Test range from 1/1/2007 to 12/31/2016. Any mention of ConnorsRSI is using the default parameters of (3,2,100).
Set up Rules
A. Stock is member of the S&P 500 indexRule (A) gives us a good trading universe.
B. It has been less than (10,15,20,25,30) days since a 39 week high
C. ConnorsRSI is less than (10 to 40 in steps of 2.5)
Rule (B) is looking for a stock with recent strength. Why 39 weeks? Originally I was trying to decide between 26 weeks and 52 weeks. I decided to split the difference.
Rule (C) is our sell off rule. Nothing fancy but I wanted to test a large range of values
If we have a set up, then enter a limit order for the next day at (.5, 1.0, 1.5, 2.0)% below the close. Order good for one day only.
Only place enough orders so if they are all filled you are not in more than 7 positions
If have multiple set ups, then rank from high to low by the 100 day historical volatility.
We enter on additional intraday weakness.
ConnorsRSI is greater than (50, 55, 65, 70)
Exit on next open
Simple mean reversion exit of waiting for the bounce. No stops. You may have also noticed there is no market timing rule. Will this get killed in 2008?
Vamos a replicarlo con python y despues optimizarlo con machine learning en lugar de usar reglas y estadisticas.