ninjatrader/strategies/trin

TRIN

This strategy was taken from chapter 12 of Short Term Trading Strategies That Work (2008) by Larry Connors.

It is based on the short-term trading index (TRIN), also known as the Arms index.

The formula for calculating the TRIN of an index is as follows:

TRIN = (Advancing Stocks / Declining Stocks) / (Advancing Volume / Declining Volume)

Rules

1. The asset (e.g., SPY) is above its 200-day moving average.
2. The 2-period RSI is below 50.
3. If TRIN closes above 1 for 3 consecutive days, enter a long trade.
4. Exit the trade when the 2-period RSI is above 65.

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