ninjatrader/strategies/rsi-25-75/README.md

# RSI 25 / 75

This strategy was taken from chapter 3 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 trading above its 200-day moving average.
2. If the 4-period RSI closes under 25, enter a long trade.
3. **(Optional Aggressive Version)** Enter another long trade if at any time while in the first trade the 4-period RSI closes under 20.
4. Exit the trade(s) when the 4-period RSI closes above 55.

**Short**

1. The ETF is trading below its 200-day moving average.
2. If the 4-period RSI is above 75, enter a short trade.
3. **(Optional Aggressive Version)** Enter another short trade if the 4-period RSI closes above 80.
4. Exit the trade(s) when the 4-period RSI closes under 45.

## 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: 4)

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

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

**Long RSI Entry**: The RSI value below which to allow entering long trades. (Default: 25)

**Long RSI Exit**: The RSI value above which to exit any open long trades. (Default: 55)

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

**Short RSI Entry**: The RSI value above which to allow entering short trades. (Default: 75)

**Short RSI Exit**: The RSI value below which to exit any open short trades. (Default: 45)

**Enable Aggressive Entries**: Whether to enable taking another more aggressive trade after the initial one. (Default: true)

**Aggressive Long RSI Entry**: The RSI value below which to allow taking an aggressive long trade. (Default: 20)

**Aggressive Short RSI Entry**: The RSI value above which to allow taking an aggressive short trade. (Default: 80)

## Backtest Results

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/rsi-25-75/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/rsi-25-75/spy-summary.png)

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/rsi-25-75/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/rsi-25-75/qqq-summary.png)

### DIA

![DIA Analysis](https://static.moshington.com/images/strategies/rsi-25-75/dia-analysis.png)

![DIA Summary](https://static.moshington.com/images/strategies/rsi-25-75/dia-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/rsi-25-75/sector-etfs.png)

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