ninjatrader/strategies/2-period-rsi/README.md

# 2-Period RSI

This strategy was taken from chapter 9 of *[Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work)* (2008) by Larry Connors.

## Rules

The original long-only rules from the book:

1. The asset (e.g., SPY) is above its 200-day moving average.
2. The 2-period RSI closes below 5.
3. Enter a long position at the close (or the following open in this case).
4. Exit the position when the asset closes above its 5-period moving average.

For taking short positions, invert the above conditions and use a 2-period RSI reading of > 95 as the entry threshold.

## Parameters

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

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

**Long Entry Threshold**: The RSI value below which to allow entering a long position. (Default: 5)

**Short Entry Threshold**: The RSI value above which to allow entering a short position. (Default: 95)

**Long Term Trend Period**: The period to use for the simple moving average used to define the long term trend. (Default: 200)

**Short Term Trend Period**: The period to use for the simple moving average used to define the short term trend. (Default: 5)

**Use Fixed Position Sizing**: Whether to use the same position size for every trade in order to neutralize the effect of lower historical prices. (Default: false)

**Fixed Position Size**: The size of the position when using fixed position sizing. (Default: 10000)

**Long Only**: Whether to only allow long trades as in the original strategy definition. (Default: false)

## Backtest Results

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/2-period-rsi/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/2-period-rsi/spy-summary.png)

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/2-period-rsi/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/2-period-rsi/qqq-summary.png)

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Initial commit of 2-Period RSI strategy README 2024-09-09 13:34:33 +00:00			`# 2-Period RSI`

Add description to 2-Period RSI strategy documentation 2024-09-09 13:38:53 +00:00			`This strategy was taken from chapter 9 of [Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.`

Add rules to 2-Period RSI strategy documentation 2024-09-09 13:58:14 +00:00			`## Rules`

Add short trade rules to the 2-Period RSI strategy documentation 2024-09-09 14:54:49 +00:00			`The original long-only rules from the book:`

Add rules to 2-Period RSI strategy documentation 2024-09-09 13:58:14 +00:00			`1. The asset (e.g., SPY) is above its 200-day moving average.`
			`2. The 2-period RSI closes below 5.`
			`3. Enter a long position at the close (or the following open in this case).`
			`4. Exit the position when the asset closes above its 5-period moving average.`

Add short trade rules to the 2-Period RSI strategy documentation 2024-09-09 14:54:49 +00:00			`For taking short positions, invert the above conditions and use a 2-period RSI reading of > 95 as the entry threshold.`

Add parameter documentation for 2-Period RSI strategy 2024-09-09 15:46:13 +00:00			`## Parameters`

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

			`RSI Smoothing: The smoothing period to use in the RSI calculation (Default: 1)`

			`Long Entry Threshold: The RSI value below which to allow entering a long position. (Default: 5)`

			`Short Entry Threshold: The RSI value above which to allow entering a short position. (Default: 95)`

			`Long Term Trend Period: The period to use for the simple moving average used to define the long term trend. (Default: 200)`

			`Short Term Trend Period: The period to use for the simple moving average used to define the short term trend. (Default: 5)`

Trivial correction of a typo in 2-Period RSI strategy documentation 2024-09-09 21:14:37 +00:00			`Use Fixed Position Sizing: Whether to use the same position size for every trade in order to neutralize the effect of lower historical prices. (Default: false)`
Add parameter documentation for 2-Period RSI strategy 2024-09-09 15:46:13 +00:00
			`Fixed Position Size: The size of the position when using fixed position sizing. (Default: 10000)`

			`Long Only: Whether to only allow long trades as in the original strategy definition. (Default: false)`

Add SPY backtest results for 2-Period RSI strategy 2024-09-09 15:49:54 +00:00			`## Backtest Results`

			`### SPY`

Use cached backtest result images in 2-Period RSI strategy documentation 2024-09-23 15:18:58 +00:00			`![SPY Analysis](https://static.moshington.com/images/strategies/2-period-rsi/spy-analysis.png)`
Add SPY backtest results for 2-Period RSI strategy 2024-09-09 15:49:54 +00:00
Use cached backtest result images in 2-Period RSI strategy documentation 2024-09-23 15:18:58 +00:00			`![SPY Summary](https://static.moshington.com/images/strategies/2-period-rsi/spy-summary.png)`
Add SPY backtest results for 2-Period RSI strategy 2024-09-09 15:49:54 +00:00
Add QQQ backtest results for 2-Period RSI strategy 2024-09-09 15:52:51 +00:00			`### QQQ`

Use cached backtest result images in 2-Period RSI strategy documentation 2024-09-23 15:18:58 +00:00			`![QQQ Analysis](https://static.moshington.com/images/strategies/2-period-rsi/qqq-analysis.png)`
Add QQQ backtest results for 2-Period RSI strategy 2024-09-09 15:52:51 +00:00
Use cached backtest result images in 2-Period RSI strategy documentation 2024-09-23 15:18:58 +00:00			`![QQQ Summary](https://static.moshington.com/images/strategies/2-period-rsi/qqq-summary.png)`
Add QQQ backtest results for 2-Period RSI strategy 2024-09-09 15:52:51 +00:00
Initial commit of 2-Period RSI strategy README 2024-09-09 13:34:33 +00:00			`---`