ninjatrader/strategies/connors-rsi/README.md

# ConnorsRSI Bot

A swing trading strategy inspired by the [ConnorsRSI indicator](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/connors-rsi) by Larry Connors.

## Rules

For a long trade:

* The closing price must be > the long term trend as measured by a simple moving average with a default period of 200 days.
* The ConnorsRSI indicator (default parameters) must have a reading of < 15 (default value).
* If both of the above conditions are met, the trade is entered.
* The trade is exited when the close is > the short term trend which is measured by a simple moving average with a default period of 5 days.

For short trades, the conditions are inverted.

## Parameters

**RSI Period**: The RSI period used in the ConnorsRSI calculation. (Default value: 3)

**RSI Smoothing**: The RSI smoothing period used in the ConnorsRSI calculation. (Default value: 1)

**Streak RSI Period**: The RSI period used in the ConnorsRSI daily up / down streak calculation. (Default value: 2)

**Streak RSI Smoothing**: The RSI smoothing period used in the ConnorsRSI daily up / down streak calculation. (Default value: 1)

**Percent Rank Period**: The percent rank period used in the ConnorsRSI price magnitude calculation. (Default value: 100)

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

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

## Backtest Results

### SPY

![SPY Analysis](./backtest-results/spy_analysis.png)

![SPY Summary](./backtest-results/spy_summary.png)

### QQQ

![QQQ Analysis](./backtest-results/qqq_analysis.png)

![QQQ Summary](./backtest-results/qqq_summary.png)

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