ninjatrader/strategies/rsi-10-6-90-94/README.md

# RSI 10-6 / 90-94

This strategy was taken from chapter 7 of [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) by Larry Connors.

## Rules

**10-6** (Long)

1. The ETF (e.g., SPY) is trading above its 200-day moving average.
2. When the 2-period RSI closes below 10, enter a long trade.
3. Enter a second long if the 2-period RSI closes below 6.
4. Exit the trade(s) when price closes above the 5-period moving average.

**90-94** (Short)

1. The ETF (e.g., SPY) is trading below its 200-day moving average.
2. When the 2-period RSI closes above 90, enter a short trade.
3. Enter a second short if the 2-period RSI closes above 94.
4. Exit the trade(s) when price closes below the 5-period moving average.

## Parameters

**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)

**Short-Term Trend Period**: The period of the short-term trend as measured using a simple moving average. (Default: 5)

**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)

**RSI Long Entry 1**: The value of RSI under which to enter the first long trade. (Default: 10)

**RSI Long Entry 2**: The value of RSI under which to enter the second long trade. (Default: 6)

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

**RSI Short Entry 1**: The value of RSI above which to enter the first short trade. (Default: 90)

**RSI Short Entry 2**: The value of RSI above which to enter the second short trade. (Default: 94)

## Backtest Results

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/rsi-10-6-90-94/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/rsi-10-6-90-94/spy-summary.png)

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/rsi-10-6-90-94/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/rsi-10-6-90-94/qqq-summary.png)

### DIA

![DIA Analysis](https://static.moshington.com/images/strategies/rsi-10-6-90-94/dia-analysis.png)

![DIA Summary](https://static.moshington.com/images/strategies/rsi-10-6-90-94/dia-summary.png)

### IWM

![IWM Analysis](https://static.moshington.com/images/strategies/rsi-10-6-90-94/iwm-analysis.png)

![IWM Summary](https://static.moshington.com/images/strategies/rsi-10-6-90-94/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/rsi-10-6-90-94/sector-etfs.png)

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