R2 Strategy

R2 strategy is based on RSI fast with period 2 setting.
Time frame daily.
RSI is an indicator used with 14 periods but statistical observation suggests that even when it is used co 2-3 or 4 period can help in trading with good results.
Trading Rules R2 Strategy
Buy
1. The price is above its 200-day simple moving average
2. Day 1 - the 2-period RSI is below 65. This tells us that the market is in a neutral to possibly oversold condition.
3. Day 2 - the 2-period RSI closes lower than Day 1.
4. Day 3 - the 2-period RSI closes lower than Day 2.
5. Buy the market on the close Day 3.
6. Exit when the 2-period RSI closes above 75 level.
Sell
1. The price is below its 200-day simple moving average
2. Day 1 - the 2-period RSI is above 35. This tells us that the market is in a neutral to possibly oversold condition.
3. Day 2 - the 2-period RSI closes higher than Day 1.
4. Day 3 - the 2-period RSI closes higher than Day 2.
5. Sell the market on the close Day 3.
6. Exit when the 2-period RSI below 25 level .
Here are a back test on S&P 500 from Jan 1, 1995 to December 31, 2006:
Number of trades: 102
Percent correct: 84.31%
Total S&P points gained: 1013.90
Average holding period/trade: 5.76 days
Here are some recent trade examples using the Improved R2 Strategy to trade the SPY. In each example, the SPY is trading well above the 200-day simple moving average (rule 1) and therefore not shown.
1. The SPX is above its 200-day simple moving average (not shown).
2. Day 1 - the 2-period RSI is below 65. On 02/08/07 the 2-period RSI is 59.80.
3. Day 2 - the 2-period RSI closes lower than Day 1. On 02/09/07 the 2-period RSI is 9.73.
4. Day 3 - the 2-period RSI closes lower than Day 2. On 02/12/07 the 2-period RSI is 5.80.
5. Buy the market on the close Day 3. On 02/12/07 buy SPY at 143.50.
6. Exit when the 2-period RSI closes above 75. On 02/14/07 sell SPY at 145.78.
1. The SPX is above its 200-day simple moving average (not shown).
2. Day 1 - the 2-period RSI is below 65. On 01/25/07 the 2-period RSI is 29.15.
3. Day 2 - the 2-period RSI closes lower than Day 1. On 01/26/07 the 2-period RSI is 25.37.
4. Day 3 - the 2-period RSI closes lower than Day 2. On 01/29/07 the 2-period RSI is 20.15.
5. Buy the market on the close Day 3. On 01/29/07 buy SPY at 141.95.
6. Exit when the 2-period RSI closes above 75. On 01/31/07 sell SPY at 143.75.
1. The SPX is above its 200-day simple moving average (not shown).
2. Day 1 - the 2-period RSI is below 65. On 12/20/06 the 2-period RSI is 44.46.
3. Day 2 - the 2-period RSI closes lower than Day 1. On 12/21/06 the 2-period RSI is 14.45.
4. Day 3 - the 2-period RSI closes lower than Day 2. On 12/22/06 the 2-period RSI is 4.43.
5. Buy the market on the close Day 3. On 12/22/06 buy SPY at 140.75.
6. Exit when the 2-period RSI closes above 75. On 12/27/06 sell SPY at 142.51.

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