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Strategy Documentation

Comprehensive guide to algorithmic trading strategies, parameters, and entry/exit conditions

RSI-2 Mean Reversion Strategy

Based on Larry Connors' research, this strategy operates on the principle that assets in a strong long-term trend tend to return to their mean after short-term extremes (oversold or overbought states).

Entry Conditions

Long Entry: Price must be above its long-term trend indicator (Trend SMA, default 200) AND the previous day's RSI(2) must be below the Oversold level (default 10).
Short Entry: Price must be below its Trend SMA (200) AND the previous day's RSI(2) must be above the Overbought level (default 90).

Exit Conditions

Indicator Exit: If "Use RSI Exit Level" is enabled, close the long position when RSI(2) crosses above the Exit Level (default 50). Close short positions when RSI(2) crosses below it.
Time Exit: If the RSI exit is not hit, the position is automatically closed after the Maximum Hold Days (default 5 days).
Risk Stops: Exits immediately if the price hits the portfolio stop-loss percent threshold.

Inputs & Parameters Definition

Parameter	Default	Type/Range	Description & Purpose
RSI Period	2	Integer (1-50)	Controls the speed/lookback of the RSI indicator. Standard Connors formula uses 2 days for extreme sensitivity.
Trend SMA	200	Integer (5-500)	Simple Moving Average period checking the primary trend direction. Longs are only allowed above this line; shorts below it.
Max Hold Days	5	Integer (1-100)	The maximum number of trading days to hold a position before triggering a time-based safety exit.
Oversold (Buy)	10	Integer (1-50)	The threshold below which the asset is considered severely oversold, triggering a buy signal.
Overbought (Sell)	90	Integer (50-99)	The threshold above which the asset is considered severely overbought, triggering a short entry.
Use RSI Exit Level	Checked	Boolean	Enables/disables the dynamic RSI exit. If unchecked, the trade relies solely on the Max Hold Days or stop-loss.
RSI Exit Level	50	Integer (10-90)	The RSI midpoint level. Reaching this indicates the price has returned to neutral, triggering a profit take.

Moving Average Crossover Strategy

A classic trend-following system that generates trading signals when a faster, short-term moving average crosses a slower, long-term moving average, capturing long-term directional momentum.

Entry Conditions

Long Entry (Golden Cross): Triggered when the Fast Moving Average crosses above the Slow Moving Average (today's Fast MA > Slow MA AND yesterday's Fast MA <= Slow MA).
Short Entry (Death Cross): Triggered when the Fast Moving Average crosses below the Slow Moving Average (today's Fast MA < Slow MA AND yesterday's Fast MA >= Slow MA).

Exit Conditions

Reverse Crossover: Long positions are closed when a bearish crossover (Fast < Slow) occurs. Short positions are closed when a bullish crossover occurs.
Time Exit / Stop Loss: Exits after the Maximum Hold Days (default 5) or if the price touches standard percentage targets or stop-loss limits.

Inputs & Parameters Definition

Parameter	Default	Type/Range	Description & Purpose
Fast Period	50	Integer (1-500)	Lookback window for the fast moving average. Represents short-term trend/momentum.
Slow Period	200	Integer (5-1000)	Lookback window for the slow moving average. Represents long-term trend baseline.
MA Formula	SMA	Select	Calculates moving averages using either Simple Moving Average (SMA) or Exponential Moving Average (EMA). EMA reacts faster to recent price changes.
Max Hold Days	5	Integer (1-500)	Safety net to liquidate positions after a fixed number of trading days if no opposite crossover is triggered.

Bollinger Bands Mean Reversion Strategy

Uses standard deviation bands around a central moving average to identify overextended price conditions. Entry is filtered by a long-term trend moving average to avoid trading against major momentum.

Entry Conditions

Long Entry: Today's close falls below the Lower Bollinger Band AND the close is still above the long-term trend SMA (default 200), meaning the asset is oversold inside a structural bull trend.
Short Entry: Today's close rises above the Upper Bollinger Band AND the close is below the Trend SMA (200), meaning the asset is overbought inside a structural bear trend.

Exit Conditions

Midline Cross: Long positions are liquidated when the price rises back above the Middle Bollinger Band. Short positions close when the price falls below the Middle Band.
Hold Limits & Stops: Triggers exit if the trade exceeds Max Hold Days (default 5) or triggers percentage stop-losses.

Inputs & Parameters Definition

Parameter	Default	Type/Range	Description & Purpose
BB Period	20	Integer (2-100)	The lookback period used to calculate the central simple moving average and standard deviation bands (usually 20).
Std Deviation	2.0	Decimal (0.5-5.0)	The multiplier of standard deviation used to shift the upper/lower bands. Higher multipliers generate fewer, more extreme signals.
Trend Filter SMA	200	Integer (5-500)	Long-term moving average filter. Protects the mean-reversion algorithm from entering buying setups during a secular downtrend.
Max Hold Days	5	Integer (1-100)	The maximum holding period before liquidating the position.

