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| README.md | ||
| TRINThrusts.cs | ||
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.
Parameters
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)