ninjatrader/strategies/triple-rsi-drop

Triple RSI Drop

This strategy was inspired by the following:

It is similar to the R3 strategy from High Probability ETF Trading (2009) by Larry Connors.

Rules

1. The asset (e.g., SPY) must be above its 200-day moving average.
2. The 5-period RSI must have been below 60 3 days ago.
3. The 5-period RSI has dropped for 3 days in a row.
4. If the 5-period RSI closes below 30, enter a long trade.
5. Exit the trade when the 5-period RSI closes above 50.

Parameters

Long-Term Trend Period: The period of the long-term trend as measured using a simple moving average. (Default: 200)

RSI Period: The period to use in the RSI calculation. (Default: 5)

Consecutive Days: The number of consecutive days that RSI has to drop before entering a trade. (Default: 3)

First Day RSI: The RSI value that the first day must be below in order to enter a trade. (Default: 60.0)

RSI Entry: The RSI value below which to enter a trade. (Default: 30.0)

RSI Exit: The RSI value above which to exit a trade. (Default: 50.0)

Backtest Results

SPY

QQQ

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