36 lines
1.3 KiB
Markdown
36 lines
1.3 KiB
Markdown
# TRIN Thrusts
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This strategy was taken from chapter 3 of [*Connors on Advanced Trading Strategies*](https://moshferatu.dev/moshferatu/connors-on-advanced-trading-strategies) (1998).
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## Rules
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1. If the closing TRIN is 30% or more below the previous trading day's closing TRIN, enter a long trade (e.g., on SPY).
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2. Exit the trade 2 trading days later.
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I have also added a condition that the asset must be trading above its 200-day moving average that was not present in the book.
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This implementation does not go short due to consistently negative returns.
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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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**Percent Below**: The percent below the previous TRIN value required to enter a trade. (Default: 40.0, differs from the book)
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**Days to Exit**: The number of days to wait before exiting any open trade. (Default: 2)
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## Backtest Results
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### SPY
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### QQQ
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