Monday, May 17, 2021

How to read the MrTopStep RSI Scanner

In the example below, this is a scan of the S&P500 index close on August 2nd, 2017.

The RSI values for 2,3,5,8,13 and 21 days is calculated.  The numbers below those RSI values are the number of times those values have appeared in the historic dataset.  The 3 day RSI on the 8/2/2017 close was 71.97.  Our database has the SPX with this 3 day RSI, 796 times.

Searching through the database we found 27 times the 2,3,5,8,13,21 RSI have similar values for each time frame.

Example: On April 4th, 1991 the RSI values were the same as 8/2/2017.  Looking 2 days out the SPX closed down 0.29%.  13 Days out the SPX from April 4th was up 0.52% compared to the close April 4th.

A heatmap is generated for all matched results, the summary rows on the bottom indicate for each day out how many were good longs vs. shorts.  The last line is the average return for all rows.

I am interested in finding a 2:1 bias, that is 2x more long winners than short.  This scan indicates that 3 days out there were just 8 higher prices vs. 19 lower prices.   I would want to track 3 days out to see if we are lower.

Check out the scans daily before the markets open.