A Simple Long-Only ES Strategy: Combining RSI and SMA [Free Code]

INTRODUCTION

In complex world of futures trading, elegantly simple strategies often prove their worth through consistent performance. Today, we're introducing a straightforward long-only strategy for the E-mini S&P 500 futures (ES) that combines two popular technical indicators: the Relative Strength Index (RSI) and Simple Moving Average (SMA). The strategy aims to capture upward momentum in trending markets while managing risk through systematic entry and exit rules.

STRATEGY CONCEPT

The core idea behind this strategy is to identify potential buying opportunities when the market is in an overall uptrend (using the 200 SMA) but experiencing a short-term pullback (indicated by a low RSI reading). This approach effectively combines trend-following with mean reversion principles.

KEY COMPONENTS

• Trend Filter:

  • 200-period Simple Moving Average

  • Ensures we only take long positions when price is above the long-term trend

  • Acts as a primary filter to stay aligned with the market's overall direction

• Entry Timing:

  • Short-term RSI period of 4 captures quick market pullbacks

  • Entry threshold of 40 identifies oversold conditions in an uptrend

  • Helps time entries during temporary price weakness

• Holding Period:

  • 8 sessions

PERFORMANCE ANALYTICS

Overall stats:

• Total Net Profit: $208K

• Win Rate: 64.68% (163 winning out of 252 trades)

• Profit Factor: 2.01

• Total Trades: 252

• Maximum Drawdown: $17K

Equity Curve

Annual Results

CODE IMPLEMENTATION

Open your TradeStation account and set up a new chart with the following:

• @ES.D for a symbol

• Daily bars

• Select the start date (e.g., 01/01/2000)

Apply the strategy script:

// =================================================

// Simple RSI & SMA-Based Long-Only Strategy For ES

// =================================================

// ---- Inputs ----

Inputs:

    RSI_Length(4),           // Period for the RSI calculation

    SMA_Length(200),     // Period for the Simple Moving Average

    RSI_Threshold(40),     // RSI threshold for entry

    Bars_Out(8);             // Number of bars to hold the position

// ---- Variables ----

Vars:

    rsiValue(0),

    smaValue(0);

// ---- Indicator Calculations ----

rsiValue = RSI(Close, RSI_Length);

smaValue = Average(Close, SMA_Length);

// ---- Long Entry Condition ----

// Buy next bar at market if Close is above the SMA and RSI is below the threshold

If (Close > smaValue) and (rsiValue < RSI_Threshold) then

    Buy ("Go Long") next bar at market;

// ---- Long Exit Condition ----

// Exit the long position after Bars_Out bars

If BarsSinceEntry(0) = Bars_Out then

    Sell ("Exit Long") next bar at market;