50 lines
1.8 KiB
Markdown
50 lines
1.8 KiB
Markdown
# 2-Period RSI
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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.
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## Rules
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The original long-only rules from the book:
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1. The asset (e.g., SPY) is above its 200-day moving average.
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2. The 2-period RSI closes below 5.
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3. Enter a long position at the close (or the following open in this case).
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4. Exit the position when the asset closes above its 5-period moving average.
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For taking short positions, invert the above conditions and use a 2-period RSI reading of > 95 as the entry threshold.
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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 period to use in the RSI calculation (Default: 1)
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**Long Entry Threshold**: The RSI value below which to allow entering a long position. (Default: 5)
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**Short Entry Threshold**: The RSI value above which to allow entering a short position. (Default: 95)
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**Long Term Trend Period**: The period to use for the simple moving average used to define the long term trend. (Default: 200)
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**Short Term Trend Period**: The period to use for the simple moving average used to define the short term trend. (Default: 5)
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**Use Fixed Position sizing**: Whether to use the same position size for every trade in order to neutralize the effect of lower historical prices. (Default: false)
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**Fixed Position Size**: The size of the position when using fixed position sizing. (Default: 10000)
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**Long Only**: Whether to only allow long trades as in the original strategy definition. (Default: false)
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## Backtest Results
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### SPY
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### QQQ
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