SPY Swing Strategy Using RSI and Fast-Slow EMA Crosses

Summary

This SPY strategy uses the relative strength index of the average of each bar’s open, high, low, and close, then smooths that indicator with two exponential moving averages. A faster smoothed line crossing above 50 opens a long position; a slower line crossing below 50 opens a short position. The author presents the approach as a momentum system that accepts frequent losing trades in pursuit of larger average winners.

The stated backtest covers March 2011 through the then-current date, with dividends excluded. It reports 657 trades and estimates performance after subtracting a stated per-order cost, comparing the result with buy-and-hold SPY. These figures are historical claims from the author, not independent validation. The test excludes dividends and may not capture all execution costs, and the author notes that the strategy was built with hindsight and that future performance is uncertain.

Key ideas

• The strategy calculates RSI from the bar’s OHLC average and applies fast and slow exponential averages.
• A fast RSI average crossing above 50 triggers a long entry.
• A slow RSI average crossing below 50 triggers a short entry.
• The author attributes the proposed edge to winners being larger than losers despite a low win rate.
• The reported historical comparison excludes dividends and relies on assumed trading costs.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.