# Cumulative RSI

This strategy was taken from chapter 9 of [*Short Term Trading Strategies That Work*](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.

It is based on the [Cumulative RSI indicator](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/cumulative-rsi) described in the book.

## Rules

1. The asset (e.g., SPY) is above its 200-day moving average.
2. If the 2-day cumulative 2-period RSI is below 35, enter a long position.
3. Exit the position when the 2-period RSI is above 65.

An alternate set of rules is provided in chapter 12 as follows (differences bolded):

1. The asset (e.g., SPY) is above its 200-day moving average.
2. If the 2-day cumulative **3-period** RSI is below **45**, enter a long position.
3. Exit the position when the 2-period RSI is above 65.

## Parameters

**Cumulative RSI Period**: The period to use in the RSI calculation. (Default: 2)

**Cumulative RSI Smoothing**: The smoothing to use in the RSI calculation. (Default: 1, no smoothing)

**Cumulative Period**: The number of RSI values to add up. (Default: 2)

**RSI Period**: The period of the RSI used to exit trades. (Default: 2)

**RSI Smoothing**: The smoothing of the RSI used to exit trades. (Default: 1)

**SMA Period**: The period used to calculate the long term trend as measured using a simple moving average. (Default: 200)

**Entry Threshold**: The Cumulative RSI threshold below which a trade is entered. (Default: 35)

**Exit Threshold**: The RSI threshold above which a trade is exited. (Default: 65)

## Backtest Results

### SPY

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

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

**Alternate Rules**

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

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

### QQQ

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

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

**Alternate Rules**

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

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

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