ninjatrader/strategies/r3/README.md

# R3

This strategy was taken from chapter 4 of [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) by Larry Connors.

## Rules

**Long**

1. The ETF (e.g., SPY) is above its 200-day moving average.
2. The 2-period RSI drops 3 days in a row and the first day's drop is < 60.
3. If the 2-period RSI closes < 10, enter a long trade.
4. **(Optional Aggressive Version)** Enter a second long if price closes lower than the initial entry price at any point during the first trade.
5. Exit the trade when the 2-period RSI closes > 70.

**Short**

1. The ETF (e.g., SPY) is below its 200-day moving average.
2. The 2-period RSI rises 3 days in a row and the first day's rise is > 40.
3. If the 2-period RSI closes > 90, enter a short trade.
4. **(Optional Aggressive Version)** Enter a second short if price closes higher than the initial entry price at any point during the first trade.
5. Exit the trade when the 2-period RSI closes < 30.

## Parameters

**Long-Term Trend Period**: The period of the long-term trend as measured by 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)

**Consecutive Days**: The number of days in a row that RSI must drop / rise. (Default: 3)

**Enable Long Trades**: Whether to enable taking long trades. (Default: true)

**Long First Day RSI**: The RSI value below which the first day's drop must be to enter a long trade. (Default: 60.0)

**Long RSI Entry**: The RSI value below which to enter a long trade. (Default: 10.0)

**Long RSI Exit**: The RSI value above which to exit any long trades. (Default: 70.0)

**Enable Short Trades**: Whether to enable taking short trades. (Default: true)

**Short First Day RSI**: The RSI value above which the first day's rise must be to enter a short trade. (Default: 40.0)

**Short RSI Entry**: The RSI value above which to enter a short trade. (Default: 90.0)

**Short RSI Exit**: The RSI value below which to exit any short trades. (Default: 30.0)

**Enable Aggressive Entries**: Whether to enable the optional aggressive trade entries. (Default: true)

## Backtest Results

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/r3/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/r3/spy-summary.png)

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/r3/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/r3/qqq-summary.png)

### DIA

![DIA Analysis](https://static.moshington.com/images/strategies/r3/dia-analysis.png)

![DIA Summary](https://static.moshington.com/images/strategies/r3/dia-summary.png)

### IWM

![IWM Analysis](https://static.moshington.com/images/strategies/r3/iwm-analysis.png)

![IWM Summary](https://static.moshington.com/images/strategies/r3/iwm-summary.png)

### Sector ETFs

This backtest is an aggregation of the results of the following sector ETFs:

XLB, XLC, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY

![Sector ETFs](https://static.moshington.com/images/strategies/r3/sector-etfs.png)

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