1.2 KiB
1.2 KiB
Trading New Highs
This strategy was taken from chapter 7 of Buy the Fear, Sell the Greed (2018) by Larry Connors.
Rules
- The asset (e.g., SPY) must have made a 52-week high within the past 20 days.
- If the value of the ConnorsRSI indicator is < 15, enter a long trade.
- Exit the trade when the value of the ConnorsRSI is > 70.
Parameters
Max Days Since High: The maximum number of days since a 52-week high has been made. (Default: 20)
ConnorsRSI Entry Threshold: The value of the ConnorsRSI below which to enter a trade. (Default: 15)
ConnorsRSI Exot Threshold: The value of the ConnorsRSI above which to exit a trade. (Default: 70)
Backtest Results
SPY
QQQ
