46 lines
1.9 KiB
Markdown
46 lines
1.9 KiB
Markdown
# ConnorsRSI Bot
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A swing trading strategy inspired by the [ConnorsRSI indicator](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/connors-rsi) developed by Larry Connors.
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## Rules
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For a long trade:
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* The closing price must be > the long term trend as measured by a simple moving average with a default period of 200 days.
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* The ConnorsRSI indicator (default parameters) must have a reading of < 15 (default value).
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* If both of the above conditions are met, the trade is entered.
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* The trade is exited when the close is > the short term trend which is measured by a simple moving average with a default period of 5 days.
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For short trades, the conditions are inverted.
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## Parameters
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**RSI Period**: The RSI period used in the ConnorsRSI calculation. (Default value: 3)
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**Streak RSI Period**: The RSI period used in the ConnorsRSI daily up / down streak calculation. (Default value: 2)
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**Percent Rank Period**: The percent rank period used in the ConnorsRSI price magnitude calculation. (Default value: 100)
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**Long Entry Threshold**: The ConnorsRSI value below which to enter long trades. (Default: 15)
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**Short Entry Threshold**: The ConnorsRSI value above which to enter short trades. (Default: 85)
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**Long Term Trend Period**: The simple moving average period used to determine the long term trend. (Default value: 200)
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**Short Term Trend Period**: The simple moving average period used to determine the short term trend. (Default value: 5)
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## Backtest Results
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### SPY
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### QQQ
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