ninjatrader/strategies/trin/README.md

# TRIN

This strategy was taken from chapter 12 of [*Short Term Trading Strategies That Work*](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.

It is based on the short-term trading index (TRIN), also known as the Arms index.

The formula for calculating the TRIN of an index is as follows:

```
TRIN = (Advancing Stocks / Declining Stocks) / (Advancing Volume / Declining Volume)
```

Typically, a TRIN reading below 1 corresponds to rising prices whereas a reading above 1 corresponds to declining prices.

## Rules

1. The asset (e.g., SPY) is above its 200-day moving average.
2. The 2-period RSI is below 50.
3. If TRIN closes above 1 for 3 consecutive days, enter a long trade.
4. Exit the trade when the 2-period RSI is above 65.

## 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 used in the RSI calculation. (Default: 2)

**RSI Smoothing**: The smoothing used in the RSI calculation. (Default: 1, no smoothing)

**RSI Entry Threshold**: The RSI value below which trades are allowed to be entered. (Default: 50)

**RSI Exit Threshold**: The RSI value above which trades are exited. (Default: 65)

**TRIN Entry Threshold**: The TRIN value above which trades are allowed to be entered. (Default: 1.0)

**Days Above Threshold**: The number of days in a row that the TRIN must be above the entry threshold in order to enter a trade. (Default: 3)

## Backtest Results

### SPY

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

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

### QQQ

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

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

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