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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. 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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