59 lines
2.4 KiB
Markdown
59 lines
2.4 KiB
Markdown
# R3
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This strategy was taken from chapter 4 of [*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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**Long**
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1. The ETF (e.g., SPY) is above its 200-day moving average.
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2. The 2-period RSI drops 3 days in a row and the first day's drop is < 60.
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3. If the 2-period RSI closes < 10, enter a long trade.
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4. **(Optional Aggressive Version)** Enter a second long if price closes lower than the initial entry price at any point during the first trade.
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5. Exit the trade when the 2-period RSI closes > 70.
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**Short**
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1. The ETF (e.g., SPY) is below its 200-day moving average.
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2. The 2-period RSI rises 3 days in a row and the first day's rise is > 40.
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3. If the 2-period RSI closes > 90, enter a short trade.
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4. **(Optional Aggressive Version)** Enter a second short if price closes higher than the initial entry price at any point during the first trade.
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5. Exit the trade when the 2-period RSI closes < 30.
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## Parameters
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**Long-Term Trend Period**: The period of the long-term trend as measured by a simple moving average. (Default: 200)
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**RSI Period**: The period used in the RSI calculation. (Default: 2)
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**RSI Smoothing**: The smoothing used in the RSI calculation. (Default: 1, no smoothing)
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**Consecutive Days**: The number of days in a row that RSI must drop / rise. (Default: 3)
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**Enable Long Trades**: Whether to enable taking long trades. (Default: true)
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**Long First Day RSI**: The RSI value below which the first day's drop must be to enter a long trade. (Default: 60.0)
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**Long RSI Entry**: The RSI value below which to enter a long trade. (Default: 10.0)
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**Long RSI Exit**: The RSI value above which to exit any long trades. (Default: 70.0)
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**Enable Short Trades**: Whether to enable taking short trades. (Default: true)
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**Short First Day RSI**: The RSI value above which the first day's rise must be to enter a short trade. (Default: 40.0)
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**Short RSI Entry**: The RSI value above which to enter a short trade. (Default: 90.0)
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**Short RSI Exit**: The RSI value below which to exit any short trades. (Default: 30.0)
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**Enable Aggressive Entries**: Whether to enable the optional aggressive trade entries. (Default: true)
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## Backtest Results
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### SPY
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