57 lines
2.2 KiB
Markdown
57 lines
2.2 KiB
Markdown
# Cumulative RSI
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This strategy was taken from chapter 9 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 [Cumulative RSI indicator](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/cumulative-rsi) described in the book.
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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. If the 2-day cumulative 2-period RSI is below 35, enter a long position.
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3. Exit the position when the 2-period RSI is above 65.
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An alternate set of rules is provided in chapter 12 as follows (differences bolded):
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1. The asset (e.g., SPY) is above its 200-day moving average.
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2. If the 2-day cumulative **3-period** RSI is below **45**, enter a long position.
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3. Exit the position when the 2-period RSI is above 65.
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## Parameters
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**Cumulative RSI Period**: The period to use in the RSI calculation. (Default: 2)
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**Cumulative RSI Smoothing**: The smoothing to use in the RSI calculation. (Default: 1, no smoothing)
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**Cumulative Period**: The number of RSI values to add up. (Default: 2)
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**RSI Period**: The period of the RSI used to exit trades. (Default: 2)
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**RSI Smoothing**: The smoothing of the RSI used to exit trades. (Default: 1)
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**SMA Period**: The period used to calculate the long term trend as measured using a simple moving average. (Default: 200)
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**Entry Threshold**: The Cumulative RSI threshold below which a trade is entered. (Default: 35)
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**Exit Threshold**: The RSI threshold above which a trade is exited. (Default: 65)
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## Backtest Results
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### SPY
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**Alternate Rules**
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### QQQ
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