ninjatrader/strategies/tps/README.md

TPS

This strategy was taken from chapter 8 of High Probability ETF Trading (2009) and Buy the Fear, Sell the Greed (2018) by Larry Connors.

TPS stands for:

• Time
• Price
• Scale-in

Rules

Long

1. The ETF (e.g., SPY) is above its 200-day moving average.
2. If the 2-period RSI is below 25 for 2 days in a row, enter a long trade with 10% of the total position size.
3. If price closes lower than the initial entry price any day while in the position, enter another long trade with 20% of the total position size.
4. If price again closes lower than the latest entry price, enter another long with 30% more of the total position size.
5. If price yet again closes lower than the latest entry price, enter a final long with the remaining 40% of the total position size.
6. Exit the trade(s) when the 2-period RSI closes above 70.

Short

1. The ETF (e.g., SPY) is below its 200-day moving average.
2. If the 2-period RSI is above 75 for 2 days in a row, enter a short trade with 10% of the total position size.
3. If price closes higher than the initial entry price any day while in the position, enter another short trade with 20% of the total position size.
4. If price again closes higher than the latest entry price, enter another short with 30% more of the total position size.
5. If price yet again closes higher than the latest entry price, enter a final short with the remaining 40% of the total position size.
6. Exit the trade(s) when the 2-period RSI closes below 30.

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