. I’ll make point to update it soon.

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