Algorithmic setups for trading popular U.S. ETFs

Figures & data

Figure 1. The Relative Strength Index

Notes: Figure 1 shows that when RSI was below 30, the security has shifted from downtrend to uptrend and when it was above 70 the trend shifted the opposite way.

Table 1. Original RSI-based trading results

		SPY	QQQ	IWM	XLF	XLK	XLI
1	Number of closed trades	26	30	27	23	28	29
2	Profit Factor	0.946	1.067	1.13	0.506	0.607	0.974
3	Total P/L	−10.15	8.07	13.91	−19.41	−27.26	−1.56
4	% RSI P/L	−9.93	13.09	25.69	−91.94	−76.50	−5.90
5	% B&H P/L	154.36	102.72	168.80	29.60	22.62	176.60
6	5-4	164.29	89.63	143.11	121.54	99.12	182.5
7	St. Dev	1.21	1.77	1.48	1.96	1.60	1.32

Notes: The table reports the number of close trades meaning the overall amount of trades (long or short) were opened and closed during the examined period of time. The profit factor is a factor which measures by the gross profit divided by the gross loss including commissions for the trading period. Total P/L is the dollar value of the strategy profit or loss. % RSI P/L is the percentage profit or loss. % B&H P/L is the percentage of profit or loss of the B&H strategy for a parallel period of time and St. Dev denotes the standard deviation.

Table 2. Optimal RSI-based trading results

		SPY	QQQ	IWM	XLF	XLK	XLI
1	Number of closed trades	155	147	139	130	153	149
2	Profit Factor	1.10	1.17	1.37	1.13	1.244	1.405
3	Total P/L	40.65	41.76	72.12	7.47	25.79	39.17
4	% RSI P/L	30.94	75.32	139.74	40.48	72.38	157.05
5	% B&H P/L	101.07	193.29	194.69	49.67	85.23	196.43
6	5-4	70.13	117.97	54.95	9.19	12.85	39.38
7	St. Dev	1.21	1.77	1.48	1.96	1.60	1.32

Notes: The table reports the number of close trades meaning the overall amount of trades (long or short) were opened and closed during the examined period of time. The profit factor is a factor which measures by the gross profit divided by the gross loss including commissions for the trading period. Total P/L is the dollar value of the strategy profit or loss. % RSI P/L is the percentage profit or loss. % B&H P/L is the percentage of profit or loss of the B&H strategy for a parallel period of time and St. Dev denotes the standard deviation.

Table 3. RSI CMF-based trading strategies

		SPY	QQQ	IWM	XLF	XLK	XLI
1	Number of closed trades	38	31	22	37	44	46
2	Profit Factor	1.31	1.58	1.72	1.75	1.60	1.53
3	Total P/L	56.76	62.65	49.73	23.87	30.75	31.62
4	% RSI CMF P/L	44.48	104.83	98.16	129.03	88.48	125.12
5	% B&H P/L	108.04	164.87	205.46	50	95.68	197.70
6	5-4	63.56	60.04	107.3	−79.03	7.2	72.58
7	St. Dev	1.21	1.77	1.48	1.96	1.60	1.32

Notes: The table reports the number of close trades meaning the overall amount of trades (long or short) were opened and closed during the examined period of time. The profit factor is a factor which measures by the gross profit divided by the gross loss including commissions for the trading period. Total P/L is the dollar value of the strategy profit or loss. % RSI P/L is the percentage profit or loss. % B&H P/L is the percentage of profit or loss of the B&H strategy for a parallel period of time and St. Dev denotes the standard deviation.

Table 4. CCI-based trading strategies

		SPY	QQQ	IWM	XLF	XLK	XLI
1	Number of closed trades	252	350	327	351	365	347
2	Profit factor	1.45	1.22	1.29	1.61	1.30	1.30
3	Total P/L	236.62	79.69	101.89	50.74	50.28	47.21
4	% CCI P/L	193.34	161.80	194.70	258.74	205.22	188.38
5	% B&H P/L	121.39	239.28	193.44	46.71	97.27	195
6	5-4	−71.95	77.48	−1.26	−208	−107.95	6.62
7	St. Dev	1.21	1.77	1.48	1.96	1.60	1.32

Notes: The table reports the number of close trades meaning the overall amount of trades (long or short) were opened and closed during the examined period of time. The profit factor is a factor which measures by the gross profit divided by the gross loss including commissions for the trading period. Total P/L is the dollar value of the strategy profit or loss. % RSI P/L is the percentage profit or loss. % B&H P/L is the percentage of profit or loss of the B&H strategy for a parallel period of time and St. Dev denotes the standard deviation.

Figure 2. Bollinger Band

Table 5. Bollinger Bands-Based Trading Strategy Results

		SPY	QQQ	IWM	XLF	XLK	XLI
1	Number of closed trades	123	121	119	118	127	127
2	Profit factor	1.75	1.55	1.95	1.03	1.16	1.83
3	Total P/L	212.10	110.64	136.53	1.98	17	63.87
4	% BB P/L	163.35	205.11	251.11	10.80	46.25	259.84
5	% B&H P/L	105	207	182.62	51.63	82.66	208.17
6	5-4	−58.35	1.89	−68.49	40.86	36.41	−51.67
7	St. Dev	1.21	1.77	1.48	1.96	1.60	1.32

Notes: The table reports the number of close trades meaning the overall amount of trades (long or short) were opened and closed during the examined period of time. The profit factor is a factor which measures by the gross profit divided by the gross loss including commissions for the trading period. Total P/L is the dollar value of the strategy profit or loss. % RSI P/L is the percentage profit or loss. % B&H P/L is the percentage of profit or loss of the B&H strategy for a parallel period of time and St. Dev denotes the standard deviation.