The first post in this series examined the historical performance of buying SPY when RSI2<10 and closing the trade after 5 days. This post will run the same test over QQQ.
Click on the graph to enlarge.
I have created a rolling 10, 20, and 50 trade average and plotted them according to the dates each trade was closed.
The difference in how this setup performs on QQQ vs. SPY is remarkable. To compare, view the SPY graph here.
For whatever reason, an extremely low RSI2 setting doesn’t seem to work very well with the Qs. Performance has never been stellar and has been in a slow decline since 2006.
I will be curious to see how changing the entry and exit criteria affect historical performance when using QQQ. For now, I am left to ponder why historically this setup has performed so differently on QQQ compared to SPY.
Really interesting, thanks. A thought, probably not too easy to implement – since a lot of tech stocks are in the S&P, and tech seems not to work so well, maybe S&P with the tech taken out would work better.
I was also wondering if you had considered using some sort of adaptive mechanism; count how frequently RSI signals occur, and adjust the trigger point (downwards?) when they happen a lot, and hold for shorter time periods. Something like what Fly has suggested for the PPT OB/OS signals when the market is trending down vs trending up.
It may be that QQQ tends to trend more and be less prone to quick reversion.
Are the signals taken in context with an uptrend? RSI2 90 in an uptrend? Or RSI2 <10 in a downtrend? These are rarely overbought/oversold readings but rather the confirmed continuation of the trend.
Please remove comment. Only about 1/10 of my comment was posted?????????????