DIARY
One we couldn't eliminate.
After many tests, one remained. That doesn't mean it wins. This page records what was checked and what remains in doubt.
RESULTConclusion
- Four ideas stayed positive after costs in both halves. Because they were picked after seeing results, we fixed pass conditions before rechecking them.
- Only the RSI2 pullback passed every condition, and it was also positive on unused 2018–2021 daily data: +2.5% with swap (123 trades).
- This is not a report that we found a winning method. It records that this test failed to eliminate it. The reasons are under “Reasons for doubt” below.
VERDICTSThe four verdicts
| Idea | Original | Verdict |
|---|---|---|
| RSI2 pullback (indices) | +22.5% | Passed all |
| RSI14 reversal (daily) | +13.8% | Failed: 35/65, 2nd half |
| Bollinger reversal (daily) | +11.9% | Failed: swap, 1st half |
| Monday long (indices) | +32.5% | Failed: one bar later |
Positive in both halves with double spread, one bar later, current swap applied to the whole period, and nearby parameters. Any survivor must also be positive with spread and swap on pre-2022 data.
RSI2The RSI2 pullback
Six stock indices, daily. Above SMA200, buy when RSI(2) falls below 10; exit when the close is above SMA5 (max 10 days). Long only. Win rate 73.5%, 294 trades, random average +4.8%.
Before costsAfter costs
| Condition | Trades | Win rate | Before costs | After costs | 1st half | 2nd half | Random avg | Verdict |
|---|---|---|---|---|---|---|---|---|
| Original | 294 | 73.5% | +23.7% | +22.5% | +6.9% | +15.6% | +4.8% | Pass |
| Double spread | 294 | 71.8% | +23.7% | +21.2% | +6.2% | +15.1% | +4.8% | Pass |
| One bar later | 294 | 73.1% | +18.8% | +17.6% | +5.4% | +12.2% | +3.9% | Pass |
| With swap (estimate) | 294 | 69.4% | +23.7% | +17.7% | +4.5% | +13.1% | +4.8% | Pass |
| Level 5 | 156 | 76.9% | +13.8% | +13.1% | +3.9% | +9.2% | +2.5% | Pass |
| Level 20 | 503 | 70.6% | +26.0% | +23.8% | +6.7% | +17.1% | +8.6% | Pass |
UNUSED DATAThe unused-data test
Before 2022 no spread was recorded, so we used each symbol's post-2022 median. Swap is the current value; JP225's is currently zero.
| Symbol | Period | RSI2 trades | Win rate | After costs | With swap | Monday long |
|---|---|---|---|---|---|---|
| US500 | 2018-06-29 – 2021-12-31 | 23 | 69.6% | +1.65% | +1.16% | +4.98% |
| USTEC | 2018-06-29 – 2021-12-31 | 23 | 60.9% | +1.75% | +1.18% | +5.29% |
| US30 | 2018-06-29 – 2021-12-31 | 23 | 78.3% | +0.78% | +0.42% | +4.09% |
| JP225 | 2019-07-10 – 2021-12-31 | 16 | 87.5% | +1.24% | +1.24% | +3.18% |
| DE30 | 2018-01-04 – 2021-12-30 | 23 | 73.9% | −1.21% | −1.61% | +4.50% |
| UK100 | 2017-12-29 – 2021-12-31 | 15 | 60.0% | +0.27% | +0.07% | +1.77% |
REASONS FOR DOUBTReasons for doubt
- Long only. The data covers a long rise in stock indices. A prolonged bear market could change the result.
- One out of many. This diary ran over 510 tests. With that many, something will look good by chance.
- Few trades. 294 trades across 6 indices that often move together, so the effective count is lower.
- The unused-period gain is small. +2.5% over 123 trades, with 1 of 6 symbols negative.
- Swap is an estimate. The current value is applied to all periods; the real past values are unknown.
MONDAYAbout the Monday long
Monday in stock indices made +32.5% originally, and +23.8% on pre-2022 data. It failed by the rule we set, though buying on Tuesday is really a different trade, so that test may have been too harsh for this idea. Much of the gain sits in the second half, and the H1 version that avoids swap made +1.6% in the first half. We'll keep watching it.
| Condition | Trades | Win rate | Before costs | After costs | 1st half | 2nd half | Random avg | Verdict |
|---|---|---|---|---|---|---|---|---|
| Original | 1,473 | 56.6% | +39.4% | +32.5% | +9.0% | +23.6% | +2.3% | Pass |
| Double spread | 1,473 | 54.1% | +39.4% | +25.7% | +4.3% | +21.4% | +2.3% | Pass |
| One bar later (Tuesday) | 1,470 | 46.4% | +8.6% | −0.9% | −4.7% | +3.8% | +2.3% | Fail |
| H1, avoiding swap | 1,425 | 56.1% | +32.4% | +24.0% | +1.6% | +22.4% | +2.3% | Pass |
FAILEDThe other two failures
RSI14 reversal (daily)
| Condition | Trades | Win rate | Before costs | After costs | 1st half | 2nd half | Random avg | Verdict |
|---|---|---|---|---|---|---|---|---|
| Original | 461 | 60.7% | +14.5% | +13.8% | +6.9% | +6.9% | −4.9% | Pass |
| Double spread | 461 | 60.3% | +14.5% | +13.1% | +6.4% | +6.6% | −4.9% | Pass |
| One bar later | 462 | 62.1% | +14.7% | +14.0% | +7.7% | +6.2% | −4.7% | Pass |
| With swap (estimate) | 461 | 59.7% | +14.5% | +10.1% | +4.6% | +5.5% | −4.9% | Pass |
| RSI 35/65 | 774 | 59.6% | +2.5% | +1.4% | +1.5% | −0.1% | −6.8% | Fail |
| RSI 25/75 | 212 | 60.4% | +6.1% | +5.8% | +0.8% | +5.0% | −3.0% | Pass |
Bollinger reversal (daily)
| Condition | Trades | Win rate | Before costs | After costs | 1st half | 2nd half | Random avg | Verdict |
|---|---|---|---|---|---|---|---|---|
| Original | 918 | 63.8% | +13.2% | +11.9% | +3.8% | +8.1% | −6.1% | Pass |
| Double spread | 918 | 63.5% | +13.2% | +10.5% | +2.9% | +7.6% | −6.1% | Pass |
| One bar later | 928 | 63.1% | +11.7% | +10.3% | +3.7% | +6.6% | −5.7% | Pass |
| With swap (estimate) | 918 | 62.1% | +13.2% | +4.3% | −0.7% | +5.1% | −6.1% | Fail |
| 1.5σ | 1,254 | 64.4% | +5.7% | +3.9% | +0.7% | +3.2% | −9.0% | Pass |
| 2.5σ | 458 | 61.6% | +10.8% | +10.1% | +6.5% | +3.6% | −2.3% | Pass |
This diary records tests on historical data. It does not recommend any method or symbol and does not indicate future profit or loss. Please make investment decisions at your own risk.