StockFetcher Forums · General Discussion · ConnorsRSI<< 1 ... 14 15 16 17 18 ... 32 >>Post Follow-up
619 posts
msg #110031
Ignore gmg733
1/10/2013 11:15:20 AM

@Kevin: I have a case open with Prodigio and they hope to have the update in the next few days for the exit issue. I've also had issues with my strategies buying from the wrong watchlist. Ouch!

And it seems the OHLC has changed. My RSI(4) strategy is buying intraday and it should be using next morning open for its logic as that is how the OHLC is supposed to work. OHLC is calculated on close of the forming bar if you have forming bar set to off. Doesn't seem to be working that way.

413 posts
msg #110033
1/10/2013 11:37:05 AM


ONE has a CRSI of 20.51. Connors recommends buying with a CRSI of 6. Just saying
might be too soon. I have been watching this filter myself and no buying
opportunities is not altogether a bad thing. Keeps me out of trouble. If they don't hit,
they don't hit.

I am watching HA, had to hit 6.19 for entry. CRSI was at 10.74. Close but still no entry.


4,547 posts
msg #110034
Ignore Kevin_in_GA
1/10/2013 11:44:44 AM

I'm tabling any discussions on Prodigio for now - I have a note into their support team and will work with them to address any issues.

Back to the filter for a bit ...

I mentioned in a previous post that I am now using a Williams %R(2) exit rather than the original RSI(2). The reason is that it provides better overall results - shorter trade cycles, nearly equivalent win % and average trade returns, which result in more trades and higher overall profitability.

As an example, I ran approximately 1000 randomized trade combinations of the system I shared in my post on page 1. Tthis is how real trading goes - it never selects by "volume" or "lowest rsi" which trades to enter first. Thus randomizing the possible trade combinations you might have encountered will give you a distribution of possible outcomes rather than trusting a single result. I exported the annual returns for every combination to excel and simply looked at the results as a set of histograms:


As you can see, both systems are highly profitable, with no combination ever going below 35% annual return. Note that these are for a portfolio of 5 stocks, an initial equity of $100,000, and a fixed trade size of $20,000. It is very easy to see that under almost any combination of trades the Williams %R(2) exit resulted in greater profitability. I would encourage others to adopt this if you are planning to use this system

4,547 posts
msg #110035
Ignore Kevin_in_GA
1/10/2013 11:47:26 AM

As to the filter being "super selective" ... between 1/2/2007 and 12/31/2012 it entered into just under 7100 trades. I would not call that super selective. I think that a week without trades is no big deal.

192 posts
msg #110037
Ignore sohailmithani
1/10/2013 12:00:29 PM

Pls ignore 2008 from the total trades triggered to see normal behaviour of this strategy.

I had a discussion with Larry's Research person who agreed that even for CRSI results 2008 is an outlier (excluding 2008 trades only avg 40 trades per year with the CRSI variation I was looking at having 4.67% per trade avg return compared to over 90 trades when including 2008 and returns avg% increase to 11.67%. Not bad but nothing very exciting).

683 posts
msg #110039
Ignore duke56468
1/10/2013 12:33:26 PM

Kevin aren't RSI and Williams%R basically the same indicator except Williams%R uses a negative scale. If so wouldn't your comparison have to use a similar exit i.e. >-50 and >50 to compare the outcome?

33 posts
msg #110041
Ignore ZeroSum
1/10/2013 12:39:07 PM

oldsmar, I would follow the mechanical system in exactly the way it was backtested, and not bend the rules.

4,547 posts
msg #110044
Ignore Kevin_in_GA
1/10/2013 1:08:01 PM

Pls ignore 2008 from the total trades triggered to see normal behaviour of this strategy.

Why? That was one of the most challenging times to be in a long-only strategy. I always include at least one "recession" period in any backtesting I do. Ohterwise the results are suspect. If the system does well during those times, all the more reason to consider it for real trading.

You are defining "normal" by the market. Is a 90% rise in the two years post March 2009 "normal" and therefore should be included?

Remember also that Connors "cheats" ... he assumes that every trade can be entered, regardless of cost. That means if 100 trades triggered on a particular day, his analysis is based on entering ALL of them. There were lots of pullback entries triggered in 2008 and early 2009. That does not invalidate that period from consideration.

4,547 posts
msg #110045
Ignore Kevin_in_GA
1/10/2013 1:16:24 PM


No, they are different. Here is a description of the Williams %R from

"Developed by Larry Williams, Williams %R is a momentum indicator that is the inverse of the Fast Stochastic Oscillator. Also referred to as %R, Williams %R reflects the level of the close relative to the highest high for the look-back period. In contrast, the Stochastic Oscillator reflects the level of the close relative to the lowest low. %R corrects for the inversion by multiplying the raw value by -100. As a result, the Fast Stochastic Oscillator and Williams %R produce the exact same lines, only the scaling is different. Williams %R oscillates from 0 to -100. Readings from 0 to -20 are considered overbought. Readings from -80 to -100 are considered oversold. Unsurprisingly, signals derived from the Stochastic Oscillator are also applicable to Williams %R.


%R = (Highest High - Close)/(Highest High - Lowest Low) * -100

Lowest Low = lowest low for the look-back period
Highest High = highest high for the look-back period
%R is multiplied by -100 correct the inversion and move the decimal."

And here is the description of RSI, also from

"Developed J. Welles Wilder, the Relative Strength Index (RSI) is a momentum oscillator that measures the speed and change of price movements. RSI oscillates between zero and 100. Traditionally, and according to Wilder, RSI is considered overbought when above 70 and oversold when below 30. Signals can also be generated by looking for divergences, failure swings and centerline crossovers. RSI can also be used to identify the general trend.


RSI = 100 - (100/(1 + RS))

RS = Average Gain / Average Loss"

683 posts
msg #110047
Ignore duke56468
1/10/2013 3:49:49 PM

Kevin..Thanks I should have known better!

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