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RSI2 overnight returns since 1993 – Still good?

October 8, 2018

Previous post: #1 of the Cornerstones series.

Here we come with the second cornerstone of Nightly Patterns:  RSI2 (Relative Strength Index) used to filter long overnight trades on SPY back to 1993. We take all overnight trades on SPY when today’s close is above 200 SMA and RSI2 value is below 20.

Why did I choose 20 as a RSI threshold? Because this is the most common value considered as an oversold threshold. I’m not looking for the best threshold but I’m only working on the general phenomena consistency. And I’m wondering if all my patterns built on RSI2 are still solid enough.

How are 200 SMA and RSI2 dealing with the new recent data?

731 67,72 1,92 0,36 -0,4 4,09 -3,23 -4,28
T-score 5,78

It’s not doing so well from the numbers above. Profit factor (reduced from last year stats). I remember it was above 2. 731 nights from 1993. I like the compounded drawdown which keeps there under 4,5%.

And here’s the equity curve:


Impressive start in the 90’s leads to good filtering efficiency in 2001/2 and 2008/9 big bear markets (thanks to 200 SMA filter). It looks like we have problems recently, in the last year we are experiencing an important correction and we are still below the last peak on the equity line (look at the top-right corner of the chart).

Anyway, I don’t see a definite change in the structure of the curve, as we have already been recovering during the last few months. It looks like all RSI2 based patterns will continue to outperform the market as they have have done in the last 25 years!

It will continue… with the other cornerstones!

If you have any questions, please write me at:

Marco Simioni

Nightly Patterns


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