46 lines
1.7 KiB
Markdown
46 lines
1.7 KiB
Markdown
# TRIN
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This strategy was taken from chapter 12 of [*Short Term Trading Strategies That Work*](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.
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It is based on the short-term trading index (TRIN), also known as the Arms index.
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The formula for calculating the TRIN of an index is as follows:
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```
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TRIN = (Advancing Stocks / Declining Stocks) / (Advancing Volume / Declining Volume)
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```
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Typically, a TRIN reading below 1 corresponds to rising prices whereas a reading above 1 corresponds to declining prices.
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## Rules
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1. The asset (e.g., SPY) is above its 200-day moving average.
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2. The 2-period RSI is below 50.
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3. If TRIN closes above 1 for 3 consecutive days, enter a long trade.
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4. Exit the trade when the 2-period RSI is above 65.
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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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**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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**RSI Entry Threshold**: The RSI value below which trades are allowed to be entered. (Default: 50)
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**RSI Exit Threshold**: The RSI value above which trades are exited. (Default: 65)
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**TRIN Entry Threshold**: The TRIN value above which trades are allowed to be entered. (Default: 1.0)
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**Days Above Threshold**: The number of days in a row that the TRIN must be above the entry threshold in order to enter a trade. (Default: 3)
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## Backtest Results
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### SPY
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