Trend Strength Index (TSI) Results Summary
This post is a follow up to the previous on the Trend Strength Index (TSI) by Frank Hassler of Engineering Returns: https://cssanalytics.wordpress.com/2010/06/28/trend-strength-index-tsi/ I will have more to follow on the TSI later this week, but first a peek at the results of some tests that Frank ran on the Nasdaq 100 stocks using TSI. You can see that depending on a stock’s TSI value, there is a pronounced difference in how it responds to different short term trend strategies. High values of TSI are highly desirable (above 1.8 or 2) for short-term trend strategies, while low levels of TSI are quite poor. The opposite is true for mean-reversion strategies, where stocks with TSI values at or less than 1.5 tend to do extremely well with short-term mean reversion. In contract, high TSI stocks do very poorly —in fact in our own testing, they bankrupted the starting account balance, which is a first! In nearly every case the TSI is superior to the ADX–which is the standard trend filter used by most traders. Traders would be well advised to consider the TSI of a stock before they make a decision on how they plan to trade it. Deciding otherwise could be quite costly. Making the right decision can mean a substantial improvement in your trading results.