43 lines
1.7 KiB
Markdown
43 lines
1.7 KiB
Markdown
# RSI 10-6 / 90-94
|
|
|
|
This strategy was taken from chapter 7 of [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) by Larry Connors.
|
|
|
|
## Rules
|
|
|
|
**10-6** (Long)
|
|
|
|
1. The ETF (e.g., SPY) is trading above its 200-day moving average.
|
|
2. When the 2-period RSI closes below 10, enter a long trade.
|
|
3. Enter a second long if the 2-period RSI closes below 6.
|
|
4. Exit the trade(s) when price closes above the 5-period moving average.
|
|
|
|
**90-94** (Short)
|
|
|
|
1. The ETF (e.g., SPY) is trading below its 200-day moving average.
|
|
2. When the 2-period RSI closes above 90, enter a short trade.
|
|
3. Enter a second short if the 2-period RSI closes above 94.
|
|
4. Exit the trade(s) when price closes below the 5-period moving average.
|
|
|
|
## Parameters
|
|
|
|
**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)
|
|
|
|
**Short-Term Trend Period**: The period of the short-term trend as measured using a simple moving average. (Default: 5)
|
|
|
|
**RSI Period**: The period used in the RSI calculation. (Default: 2)
|
|
|
|
**RSI Smoothing**: The smoothing used in the RSI calculation. (Default: 1, no smoothing)
|
|
|
|
**Enable Long Trades**: Whether to enable taking long trades. (Default: true)
|
|
|
|
**RSI Long Entry 1**: The value of RSI under which to enter the first long trade. (Default: 10)
|
|
|
|
**RSI Long Entry 2**: The value of RSI under which to enter the second long trade. (Default: 6)
|
|
|
|
**Enable Short Trades**: Whether to enable taking short trades. (Default: true)
|
|
|
|
**RSI Short Entry 1**: The value of RSI above which to enter the first short trade. (Default: 90)
|
|
|
|
**RSI Short Entry 2**: The value of RSI above which to enter the second short trade. (Default: 94)
|
|
|
|
--- |