14 Jun Building a Daily RSI Portfolio
Building a Daily RSI Portfolio
June 14, 2023
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This week we’re looking at a Daily RSI strategy.
The Daily Heron worked pretty well a week ago and I was wondering if RSI would do as well (or better).
In our last Newsletter, we looked at a Daily RSI 245 Strategy on the GBPUSD, and it looked good (mostly).
Here are the details again:
The RSI Daily Hornet 245
- Long Trades: When RSI closes into Oversold (Length 3, Oversold 20), enter at Open of the next bar
- Short Trades: When RSI closes into Overbought (Length 4, Overbought 80), enter at Open of the next bar
- Filter: For Long, price must be above the 140 SMA (opposite is true for Short trades)
- Target: 77 pips
- Stop: 300 pips
- Extreme Exit Long: When RSI reaches 92
- Extreme Exit Short: When RSI reaches 7
If you recall, we used three currency pairs for our Daily Heron 245 portfolio. Those were the GBPUSD, EURUSD, and USDCAD. Why those?
Because USD pairs tend to move similarly (like JPY pairs tend to move similarly). So that means the settings should work reasonably well across pairs with USD in them.
Let’s see if that’s true with our RSI system.
Using the same settings, here is the Report on the EURUSD (via Portfolio Architect):
It hypothetically did pretty well, but it produces less profit and a bit more drawdown.
However, this wasn’t specifically optimized for the EURUSD, so the fact it did this well hints that the strategy might be robust.
What if we put the GBPUSD and the EURUSD together?
Here’s what that Report looked like:
The profit looks good but the drawdown isn’t really being lessened dramatically. Here are the Annual Returns:
We have some nice winning years but the 2005 problem is still there and there are still four losing years.
In our next Newsletter, we’ll add the USDCAD and see what that looks like.
Talk to you soon.
It should not be assumed that the methods, techniques, or indicators presented in these products will be profitable or that they will not result in losses. Past results are not necessarily indicative of future results. Examples presented on these sites are for educational purposes only. These set-ups are not solicitations of any order to buy or sell. The authors, the publisher, and all affiliates assume no responsibility for your trading results. There is a high degree of risk in trading.
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.