69 lines
2.6 KiB
Markdown
69 lines
2.6 KiB
Markdown
# RSI 25 / 75
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This strategy was taken from chapter 3 of [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) by Larry Connors.
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## Rules
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**Long**
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1. The ETF (e.g., SPY) is trading above its 200-day moving average.
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2. If the 4-period RSI closes under 25, enter a long trade.
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3. **(Optional Aggressive Version)** Enter another long trade if at any time while in the first trade the 4-period RSI closes under 20.
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4. Exit the trade(s) when the 4-period RSI closes above 55.
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**Short**
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1. The ETF is trading below its 200-day moving average.
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2. If the 4-period RSI is above 75, enter a short trade.
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3. **(Optional Aggressive Version)** Enter another short trade if the 4-period RSI closes above 80.
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4. Exit the trade(s) when the 4-period RSI closes under 45.
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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 to use in the RSI calculation. (Default: 4)
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**RSI Smoothing**: The smoothing to use 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 allow entering long trades. (Default: 25)
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**Long RSI Exit**: The RSI value above which to exit any open long trades. (Default: 55)
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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 allow entering short trades. (Default: 75)
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**Short RSI Exit**: The RSI value below which to exit any open short trades. (Default: 45)
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**Enable Aggressive Entries**: Whether to enable taking another more aggressive trade after the initial one. (Default: true)
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**Aggressive Long RSI Entry**: The RSI value below which to allow taking an aggressive long trade. (Default: 20)
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**Aggressive Short RSI Entry**: The RSI value above which to allow taking an aggressive short trade. (Default: 80)
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## Backtest Results
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### SPY
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### QQQ
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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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