87 lines
3.5 KiB
Markdown
87 lines
3.5 KiB
Markdown
# TPS
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This strategy was taken from chapter 8 of [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) and [*Buy the Fear, Sell the Greed*](https://moshferatu.dev/moshferatu/buy-the-fear-sell-the-greed) (2018) by Larry Connors.
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TPS stands for:
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* **Time**
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* **Price**
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* **Scale-in**
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## Rules
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**Long**
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1. The ETF (e.g., SPY) is above its 200-day moving average.
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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.
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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.
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4. If price again closes lower than the latest entry price, enter another long with 30% more of the total position size.
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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.
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6. Exit the trade(s) when the 2-period RSI closes above 70.
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**Short**
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1. The ETF (e.g., SPY) is below its 200-day moving average.
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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.
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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.
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4. If price again closes higher than the latest entry price, enter another short with 30% more of the total position size.
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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.
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6. Exit the trade(s) when the 2-period RSI closes below 30.
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## Parameters
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**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)
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**RSI Period**: The period used in the RSI calculation. (Default: 2)
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**RSI Smoothing**: The smoothing used in the RSI calculation. (Default: 1, no smoothing)
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**Enable Long Trades**: Whether to enable taking long trades. (Default: true)
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**Long RSI Entry**: The RSI value below which to begin entering long trades. (Default: 25)
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**Long RSI Exit**: The RSI value above which to exit any long trades. (Default: 70)
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**Enable Short Trades**: Whether to enable taking short trades. (Default: true)
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**Short RSI Entry**: The RSI value above which to begin entering short trades. (Default: 75)
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**Short RSI Exit**: The RSI value below which to exit any short trades. (Default: 30)
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**Total Position Size**: The maximum position size assuming all trades have been entered. (Default: 10000)
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## Backtest Results
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### SPY
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### QQQ
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### DIA
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### IWM
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### Sector ETFs
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This backtest is an aggregation of the results of the following sector ETFs:
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XLB, XLC, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY
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