The classic RSI strategy by Larry Connors was tested on Nifty futures data of 10 years using BuildAlpha and the results were comparable to those obtained on SPY/QQQ and other ETFs.
Connor's original rules were as under:
Entry rules:
Close > EMA200
RSI 4 period < 25
Exit rules:
When RSI4 closes above 55.
BuildAlpha was used to test the rules on Nifty futures and the exit level was found to be better at RSI of 70
Strategy metrics are
PnL/DD raio of 9.2
Win rate of 76%
Profit factor of 3.3
Sharpe of 0.5
E Ratio remains above 1.
