| .. | ||
| backtest-results | ||
| ConnorsRSIBot.cs | ||
| README.md | ||
ConnorsRSI Bot
A swing trading strategy inspired by the ConnorsRSI indicator developed by Larry Connors.
Rules
For a long trade:
- The closing price must be > the long term trend as measured by a simple moving average with a default period of 200 days.
- The ConnorsRSI indicator (default parameters) must have a reading of < 15 (default value).
- If both of the above conditions are met, the trade is entered.
- 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.
For short trades, the conditions are inverted.
Parameters
RSI Period: The RSI period used in the ConnorsRSI calculation. (Default value: 3)
RSI Smoothing: The RSI smoothing period used in the ConnorsRSI calculation. (Default value: 1)
Streak RSI Period: The RSI period used in the ConnorsRSI daily up / down streak calculation. (Default value: 2)
Streak RSI Smoothing: The RSI smoothing period used in the ConnorsRSI daily up / down streak calculation. (Default value: 1)
Percent Rank Period: The percent rank period used in the ConnorsRSI price magnitude calculation. (Default value: 100)
Long Term Trend Period: The simple moving average period used to determine the long term trend. (Default value: 200)
Short Term Trend Period: The simple moving average period used to determine the short term trend. (Default value: 5)
Backtest Results
SPY
QQQ
