ninjatrader/strategies/tps/README.md

# TPS

This strategy was taken from chapter 8 of [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) and [*Buy the Fear, Sell the Greed*](https://moshferatu.dev/moshferatu/buy-the-fear-sell-the-greed) (2018) by Larry Connors.

TPS stands for:

* **Time**
* **Price**
* **Scale-in**

## Rules

**Long**

1. The ETF (e.g., SPY) is above its 200-day moving average.
2. If the 2-period RSI is below 25 for 2 days in a row, enter a long trade with 10% of the total position size.
3. If price closes lower than the initial entry price any day while in the position, enter another long trade with 20% of the total position size.
4. If price again closes lower than the latest entry price, enter another long with 30% more of the total position size.
5. If price yet again closes lower than the latest entry price, enter a final long with the remaining 40% of the total position size.
6. Exit the trade(s) when the 2-period RSI closes above 70.

**Short**

1. The ETF (e.g., SPY) is below its 200-day moving average.
2. If the 2-period RSI is above 75 for 2 days in a row, enter a short trade with 10% of the total position size.
3. If price closes higher than the initial entry price any day while in the position, enter another short trade with 20% of the total position size.
4. If price again closes higher than the latest entry price, enter another short with 30% more of the total position size.
5. If price yet again closes higher than the latest entry price, enter a final short with the remaining 40% of the total position size.
6. Exit the trade(s) when the 2-period RSI closes below 30.

## 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)

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

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

**Long RSI Exit**: The RSI value above which to exit any long trades. (Default: 70)

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

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

**Short RSI Exit**: The RSI value below which to exit any short trades. (Default: 30)

**Total Position Size**: The maximum position size assuming all trades have been entered. (Default: 10000)

## Backtest Results

### SPY

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

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

### QQQ

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

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

### DIA

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

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

### IWM

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

![IWM Summary](https://static.moshington.com/images/strategies/tps/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/tps/sector-etfs.png)

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