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| README.md | ||
| TripleRSIDrop.cs | ||
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
- The asset (e.g., SPY) must be above its 200-day moving average.
- The 5-period RSI must have been below 60 3 days ago.
- The 5-period RSI has dropped for 3 days in a row.
- If the 5-period RSI closes below 30, enter a long trade.
- 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
