ninjatrader/strategies/triple-rsi-drop/README.md

# Triple RSI Drop

This strategy was inspired by the following:

[![Triple RSI Drop Rules](https://static.moshington.com/images/strategies/triple-rsi-drop/strategy-rules.png)](https://x.com/QuantifiedStrat/status/1702712880334786783)

It is similar to the [R3 strategy](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/strategies/r3) from [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) by Larry Connors.

## Rules

1. The asset (e.g., SPY) must be above its 200-day moving average.
2. The 5-period RSI must have been below 60 3 days ago.
3. The 5-period RSI has dropped for 3 days in a row.
4. If the 5-period RSI closes below 30, enter a long trade.
4. Exit the trade when the 5-period RSI closes above 50.

## Parameters

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

**RSI Period**: The period to use in the RSI calculation. (Default: 5)

**Consecutive Days**: The number of consecutive days that RSI has to drop before entering a trade. (Default: 3)

**First Day RSI**: The RSI value that the first day must be below in order to enter a trade. (Default: 60.0)

**RSI Entry**: The RSI value below which to enter a trade. (Default: 30.0)

**RSI Exit**: The RSI value above which to exit a trade. (Default: 50.0)

## Backtest Results

### SPY

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

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

### QQQ

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

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

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