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Add rules to 2-Period RSI Highs and Lows strategy documentation

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moshferatu 2024-11-24 00:57:02 -08:00
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strategies/2-period-rsi-highs-and-lows/README.md
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@ -4,4 +4,22 @@ The idea for these strategies comes from chapter 11 of [*How Markets Really Work
As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.
## Rules
### 2-Period RSI Highs
1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If the 2-period RSI closes above 85 (95 in the book), enter a long trade.
3. Exit the trade after 5 trading days (~1 week).
### 2-Period RSI Lows
1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If the 2-period RSI closes below 15 (5 in the book), enter a long trade.
3. Exit the trade after 5 trading days (~1 week).
The 2-period RSI entry thresholds differ from the book as they led to improved backtest results.
I also wanted to avoid overlap with the [2-Period RSI strategy](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/strategies/2-period-rsi) from [Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work).
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