ninjatrader/strategies/2-period-rsi-highs-and-lows/README.md

# 2-Period RSI Highs and Lows

The idea for these strategies comes from chapter 11 of [*How Markets Really Work*](https://moshferatu.dev/moshferatu/how-markets-really-work) (2012) by Larry Connors.

As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.

## Rules

### 2-Period RSI Highs

1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If the 2-period RSI closes above 85 (95 in the book), enter a long trade.
3. Exit the trade after 5 trading days (~1 week).

### 2-Period RSI Lows

1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If the 2-period RSI closes below 15 (5 in the book), enter a long trade.
3. Exit the trade after 5 trading days (~1 week).

The 2-period RSI entry thresholds differ from the book as they led to improved backtest results.

I also wanted to avoid overlap with the [2-Period RSI strategy](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/strategies/2-period-rsi) from [Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work).

## Parameters

**RSI Period**: The period to use in the RSI calculation. (Default: 2)

**RSI Smoothing**: The smoothing to use in the RSI calculation. (Default: 1)

**RSI Entry**: The RSI entry threshold value. (Default: 85 for highs, 15 for lows)

**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)

**Days to Exit**: The number of days to wait before exiting a trade. (Default: 5)

## Backtest Results

### SPY

### 2-Period RSI Highs

![SPY 2-Period RSI Highs Analysis](https://static.moshington.com/images/strategies/2-period-rsi-highs-and-lows/spy-highs-analysis.png)

![SPY 2-Period RSI Highs Summary](https://static.moshington.com/images/strategies/2-period-rsi-highs-and-lows/spy-highs-summary.png)

### 2-Period RSI Lows

![SPY 2-Period RSI Lows Analysis](https://static.moshington.com/images/strategies/2-period-rsi-highs-and-lows/spy-lows-analysis.png)

![SPY 2-Period RSI Lows Summary](https://static.moshington.com/images/strategies/2-period-rsi-highs-and-lows/spy-lows-summary.png)

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