2.7 KiB
RSI 10-6 / 90-94
This strategy was taken from chapter 7 of High Probability ETF Trading (2009) by Larry Connors.
Rules
10-6 (Long)
- The ETF (e.g., SPY) is trading above its 200-day moving average.
- When the 2-period RSI closes below 10, enter a long trade.
- Enter a second long if the 2-period RSI closes below 6.
- Exit the trade(s) when price closes above the 5-period moving average.
90-94 (Short)
- The ETF (e.g., SPY) is trading below its 200-day moving average.
- When the 2-period RSI closes above 90, enter a short trade.
- Enter a second short if the 2-period RSI closes above 94.
- 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
QQQ
DIA
IWM
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
