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World's simplest RSI strategy

In algo development you should think Simplicity over Complexity ALWAYS(!). If you find yourself building a complex system with loads of entry and exit conditions, trade filters and compounds of code you are on the wrong path;

If your system doesn't show promise within the first lines of code, with just a few conditions, you should disregard and pursue another idea.


Less is always better, and the following strategy is just that. I would like to call it the World's simplest RSI strategy as it has only one entry condtion and only one exit condition, and that's it!


Entry condition

  1. RSI[2] is below 15


Exit condition

  1. Today's close is above yesterdays high


Here's the equity chart from Aug 1990 until today

It's a smooth equity curve with long periods with no major drawdowns


Statistics (Aug 1990 - today)

  • 71.94% winrate

  • 563 trades

  • 3625 points gained

  • 416 points max drawdown

  • 24.79% time in market

  • 1.81 Gain/Loss Ratio

  • Positive returns in 32 of 35 years


I think it's worth nothing that you're similar returns with this strategy as a buy & hold strategy, and that is with only 24.79% time in market. Combine this swing strategy with some other strategies to leverage your capital when the strategy is not in market, and you will overachieve the index without doubt.



The ProRealTime™ code

DEFPARAM CUMULATEORDERS = FALSE

rsiValue = RSI[2](close)

IF rsiValue < 15 THEN
BUY 1 CONTRACT AT MARKET
ENDIF

IF close > high[1] THEN
SELL 1 CONTRACT AT MARKET
ENDIF

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