Trading Edge 60

Instrument/asset

Gold (GLD)

Trading rules

The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):

  • Today’s low is higher than yesterday’s high; and
  • Yesterday’s 5-day RSI was below 40. 

Results

Below is the table if we hold for N days since GLD’s inception:

If we exit after 2 trading days we get the following equity curve:

 

Improved strategy

The strategy can be improved by adding a volume filter. 

Similar Posts