Wilder’s RSI: Extending the Time Horizon (substitute for Exploring Charting Technique)

I provide a system that uses the author’s adjustable RSI bands that automatically adjust to the appropriate level for the input RSI length. The system is very simple:

• Buy next bar at market open when the RSI is less than the lower confidence interval band (RSI_CILOW).
• Exit the long position next bar at market open when the RSI is greater than the upper confidence interval band (RSI_CIUP).
• Reverse rules for shorting.
• I have a parameter that allows testing long only, short only or both long and short.
• The system lost when the short side was allowed to trade.

Figure 1 shows the AIQ EDS Summary long only back-test report using the NASDAQ 100 list of stocks over the period 5/11/2000 to 5/12/2014. Neither commission nor slippage have been subtracted from these results. In running this test, I used a capital protect of 98% which is equivalent to a 2% stop loss using the close. All entries and exits are at the next open. I could not get the short side to show a profit even with added market timing filters for trend on the NASDAQ 100 index.