TPS

This strategy was taken from chapter 8 of High Probability ETF Trading (2009) and Buy the Fear, Sell the Greed (2018) by Larry Connors.

TPS stands for:

Rules

Long

The ETF (e.g., SPY) is above its 200-day moving average.
If the 2-period RSI is below 25 for 2 days in a row, enter a long trade with 10% of the total position size.
If price closes lower than the initial entry price any day while in the position, enter another long trade with 20% of the total position size.
If price again closes lower than the latest entry price, enter another long with 30% more of the total position size.
If price yet again closes lower than the latest entry price, enter a final long with the remaining 40% of the total position size.
Exit the trade(s) when the 2-period RSI closes above 70.

Short

The ETF (e.g., SPY) is below its 200-day moving average.
If the 2-period RSI is above 75 for 2 days in a row, enter a short trade with 10% of the total position size.
If price closes higher than the initial entry price any day while in the position, enter another short trade with 20% of the total position size.
If price again closes higher than the latest entry price, enter another short with 30% more of the total position size.
If price yet again closes higher than the latest entry price, enter a final short with the remaining 40% of the total position size.
Exit the trade(s) when the 2-period RSI closes below 30.

Long-Term Trend Period: The period of the long-term trend as measured using 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)

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

Long RSI Entry: The RSI value below which to begin entering long trades. (Default: 25)

Long RSI Exit: The RSI value above which to exit any long trades. (Default: 70)

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

Short RSI Entry: The RSI value above which to begin entering short trades. (Default: 75)

Short RSI Exit: The RSI value below which to exit any short trades. (Default: 30)

Total Position Size: The maximum position size assuming all trades have been entered. (Default: 10000)