Recruitment of participants RSI Trading Strategy (SPY, QQQ, XLP)

Strategy 38: RSI Trading Strategy

Long swing trade in S&P 500, Nasdaq 100, Consumer Staples (SPY, QQQ, XLP)

A short-term trading strategy based on the RSI indicator.

Facts and figures (SPY – S&P 500):

• No. of trades: 359
• Average unleveraged gain per trade: 0.78% (1.6% for winners and -1.9% for losers)
• Win ratio: 76%
• Profit factor: 2.5
• CAGR: 8.9% (assuming no leverage)
• Exposure/time in the market: 16%
• Risk-adjusted return: 53% (CAGR divided by time spent in the market (0.16))
• Max. drawdown: -23%

The equity curve (log scale):