MACD Signal Line Crossover Strategy

A momentum-following strategy utilizing the Moving Average Convergence Divergence indicator. It tracks changes in the strength, direction, momentum, and duration of a trend.

Entry Conditions

Long Entry: The fast MACD line crosses above the MACD Signal line (today's MACD > Signal AND yesterday's MACD <= Signal).
Short Entry: The fast MACD line crosses below the MACD Signal line (today's MACD < Signal AND yesterday's MACD >= Signal).

Exit Conditions

Opposite Crossover: Long positions are closed immediately upon a bearish crossover (MACD Line < Signal Line). Short positions are closed on a bullish crossover.
Stops & Hold Limits: Exits at the Max Hold Days limit (default 5) or if the price touches standard percentage targets or stop-loss limits.

Inputs & Parameters Definition

Parameter	Default	Type/Range	Description & Purpose
Fast EMA	12	Integer (2-100)	Exponential Moving Average period of the short-term price trend (standard value is 12).
Slow EMA	26	Integer (5-200)	Exponential Moving Average period of the long-term price trend (standard value is 26).
Signal SMA	9	Integer (2-50)	Exponential moving average lookback of the MACD difference line, serving as a trigger baseline (standard is 9).
Max Hold Days	5	Integer (1-100)	Safety hold time limit to liquidate the position in range-bound conditions.

Donchian Channel Breakout (SDD-010)

A highly powerful, classic trend-following strategy inspired by the Richard Dennis "Turtle Traders" system. It goes long on upside breakouts and short on downside breakouts, using ADX trend filters, ATR volatility stops, and a primary time-based exit to ride major momentum waves.

Entry Conditions

Long Entry Breakout: Today's close exceeds the previous day's Upper Donchian Band (highest high of past $N$ days) AND ADX(14) > threshold (default 20) AND daily volume is above its 20-day average volume (if volume filter is enabled).
Short Entry Breakout: Today's close is below the Lower Donchian Band (lowest low of past $N$ days) AND ADX(14) > threshold AND volume is above its 20-day average.

Exit Conditions

Time-Based Exit (Primary): If Exit Type is "time", the trade is automatically closed at tomorrow's open once it has been held for exactly $N_{exit}$ days (e.g., 30 days for a 40-day breakout system), capturing trends without getting stopped out by short-term pullbacks.
Channel Band Exit: If Exit Type is "channel" or "band", positions are closed when price falls back across the opposite Donchian band (Lower Exit Band for longs, Upper Exit Band for shorts) computed over the exit window.
Middle Band Exit: Position is liquidated when price crosses back over the Donchian Middle Band (neutral midpoint).
Volatility Stop (ATR): Position size is determined so that a $2 \times \text{ATR}(20)$ stop limits capital loss to the exact risk threshold. A trailing stop of $3 \times \text{ATR}(20)$ locks in gains.

Inputs & Parameters Definition

Parameter	Default	Type/Range	Description & Purpose
Entry Period (N)	40	Integer (5-200)	Lookback period for calculating the breakout bands. Represents the highest high or lowest low of the last $N$ days. Standard is 40 days.
Exit Period (N_exit)	30	Integer (2-150)	For time exits, it is the exact duration (in days) to hold the trade. For channel exits, it is the lookback period for the exit bands.
Exit Type	Time-Based Exit	Select	Determines how trades are liquidated. Time-Based Exit closes trades after $N_{exit}$ days. Channel Exit uses the exit period bands. Middle Band uses the midpoint.
Risk per Trade (%)	2.0%	Decimal (0.1-10.0)	Percentage of backtest capital to risk on a single trade. Dictates trade sizing dynamically relative to market volatility.
ATR Stop Period	20	Integer (5-100)	The lookback window to calculate Welles Wilder's Average True Range (ATR), which sets the stop-loss levels.
ADX Min Threshold	20	Integer (0-50)	Average Directional Index threshold. Filters out trades when the market is sideways (ADX < 20).
Volume Confirmation	Enable	Select	When enabled, breakouts are only taken if today's volume is higher than the 20-day Average Volume (SMA).
Contract Multiplier	1.0	Decimal (0.01-5000.0)	Multiplier to compute realistic contract values for derivative or future symbols (e.g. 50x for ES).

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Strategy Documentation

RSI-2 Mean Reversion Strategy

Entry Conditions

Exit Conditions

Inputs & Parameters Definition

Moving Average Crossover Strategy

Entry Conditions

Exit Conditions

Inputs & Parameters Definition

Bollinger Bands Mean Reversion Strategy

Entry Conditions

Exit Conditions

Inputs & Parameters Definition

MACD Signal Line Crossover Strategy

Entry Conditions

Exit Conditions

Inputs & Parameters Definition

Donchian Channel Breakout (SDD-010)

Entry Conditions

Exit Conditions

Inputs & Parameters Definition