53 lines
2.2 KiB
Markdown
53 lines
2.2 KiB
Markdown
# 2-Period RSI Highs and Lows
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The idea for these strategies comes from chapter 11 of [*How Markets Really Work*](https://moshferatu.dev/moshferatu/how-markets-really-work) (2012) by Larry Connors.
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As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.
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## Rules
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### 2-Period RSI Highs
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1. The asset (e.g., SPY) must be above its 200-day moving average.
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2. If the 2-period RSI closes above 85 (95 in the book), enter a long trade.
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3. Exit the trade after 5 trading days (~1 week).
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### 2-Period RSI Lows
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1. The asset (e.g., SPY) must be above its 200-day moving average.
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2. If the 2-period RSI closes below 15 (5 in the book), enter a long trade.
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3. Exit the trade after 5 trading days (~1 week).
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The 2-period RSI entry thresholds differ from the book as they led to improved backtest results.
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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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## Parameters
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**RSI Period**: The period to use in the RSI calculation. (Default: 2)
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**RSI Smoothing**: The smoothing to use in the RSI calculation. (Default: 1)
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**RSI Entry**: The RSI entry threshold value. (Default: 85 for highs, 15 for lows)
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**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)
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**Days to Exit**: The number of days to wait before exiting a trade. (Default: 5)
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## Backtest Results
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### SPY
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### 2-Period RSI Highs
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### 2-Period RSI Lows
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