It's said that publicly known strategies sooner or later are arbitraged out of the market. I can't say it's true or not, but what I can say is that some of these strategies just seem to never stop working. One of those is the Larry Connors' R3 Strategy.
The center of the strategy is the 2 period RSI.
Here are the detailed conditions, results and code:
The rules are quite simple
RSI2 must be decreasing 2 periods in a row (starting from below 60)
RSI2 the current bar is below 10
The price is over MA200
Exit the trade when RSI2 is above 70
I tested this strategy on the daily timeframe on the France CAC40 index and here are the results.
The equity curve from January 1988 until today
Statistics (January 1988 until today)
Gain of 11549 points
80.41% winrate (total 194 trades)
Time in Market: 10.05%
Gain/Loss ratio: 3.81
Max consecutive wins: 16
Max consecutive losses: 4
Max Drawdown / Gain: 17.16%
What we are seeing is a smooth equity curve managing both bull and bear markets well. With a total gain of 11549 points, we have a simple strategy that overperforms a buy & hold strategy with 77,76% with only 10% time in market.
Backtest report
The ProRealTime™ code
RSI2 = RSI[2](close)
if RSI2[2] > RSI2[1] and RSI2[1] > RSI2[0] and RSI2[2] < 60 and RSI2 < 10 and close > average[200] then
BUY 1 SHARES AT MARKET
endif
if RSI2 > 70 then
SELL AT MARKET
endif