Are Breakeven Stops Worth The Effort? It’s been about a year since I’ve taken a look at the reverse engineering rsi amibroker forex popular 2-period RSI trading method by Larry Connors and Cesar Alvarez.
We all know there are no magic indicators but there is an indicator that certainly acted like magic over several decades. During 2011 the market experienced a sudden and sustained drop which put the system into loss. It has been slowly recovering since. Below is an equity graph depicting the trading system’s equity curve trading the SPX index from 1983. You can easily see the large drop around trade number 120.
Here is a closeup view of the last 19 trades, which covers about the last five years. The trading rules from Larry Connors are very simple and consist of long-only trades. Price must be above its 200-day moving average. Exit when price closes above the 5-day moving average. Number of shares is normalized based on a 10-day ATR calculation. L of each trade is not reinvested.