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Hi
I'm trying to model the Strategy from the book Larry Connors. „Buy the Fear, Sell the Greed: 7 Behavioral Quant Strategies for Traders.“
This Strategy shoud be positive from 2007 to 2017, with: win ratio of > 70%, Avg. Profit Per Trade: 6.5%, Avg. Win: 16.5%, Avg. Loss: 19.5 %
The rules are basicly:
entry: Connors RSI with (3,2,100) >90 and 100-day Historical Volatility > 100%., short next day with a limit order of 5% higher.
exit: Connors RSI with (3,2,100) < 30
So far I simulated for 2018 with mixed results. Unfortunatly on the plattform its very slow to get a longer time period. Does someone could run it locally, should be way faster. Locally on zipline its jut some minutes, but i can't get the limit orders running.
I would like to ran this stategy in parallel to a clasic momentum trading strategy. (should make money in sideways or downward markets)
Best
Carsten
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