📈 Discover the Power of RSI Strategies on the S&P 500! 💼💡

Рет қаралды 1,437

Ай бұрын

In this video, Ali Casey explains why he frequently uses the Relative Strength Index (RSI) strategy, focusing on its application to the S&P 500. Casey demonstrates constructing multiple RSI strategies, combining them into a portfolio, and analyzing their performance. He emphasizes the RSI 2 period for its frequent signals and higher volatility responsiveness. He showcases the success of RSI strategies on the S&P 500, optimizing various RSI periods and levels, and highlights a significant performance boost using a single volatility filter across all strategies.
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Пікірлер: 20

@konjkavie Ай бұрын

Hello Ali this video was also very practical and excellent like the other videos. However, there are two requests that I wanted to mention. First, you previously used to build strategies with the Strategy Quant software, but it has been a long time since you have done that, like this RSI strategy that you use a lot. My request is that you please build these strategies with the Strategy Quant software. The second request is that it has been a long time since you have only talking about the S&P 500, and if possible, please also discuss Forex a bit.

@StatOasis Ай бұрын

Thank you for the feedback 👍

@pabslabspabslabs4589 Ай бұрын

Hi love your videos. Keeping it simple 👌 What is your volatility filter exactly and is it available?

@StatOasis Ай бұрын

Its not about a special filter, as there are hundreds to try, its just the concept to grasp is really important. Try smaller range, smaller ATR, smaller BB width, even lower vix , they all will work

@juanma9146 Ай бұрын

hi ali, what's your favorite software to optimize the max DD and build a diversified portfolio? What tools do you use to study the decorrelation between systems in a portfolio (like the images shown)? thnx

@StatOasis Ай бұрын

the data copied from Multichart and the graphs done in GPT (using a python library)

@h345s Ай бұрын

How did you calculate volatility? close-open? And then if current vol < prev vol with rsi signal you enter trade?

@StatOasis Ай бұрын

volatility is expansion/shrinking of range so range, ATR, Bollinger Bands are all can be used to measure volatility

@edwinchan8190 Ай бұрын

Thank you for the video, I won't ask about the technicals, but could you elaborate on the volatility filter and why it works? I tried controlling volatility (with ATR) for my mean reversion strategy entry and both the max drawdown and profit factor improved. I have been told that MR strategies need volatility to work so I find this a bit ironic.

@StatOasis Ай бұрын

Great question! The volatility filter ensures trades are only taken when volatility decreases, reducing the likelihood of entering during erratic market conditions. While MR strategies benefit from volatility, controlling it helps manage risk and smooth out the equity curve, leading to more stable and consistent returns. I can tell you honestly after 2 decades of trading the markets, trying to make sense of it, is not fruitful 😊 If it is working, then that is all that matters, make money while the edge is still alive. Thank you for watching, and happy trading!

@ScottAllenTVH Ай бұрын

What indicator and lookback period are you using for the volatility filter?

@StatOasis Ай бұрын

short term lookback works best, so for range, atr, bolling bands, 5-15 is the best spot

@inversioneta2906 Ай бұрын

I dont understand how do you aply this filter. The RSI will crose below the treshhold when there is a volatility expansion If you have to buy RSI crosses below certain level but the volatility should be decreasing you will have just 20% of the trades or less I have tried a 3 days range decreasing filter and i went from 173 trades to just 40 trades in the classic RSI(2D) strategy from Larry Connors (25 - 75 levels) Any comments on that?

@StatOasis Ай бұрын

of course any filter to have an effect it will reduce number of trades. the portfolio I tested had +1800 trades, and after applying the filter it had +1000 trades, so about 40% reduction in trades, but you still have a healthy number left, specially since the filter is the same for all strategies.

@ryanty5231 Ай бұрын

How is correlation between strategies measured?

@StatOasis Ай бұрын

you can do it on open trades, but in the video it is based on profit and loss, so if strategies are producing profits at the same time, then they will be positively correlated.