77 lines
2.7 KiB
Markdown
77 lines
2.7 KiB
Markdown
# RSI 10-6 / 90-94
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This strategy was taken from chapter 7 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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**10-6** (Long)
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1. The ETF (e.g., SPY) is trading above its 200-day moving average.
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2. When the 2-period RSI closes below 10, enter a long trade.
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3. Enter a second long if the 2-period RSI closes below 6.
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4. Exit the trade(s) when price closes above the 5-period moving average.
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**90-94** (Short)
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1. The ETF (e.g., SPY) is trading below its 200-day moving average.
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2. When the 2-period RSI closes above 90, enter a short trade.
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3. Enter a second short if the 2-period RSI closes above 94.
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4. Exit the trade(s) when price closes below the 5-period moving average.
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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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**Short-Term Trend Period**: The period of the short-term trend as measured using a simple moving average. (Default: 5)
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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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**Enable Long Trades**: Whether to enable taking long trades. (Default: true)
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**RSI Long Entry 1**: The value of RSI under which to enter the first long trade. (Default: 10)
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**RSI Long Entry 2**: The value of RSI under which to enter the second long trade. (Default: 6)
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**Enable Short Trades**: Whether to enable taking short trades. (Default: true)
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**RSI Short Entry 1**: The value of RSI above which to enter the first short trade. (Default: 90)
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**RSI Short Entry 2**: The value of RSI above which to enter the second short trade. (Default: 94)
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## Backtest Results
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### SPY
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### QQQ
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### DIA
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### IWM
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### Sector ETFs
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This backtest is an aggregation of the results of the following sector ETFs:
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XLB, XLC, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY
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