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RSI 2 EEM
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About

Daily, trend‑filtered emerging‑markets strategy. Uses a 2‑day RSI “hot/cold” read on a 3× EM fund to flip among EDC, EEM, and EDZ; in downtrends it shifts to TLT/IEF/GLD, weighted toward the least volatile over 30 days.
NutHow it works
Each day: If EEM (emerging‑markets stocks) is above its 100‑day average, we time short moves using a 2‑day RSI (a fast “hot/cold” meter, 0–100). If RSI of EDC (3× bull EM) <2.5, buy EDC; if >99.25, buy EDZ (3× bear EM); otherwise hold EEM. If EEM is below its 100‑day average, only take the RSI>99.25 EDZ trade; otherwise park in TLT (long Treasuries), IEF (7–10y Treasuries), and GLD (gold), weighted more to the steadier ones over 30 days.
CheckmarkValue prop
Out-of-sample edge: 26.5% annualized return vs 16.5% SPY, Sharpe 1.67 vs 0.90, drawdown 11.36% vs 18.76%, Calmar 2.33, and positive alpha. Stronger risk‑adjusted upside with better downside protection over 405 trading days.
Invest in this strategy
OOS Start Date
Sep 29, 2024
Trading Setting
Daily
Type
Stocks
Category
Emerging markets, trend filter, 2-day rsi mean reversion, leveraged etfs, risk-on/off, treasuries, gold, inverse-volatility, daily
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type