When I test out systems I sometimes stumble upon edges that I had no intention of testing, and this is such an edge that I found years ago for the OMXS30 index.
It's so simple that it's stupid. Just enter a long trade when volatility is exceptionally high (determined by Bollinger Bandwidths), if RSI4 is below 40.
And then exit the trade in 5 days or when RSI4 is above 75.
Entry conditions
The 4 day Bollinger Bandwidth is above 0.07 (volatility is exceptionally high)
And the 4 day RSI value is below 40
Exit conditions
The 4 day RSI value is above 75
Or 5 trading days have passed
Here's the equity chart

It's a smooth equitycurve with long periods of inactivity and with only 1 major drawdown.
Statistics (Aug 1997 - today)
65.31% winrate
147 trades
2156 points gained
361 points max drawdown
12.91% time in market
2.15 Gain/Loss Ratio
Positive returns in 26 of 27 years
I think it's worth nothing that you're getting better returns with this strategy than a buy & hold strategy, and that is with only 12.91% time in market. Combine this swing strategy with some other strategies to leverage your capital when the strategy is not in market, and you will overachieve the index without doubt.

The ProRealTime™ code
DEFPARAM CumulateOrders = False
FourDayRSI = rsi[4](close)
IF FourDayRSI <= 40 and BollingerBandWidth[4] > 0.07 THEN
BUY 1 SHARE AT MARKET
ENDIF
IF onmarket and ((FourDayRSI > 75) OR (BarIndex - TradeIndex >= 5)) THEN
SELL AT MARKET
ENDIF
Comments