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Written and copyright © 2008 by Thomas N. Bulkowski. All rights reserved.
This page shows a test portfolio based on the Welles Wilder relative
strength index, commonly called the RSI. You can find background information and what my tests revealed on the RSI indicator here.
I highly recommend you look at the link because it details how awful the RSI is.
Warning: I am not recommending that you use this portfolio to build a trading system or to trade the stocks listed in the portfolio. I just show
this model as an experiment of how an RSI based portfolio would do in real life. Some of the stocks have made large gains but the draw down also tends
to be huge. That means you can lose a substantial amount of money following this portfolio.
You should conduct your own research to verify this trading idea and performance before relying on the results. Historical testing
may not reflect real-time trading and past performance does not guarantee future results. See Privacy/Disclaimer for more information.
Portfolio Construction Rules
I used the following guidelines to construct and maintain the portfolio.
- Securities selected for inclusion in the portfolio come from a database of approximately 550 stocks.
- All trades are in round lots (no fractional shares) of at least 100 shares each.
- Commissions are $10 per trade ($10 for a buy and $10 for a sale).
- SEC fee is applied to all sales (not buys) at the current rate (as of May 2008) of $11/$1,000,000 of value.
- No slippage is factored into the trades.
- All trades occur at the opening price the next trading day after a signal.
- Concurrent (multiple) open positions in the same stock are not allowed.
- The portfolio can hold an unlimited number of stocks.
- Stocks priced less than $5 per share are excluded.
- Commissions and SEC fee are applied to the S&P 500 index as if it were a stock.
- Dividends are not included nor interest on cash balances, taxes, ECN fees and so on.
- Margin is not allowed.
- Each buy is for no more than $30,000, including commissions.
- For a buy, the look back is 16 days.
- Buy when the RSI drops to or below 19 and then climbs above it. This used to be 20 but I felt the portfolio was buying too frequently. The 19 value boosted performance and cut the maximum
potential loss, a win-win situation.
- Do not buy if the previous trade in the same stock was a loss and it occurred within 31 days (the wash sale rule).
- For a sale, the look back is 14 days.
- Sell when the RSI climbs to or above 80 and then drops below it.
Trading Tips
One of the things that I have noticed is that when multiple buy signals occur on the same day,
the general market may be close to a bottom. That is useful to know when timing the entry of your own trades, whether based on the relative strength index or not. The
S&P made a low on January 23, 2008, for example, and several buy signals occurred that day to be executed at the open the following morning (that signal occurred when the buy
threshold was 20).
Also notice that the max loss column is (as of this update on June 14) negative for all stocks. That suggests you wait longer for the stock to bottom before buying. Again,
this applies to when the buy threshold was set at 20.
The Portfolio
In the table, the Buy/Sell columns show the dates when shares were purchased/sold at the opening price. The Net Change column is the profit or loss of the trade, expressed
as a percentage (shares x sell price - commission - SEC fee) - (shares x buy price + commission). If the trade is still open, the closing price as of the
date the list was created is used as the sale price. The S&P Change column is the change in the S&P 500 index between the Buy
and Sell dates, using the same Net Change calculation as for the stock. The Max Loss column shows the largest drop below the buy price during
the time the stock was held.
