45 lines
1.8 KiB
Markdown
45 lines
1.8 KiB
Markdown
# Triple RSI Drop
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This strategy was inspired by the following:
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[](https://x.com/QuantifiedStrat/status/1702712880334786783)
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It is similar to the [R3 strategy](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/strategies/r3) from [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) by Larry Connors.
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## Rules
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1. The asset (e.g., SPY) must be above its 200-day moving average.
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2. The 5-period RSI must have been below 60 3 days ago.
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3. The 5-period RSI has dropped for 3 days in a row.
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4. If the 5-period RSI closes below 30, enter a long trade.
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4. Exit the trade when the 5-period RSI closes above 50.
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## Parameters
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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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**RSI Period**: The period to use in the RSI calculation. (Default: 5)
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**Consecutive Days**: The number of consecutive days that RSI has to drop before entering a trade. (Default: 3)
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**First Day RSI**: The RSI value that the first day must be below in order to enter a trade. (Default: 60.0)
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**RSI Entry**: The RSI value below which to enter a trade. (Default: 30.0)
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**RSI Exit**: The RSI value above which to exit a trade. (Default: 50.0)
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## Backtest Results
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### SPY
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### QQQ
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