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R3Bot.cs
README.md	Add DIA backtest results for R3 strategy	2024-09-25 08:30:32 -07:00

R3

This strategy was taken from chapter 4 of High Probability ETF Trading (2009) by Larry Connors.

Rules

Long

The ETF (e.g., SPY) is above its 200-day moving average.
The 2-period RSI drops 3 days in a row and the first day's drop is < 60.
If the 2-period RSI closes < 10, enter a long trade.
(Optional Aggressive Version) Enter a second long if price closes lower than the initial entry price at any point during the first trade.
Exit the trade when the 2-period RSI closes > 70.

Short

The ETF (e.g., SPY) is below its 200-day moving average.
The 2-period RSI rises 3 days in a row and the first day's rise is > 40.
If the 2-period RSI closes > 90, enter a short trade.
(Optional Aggressive Version) Enter a second short if price closes higher than the initial entry price at any point during the first trade.
Exit the trade when the 2-period RSI closes < 30.

Long-Term Trend Period: The period of the long-term trend as measured by a simple moving average. (Default: 200)

RSI Period: The period used in the RSI calculation. (Default: 2)

RSI Smoothing: The smoothing used in the RSI calculation. (Default: 1, no smoothing)

Consecutive Days: The number of days in a row that RSI must drop / rise. (Default: 3)

Enable Long Trades: Whether to enable taking long trades. (Default: true)

Long First Day RSI: The RSI value below which the first day's drop must be to enter a long trade. (Default: 60.0)

Long RSI Entry: The RSI value below which to enter a long trade. (Default: 10.0)

Long RSI Exit: The RSI value above which to exit any long trades. (Default: 70.0)

Enable Short Trades: Whether to enable taking short trades. (Default: true)

Short First Day RSI: The RSI value above which the first day's rise must be to enter a short trade. (Default: 40.0)

Short RSI Entry: The RSI value above which to enter a short trade. (Default: 90.0)

Short RSI Exit: The RSI value below which to exit any short trades. (Default: 30.0)

Enable Aggressive Entries: Whether to enable the optional aggressive trade entries. (Default: true)