| Stock | Buy | Shares | Price | Sell | Price | Net
Change | S&P
Change | Max
Loss |
| LIZ | 01/08/2008 | 1,600 | $18.52 | Open | $3.16 | -83.0% |
-34.2% | -92.1% | | TLAB | 01/11/2008 | 5,200 | $5.70 | Open | $4.41 | -22.7% |
-34.4% | -45.6% | | MW | 01/15/2008 | 1,600 | $18.26 | Open | $12.99 | -28.9% |
-34.0% | -54.4% | | TLB | 01/15/2008 | 4,200 | $7.03 | 06/24/2008 | $12.55 | 78.4% |
-6.7% | -7.8% | | INFN | 01/22/2008 | 3,300 | $9.06 | Open | $9.09 | 0.3% |
-29.1% | -35.9% | | AEE | 01/24/2008 | 600 | $47.68 | Open | $33.31 | -30.2% |
-30.5% | -46.5% | | CPB | 01/24/2008 | 900 | $31.59 | Open | $29.80 | -5.7% |
-30.5% | -13.4% | | CR | 01/24/2008 | 800 | $35.88 | Open | $19.14 | -46.7% |
-30.5% | -69.7% | | NFG | 01/24/2008 | 700 | $41.46 | 05/23/2008 | $61.23 | 47.6% |
3.9% | -0.9% | | PG | 01/24/2008 | 400 | $66.64 | Open | $62.17 | -6.8% |
-30.5% | -17.6% | | SLE | 01/24/2008 | 2,100 | $14.18 | Open | $10.49 | -26.1% |
-30.5% | -45.4% | | HGSI | 01/25/2008 | 4,900 | $6.12 | Open | $2.10 | -65.7% |
-31.4% | -80.4% | | WAT | 01/25/2008 | 500 | $56.93 | Open | $39.02 | -31.5% |
-31.4% | -43.4% | | EFII | 01/28/2008 | 2,200 | $13.49 | Open | $10.35 | -23.3% |
-30.0% | -44.0% | | HAYN | 01/28/2008 | 600 | $45.62 | Open | $25.65 | -43.8% |
-30.0% | -72.6% | | MOT | 01/28/2008 | 2,700 | $10.77 | Open | $4.64 | -57.0% |
-30.0% | -72.1% | | CEPH | 02/15/2008 | 400 | $61.04 | Open | $78.75 | 28.9% |
-30.9% | -5.3% | | MYL | 03/10/2008 | 2,800 | $10.63 | Open | $10.33 | -2.9% |
-28.0% | -45.9% | | LANC | 05/12/2008 | 900 | $32.21 | Open | $34.92 | 8.3% |
-33.0% | -19.2% | | PFE | 06/13/2008 | 1,600 | $17.79 | Open | $17.80 | 0.0% |
-30.6% | -19.8% | | Stock | Buy | Shares | Price | Sell | Price | Net
Change | S&P
Change | Max
Loss | | PSD | 07/02/2008 | 1,200 | $24.26 | Open | $27.36 | 12.7% |
-27.6% | -21.6% | | COL | 07/02/2008 | 600 | $49.52 | Open | $41.95 | -15.3% |
-27.6% | -43.9% | | EXP | 07/07/2008 | 1,200 | $23.59 | Open | $20.19 | -14.5% |
-26.3% | -44.8% | | FO | 07/07/2008 | 500 | $54.97 | Open | $42.10 | -23.5% |
-26.3% | -45.0% | | LDSH | 07/07/2008 | 1,400 | $20.95 | Open | $14.72 | -29.8% |
-26.3% | -48.2% | | DDS | 07/08/2008 | 2,800 | $10.42 | Open | $4.97 | -52.4% |
-25.6% | -76.0% | | CBT | 07/09/2008 | 1,200 | $23.67 | Open | $16.38 | -30.9% |
-26.9% | -43.3% | | CINF | 07/09/2008 | 1,100 | $25.51 | Open | $28.92 | 13.3% |
-26.9% | -33.1% | | GR | 07/09/2008 | 600 | $48.41 | Open | $41.04 | -15.3% |
-26.9% | -48.1% | | SMG | 07/09/2008 | 1,600 | $17.97 | Open | $31.36 | 74.4% |
-26.9% | -10.3% | | USG | 07/09/2008 | 1,000 | $27.40 | Open | $11.47 | -58.2% |
-26.9% | -79.9% | | NSH | 07/10/2008 | 1,400 | $20.00 | Open | $19.42 | -3.0% |
-25.2% | -39.2% | | RTI | 07/11/2008 | 1,000 | $29.94 | Open | $16.15 | -46.1% |
-25.4% | -73.6% | | HOC | 07/16/2008 | 1,000 | $28.00 | Open | $20.80 | -25.8% |
