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ConnorsRSI for Leveraged ETFs including scaling and MFI safeguards
Peter Bakker
edited Dec 5, 2014

Algo based on the books:

  • Short Term Trading Strategies That Work [Kindle Edition]
  • An Introduction to ConnorsRSI 2nd Edition (Connors Research Trading Strategy Series) [Kindle Edition]
  • Trading Leveraged ETFs With ConnorsRSI (Connors Research Trading Strategy Series) [Kindle Edition]

Based on previous trading and a few books about the ConnorsRSI I developed this algo. Happy to take comments, improvements and other ideas. Thanks Ed and Grant to have helped with the MFI part.

I plan to deploy this algo with 20-50K or so. Why deploy an algo then performs less then the SPY.... well because it doesnt: it is only a fraction invested while the SPY would be fully invested, limiting risk...

Best, Peter

3 responses
Former Member
Dec 11, 2014

Peter,

I wanted find the min. starting cash that would still produce some return over the period without borrowing. I thought the number was $7500 but then I noticed that starting on 4/4/2013 for 4 days the cash went down to -$750. That prompted me to go back and check more carefully for borrowing at higher starting cash levels. It turns out that it borrows about -$750 around the same dates even with a $20k start. However that's still impressive given the platform's strong tendency to borrow unless prevented by the algo.'s logic. I'm curious about how the money flow index works -- plan to study it more as time permits.

Best,
Tom

Stephen Lynch
Jun 25, 2017

I've been looking into ConnorsRSI and stumbled upon this thread. Has anyone updated this for Q2 or potentially worked ConnorsRSI into Pipeline?

Peter Bakker
Jun 26, 2017

nope, I went too far in other rabbit holes. I traded it a bit but then the 3X etfs did some strange things ands I decided to jump out...

The code looks really clumsy without pipeline

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