RSI-Profit trading strategy - simplicity and accuracy

Dear readers, in this issue we will look at the RSI-Profit trading system. It is quite simple and uses popular indicators to determine signals RSI, moving average and Parabolic SAR. It is suitable for beginner traders, as well as speculators with trading experience.

Rules of the trading strategy

For trading, as mentioned above, we use the following indicators:

- Parabolic SAR - the settings are standard;
- RSI with a period of 8, constructed by the weighted closing price;
- exponential moving average, which is based on the values of the RSI indicator (let's call it RSI_MA).

The i-MaOnRSI indicator, which combines the latter two in one window, was written for convenience.

Signal to open a buy trade: RSI indicator crosses the RSI_MA from the bottom up, with Parabolic SAR is below the closing price of the last bar. Protective StopLoss is set at the lowest minimum among the last 4 bars.

Signal to open a sell trade: RSI crosses the RSI_MA indicator from top to bottom, with Parabolic SAR above the closing price of the last bar. StopLoss is set at the highest maximum among the last 4 bars.

StopLoss to buy The move when crossing the RSI indicator RSI_MA from the top down to the minimum of the last bar, to sell - when crossing from the bottom up to the maximum of the bar. Trailing Stops are not used in this strategy and Take Profit is not set, any transaction is always closed only by Stop Loss.

Each order is opened with a fixed percentage of the deposit.

Fig. 1. Example of opening a sell deal using the trading strategy.

Fig. 2. Example of opening a buy trade using the trading strategy.

The strategy in programming is not difficult, the RSI_Profit Expert Advisor is written, so you can start testing.

Testing a trading strategy by the author's rules

A distinctive feature of the Expert Advisor on the presented strategy was a kind of capital management system. Trading system RSI_Profit is a trend system, and shows the best option for long-term unidirectional market movements. It is this factor that became fundamental in the development of the Money Management system. The Expert Advisor analyzes the last two series of trades (the value of each of which is set in the external parameters of the Expert Advisor), on the basis of which it is decided whether to trade with a fixed percentage of the deposit, or preferably with the minimum lot.

Test the advisor will be on the hourly chart for the last three years. The settings of the Expert Advisor are standard. The risk for each transaction is set at 5% of the deposit, without using the function of lot optimization for trading so far. The initial deposit is 10 000$.

Let's start testing with the EURUSD pair. The first picture is a fixed lot (0.1).

Fig. 3. Testing of the Expert Advisor on the EURUSD pair by the author's rules.

As you can see, the Expert Advisor opens trades quite often - an average of 2-3 per day. At the same time, the Expert Advisor has been tested for three years with a drawdown of about 30%. Quite a good result considering the fact that the Expert Advisor has not been optimized at all. Let's look at the same test, but using the work lot optimization function (see Fig. 4):

Fig. 4. Testing of the Expert Advisor on EURUSD by the author's rules with optimized lot.

We did not make any profit, but the balance graph is smoother, the drawdown has decreased a little (to 24%).
So as not to bore the reader with graphs, let us point out at once that when using the check function lot the balance curve is smoother in almost all cases, and the drawdown decreases and partially increases the profitability. Therefore further tests will be carried out only with the lot check function.

Let's see the results of the trading strategy on GBPUSD, same settings.

Fig. 5. Testing the Expert Advisor on GBPUSD by the author's rules with optimized lot.

For pound The Expert Advisor even showed some profit (based on three years of testing) amounting to + 2% from the deposit. Although the graph shows that the last two years were not the best times for this system.

Next, consider a balance chart for the currency pair AUDUSD.

Fig. 6. Testing the Expert Advisor on AUDUSD by the author's rules with optimized lot.

As you can see, as a result of the test was a loss of 50% from the starting balance. It is difficult to add something here - the result is depressing.

The last balance chart for testing the trading strategy was obtained for the pair NZDUSD.

Fig. 7. Testing of the Expert Advisor on NZDUSD by the author's rules with optimized lot.

For the New Zealand dollar the result was the worst. It is hard to say what the results of the last two pairs are connected with. Probably, the volatility of the trading instrument influences it in the first place, as they both have the raw material orientation.

Given the fact that the result of testing on GBPUSD turned out to be the best, the optimization of the Expert Advisor will be conducted exactly on it.

Optimizing a trading Expert Advisor

Since the number of trades of the Expert Advisor is large enough, the optimization will be conducted for a period of about 8 months, after which we will conduct forward test in the last four months.

The main parameters here are: the periods of averages to analyze the history, the lot to trade and the percentage of risk of the deposit. You can experiment with the external settings of the indicators.

Fig. 8. Testing the Expert Advisor on GBPUSD with optimized parameters.

After optimization the price chart has become more attractive, but not ideal. The drawdown of the Expert Advisor was 55% of the initial deposit, while the net profit for the year reached the value of 170% of the initial capital that can be considered as an acceptable result.

Download EA | Download the results of testing and optimization of the expert