R3 ETF Strategy

This strategy is a modification of the “R3 Strategy” from the book "High Probability ETF Trading" by Larry Connors and Cesar Alvarez. This RSI strategy is for a 1-day time-frame and has these 3 simple rules:

Criteria:

• The price must be above the 200 day moving average.
  
• The 2-period (day) RSI drops 3 days in a row.
  
• The 2-period RSI must have been below 60 3 days ago and below 10 today.
  
  Entry and Exit:
  
• If the 3 rules above are true, then buy on the close of the current day.
  
• Exit on the day's close when the RSI crosses above 70.
  

How it works:
The Strategy will buy when the buy conditions above are true. The strategy will sell when the RSI crosses above 70. The RSI period/length, and RSI entry/exit criteria thresholds have all been coded to be adjustable with inputs.

Plots:
Blue line = 200 Day EMA (Used as Entry Criteria)

Disclaimer: Open-source scripts I publish in the community are largely meant to spark ideas that can be used as building blocks for part of a more robust trade management strategy. If you would like to implement a version of any script, I would recommend making significant additions/modifications to the strategy & risk management functions. If you don’t know how to program in Pine, then hire a Pine-coder. We can help!

リリースノート:

This strategy is up over 15% YTD going long on QQQ and SPY through some rather adverse market conditions. The original version was hard coded to only trade when the market is above the 200 day EMA. While backtesting index ETFs, I've found multiple instances where someone might not want to have trades filtered out below that trend. So, this new version adds an input that allows the user to select whether or not to enter trades when the market is below the 200 day EMA. The change improved backtest and YTD performance on SPY and QQQ. Cheers!