This week TradingMarkets.com released a new strategy guide book into their series called ‘S&P 500 trading with ConnorsRSI’. The guidebook contains detailed rules, test results and instructions for trading an S&P 500 long-only strategy.
Highlights of the strategy:
- Simple rules: There are just a few simple rules to follow, one of the main stock entry and exit criteria is based on their indicator called ConnorsRSI.
- Variations to suit you: 80 variations of the strategy are described which offer differences such as frequency of trades, %Win rate, days held, etc
- High win rates: A large percentage of the variations show winning trade rates over 80%
- Exact limit orders: The rules determine when a setup condition has occurred and give precise entry limit order calculations for entering a trade
- Precise Exits: The rules show exactly when to exit a trade
- End-of-day: You can follow this strategy using end-of-day data after the market has closed, no need to watch the market during the day.
- Can use options: A section of the guidebook details how to use options to follow the strategies if you prefer to trade options.
How to Automate:
Today we released a new EdgeXcel trading template set that automates the process of finding the signals and running your own backtests on the strategies.
In the template set there are two template, a ‘signals’ template and a ‘backtest’ template
The Signals Template
The signals template implements the exact rules described in the guidebook for finding stocks that meet the rule criteria. It shows exact limit orders to enter for the next day and indicates when a trade should be exited.
The Signals template showing exact limit orders to place for the next day
This template can be run over any list of stocks but of course the strategy has been designed to work on the S&P500 so it should mainly be used with that list.
Every evening, after the market has closed and the end-of-day data has been updated, press the ‘run’ button to see the signals.
The Backtesting Template
Sometimes you want to verify that the strategy is still working, and rather than wait for the next publication of the guidebook the backtesting template (aka, trade simulation template) allows you to view up-to-date results.
This template runs all 80 variations of the strategy over any amount of historical data and produces a separate report for each strategy variation and a summary report of all the variations.
Backtest results summary template
Note: The backtest report can take a few minutes to complete due to the amount of data being processed. As an example on my machine backtesting 10 years of S&P500 data for all 80 variations of the strategy took approximately 20 mins. This is a report that you can run once in a while to make sure the strategy is still on track.
The results of this report closely match the results in the strategy guide but it is important to note that this report is using current data, which means the latest stock price data and the current instance of the S&P500 list. The backtest does not take into account the changes in the S&P500 components over the testing period, however the strategy guidebook’s test results do.
Individual Variation Reports
The backtest template also creates individual reports for each variation which include a complete trade list and daily equity chart. Here’s an example of a trade list from one of the reports:
Individual variation report includes the complete trade list (this one is for the (W=10, X=100, Y=6, Z=50) variation
Summary
The new ‘S&P 500 trading with ConnorsRSI’ Templates can be run inside EdgeRater’s software to give daily trading signals and produce backtest reports. The templates implement the exact rules described in the new strategy guide.