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moshferatu 2d67106796 Add QQQ backtest results for TRIN Thrusts strategy		2024-11-11 07:30:15 -08:00
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backtest-results	Add QQQ backtest results for TRIN Thrusts strategy	2024-11-11 07:30:15 -08:00
README.md	Add QQQ backtest results for TRIN Thrusts strategy	2024-11-11 07:30:15 -08:00
TRINThrusts.cs	Initial commit of TRIN Thrusts strategy	2024-11-11 06:48:56 -08:00

TRIN Thrusts

This strategy was taken from chapter 3 of Connors on Advanced Trading Strategies (1998).

Rules

If the closing TRIN is 30% or more below the previous trading day's closing TRIN, enter a long trade (e.g., on SPY).
Exit the trade 2 trading days later.

I have also added a condition that the asset must be trading above its 200-day moving average that was not present in the book.

This implementation does not go short due to consistently negative returns.

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

Percent Below: The percent below the previous TRIN value required to enter a trade. (Default: 40.0, differs from the book)

Days to Exit: The number of days to wait before exiting any open trade. (Default: 2)