RSI SPY Trading Strategy: Insights and Implementation
SPY is very mean revertive and RSI is a mean revertive indicator. Does this mean that RSI works on SPY? In this post, we test an RSI SPY trading strategy. It turns out that our hypothesis is correct: the RSI works well on SPY. Even better, we improve the strategy by adding one extra indicator.
The trading strategy is really simple and reads like this in plain English:
If RSI(2) is less than 15, then enter at the close.
Exit on close if today’s close is higher than yesterday’s high.
Below is the accumulated profit curve from 1993 until today.
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/rsi2-on-spy/