-23.3% | -61.3% | | NVDA | 07/21/2008 | 2,500 | $11.73 | Open | $9.17 | -21.9% |
-26.2% | -51.0% | | STLY | 07/21/2008 | 3,900 | $7.61 | Open | $7.92 | 4.0% |
-26.2% | -26.4% | | ISIL | 09/11/2008 | 1,600 | $18.13 | Open | $10.19 | -43.8% |
-24.2% | -60.4% | | DELL | 09/19/2008 | 1,600 | $18.44 | Open | $11.05 | -40.1% |
-23.2% | -52.7% | | MEA | 09/19/2008 | 4,400 | $6.69 | Open | $3.28 | -51.0% |
-23.2% | -82.8% | | CNO | 09/19/2008 | 3,900 | $7.50 | Open | $4.69 | -37.5% |
-23.2% | -82.5% | | Stock | Buy | Shares | Price | Sell | Price | Net
Change | S&P
Change | Max
Loss | | CPNO | 09/19/2008 | 1,100 | $25.53 | Open | $14.23 | -44.3% |
-23.2% | -65.5% | | APOG | 10/09/2008 | 2,800 | $10.62 | Open | $11.86 | 11.6% |
-5.8% | -49.9% | | ISRG | 10/09/2008 | 100 | $195.98 | Open | $122.19 | -37.7% |
-5.8% | -43.7% | | SUG | 10/09/2008 | 1,800 | $16.09 | Open | $14.76 | -8.3% |
-5.8% | -34.1% | | YRCW | 10/09/2008 | 4,400 | $6.68 | Open | $4.49 | -32.8% |
-5.8% | -82.0% | | ADCT | 10/13/2008 | 5,300 | $5.63 | Open | $5.94 | 5.4% |
2.0% | -26.6% | | DHR | 10/13/2008 | 500 | $57.79 | Open | $57.75 | -0.1% |
2.0% | -18.3% | | IEX | 10/13/2008 | 1,100 | $25.11 | Open | $25.69 | 2.2% |
2.0% | -29.5% | | NUS | 10/13/2008 | 2,200 | $13.15 | Open | $11.17 | -15.1% |
2.0% | -36.0% | | PLXS | 10/13/2008 | 1,800 | $16.44 | Open | $17.87 | 8.6% |
2.0% | -29.3% | | ASGN | 10/13/2008 | 4,900 | $6.00 | Open | $5.39 | -10.2% |
2.0% | -32.5% | | AA | 10/14/2008 | 2,000 | $14.65 | Open | $12.12 | -17.3% |
-7.8% | -53.6% | | ABC | 10/14/2008 | 900 | $33.20 | Open | $36.11 | 8.7% |
-7.8% | -19.7% | | ANN | 10/14/2008 | 1,700 | $17.46 | Open | $6.16 | -64.8% |
-7.8% | -78.6% | | AWI | 10/14/2008 | 1,100 | $25.13 | Open | $23.16 | -7.9% |
-7.8% | -45.1% | | BJS | 10/14/2008 | 2,100 | $13.83 | Open | $13.07 | -5.6% |
-7.8% | -39.7% | | BG | 10/14/2008 | 600 | $47.86 | Open | $55.73 | 16.4% |
-7.8% | -42.6% | | CDI | 10/14/2008 | 2,400 | $12.45 | Open | $14.22 | 14.1% |
-7.8% | -36.7% | | CX | 10/14/2008 | 3,300 | $9.06 | Open | $10.55 | 16.4% |
-7.8% | -55.7% | | CNP | 10/14/2008 | 2,800 | $10.61 | Open | $12.91 | 21.6% |
-7.8% | -13.0% | | Stock | Buy | Shares | Price | Sell | Price | Net
Change | S&P
Change | Max
Loss | | CRL | 10/14/2008 | 600 | $49.23 | Open | $26.00 | -47.2% |
-7.8% | -59.5% | | CKP | 10/14/2008 | 2,000 | $14.52 | Open | $10.59 | -27.1% |
-7.8% | -37.9% | | CPX | 10/14/2008 | 2,500 | $11.98 | Open | $10.10 | -15.8% |
-7.8% | -66.3% | | DTE | 10/14/2008 | 800 | $35.56 | Open | $36.25 | 1.9% |
-7.8% | -12.1% | | FRD | 10/14/2008 | 5,200 | $5.66 | 12/29/2008 | $6.75 | 19.2% |
-13.6% | -24.9% | | GD | 10/14/2008 | 400 | $63.42 | Open | $61.23 | -3.5% |
-7.8% | -24.6% | | HSC | 10/14/2008 | 1,000 | $27.60 | Open | $30.56 | 10.6% |
