Testing RSI(2) with R, First Steps

This is the first of a series of posts that will demonstrate how to build, test, and implement a trading strategy using my favorite FOSS, R. I chose the RSI(2) strategy because it has gotten considerable attention on trading blogs over the past 6 months. In particular, I will be replicating and extending some of the results from Michael Stokes’ excellent MarketSci Blog. This post will focus on replicating this simple RSI(2) strategy.