-7.8% | -36.4% | | HNZ | 10/14/2008 | 600 | $46.97 | Open | $38.27 | -18.6% |
-7.8% | -24.9% | | HON | 10/14/2008 | 800 | $35.40 | Open | $36.04 | 1.7% |
-7.8% | -34.4% | | ILMN | 10/14/2008 | 900 | $32.44 | Open | $27.00 | -16.8% |
-7.8% | -42.0% | | INCY | 10/14/2008 | 5,700 | $5.25 | Open | $3.96 | -24.6% |
-7.8% | -64.8% | | KALU | 10/14/2008 | 800 | $35.99 | Open | $24.30 | -32.5% |
-7.8% | -58.3% | | LIFE | 10/14/2008 | 900 | $32.81 | Open | $25.29 | -23.0% |
-7.8% | -40.4% | | LLY | 10/14/2008 | 800 | $37.24 | Open | $39.57 | 6.2% |
-7.8% | -23.1% | | MDT | 10/14/2008 | 600 | $45.57 | Open | $31.23 | -31.5% |
-7.8% | -37.8% | | MIL | 10/14/2008 | 400 | $63.17 | Open | $52.84 | -16.4% |
-7.8% | -31.4% | | NOC | 10/14/2008 | 600 | $45.55 | Open | $48.49 | 6.4% |
-7.8% | -25.4% | | OGE | 10/14/2008 | 1,100 | $25.39 | Open | $25.94 | 2.1% |
-7.8% | -12.1% | | OKE | 10/14/2008 | 900 | $30.82 | Open | $31.08 | 0.8% |
-7.8% | -23.7% | | PCP | 10/14/2008 | 400 | $68.01 | Open | $67.51 | -0.8% |
-7.8% | -30.8% | | Stock | Buy | Shares | Price | Sell | Price | Net
Change | S&P
Change | Max
Loss | | PDE | 10/14/2008 | 1,500 | $19.41 | Open | $19.10 | -1.7% |
-7.8% | -41.4% | | SAIA | 10/14/2008 | 2,600 | $11.27 | Open | $12.13 | 7.6% |
-7.8% | -42.1% | | TER | 10/14/2008 | 4,500 | $6.53 | Open | $5.37 | -17.8% |
-7.8% | -57.1% | | UGI | 10/14/2008 | 1,200 | $23.14 | Open | $24.37 | 5.2% |
-7.8% | -12.1% | | ZBRA | 10/14/2008 | 1,300 | $21.69 | Open | $21.26 | -2.1% |
-7.8% | -25.4% | | AEE | 10/14/2008 | 800 | $33.74 | Open | $33.31 | -1.3% |
-7.8% | -16.5% | | CR | 10/14/2008 | 1,200 | $23.90 | Open | $19.14 | -20.0% |
-7.8% | -54.5% | | EFII | 10/14/2008 | 2,800 | $10.39 | Open | $10.35 | -0.5% |
-7.8% | -27.2% | | HAYN | 10/14/2008 | 1,000 | $27.98 | Open | $25.65 | -8.4% |
-7.8% | -55.4% | | DBRN | 10/17/2008 | 3,200 | $9.18 | Open | $10.59 | 15.3% |
-1.2% | -32.9% | | RGS | 10/20/2008 | 1,900 | $15.67 | Open | $15.53 | -1.0% |
-1.3% | -47.6% | | LIZ | 10/29/2008 | 4,300 | $6.82 | Open | $3.16 | -53.7% |
-0.9% | -78.6% | | MAS | 11/14/2008 | 3,700 | $8.00 | Open | $11.91 | 48.8% |
3.0% | -14.8% | | USG | 11/24/2008 | 4,000 | $7.33 | Open | $11.47 | 56.4% |
16.2% | -2.5% | | CRL | 11/25/2008 | 1,300 | $22.23 | Open | $26.00 | 16.9% |
9.1% | -5.7% | | OXM | 12/01/2008 | 5,000 | $5.94 | Open | $9.15 | 54.0% |
4.8% | -24.6% |
Using completed trades only, a portfolio with a starting value of $88,010.00 would be worth $130,639.56, a change of 48.4%, with a maximum loss of 24.9%.
Including open trades, the starting value would be $2,755,429.16 and the ending value would be $2,479,370.72, a change of -10.0%, with a maximum loss of 92.1%.
This report was prepared on January 6, 2009 and it covers the trades shown.
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. If you buy ANYTHING, they pay for the referral.
