Laurence Connors - S&P 500 Trading With ConnorsRSI

ConnorsResearchTradingStrategySeries
S&P500Trading
withConnorsRSI
By
ConnorsResearch,LLC
LaurenceConnors
CesarAlvarez
MattRadtke
www.forex-warez.com | skype: andreybbrv | andreybbrv@gmail.com
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This document cannot be reproduced without the expressed written permission of Connors Research, LLC.
Copyright 2013, Connors Research, LLC. All Rights Reserved.
Copyright 2013, Laurence A. Connors and Cesar Alvarez.

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ISBN 978-0-9886931-4-2

Printed in the United States of America.

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Table of Contents
Section1Introduction.............................................................................5
Section2StrategyRules...........................................................................8
Section3TestResults............................................................................16
Section4SelectingStrategyParameters...............................................21
Section5UsingOptions.........................................................................25
Section6AdditionalThoughts...............................................................28
Appendix:TheConnorsRSIIndicator.....................................................30

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Section1
Introduction

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AftermovingfromLosAngeles(theentertainmentcapitaloftheworld)toNewYorkCity(thefinancial
capitaloftheworld)in2007,Igainedtheopportunitytospendqualitytimewithmanytoptradersand
moneymanagerslocatedintheCity.OneofthegentlemenwhoIhadthegoodfortunetospendan
afternoonwithranawellrespectedtradingfirm.Hisbackgroundincludedbeinganequitytraderontwo
exchangesoverthreedecadeswithhisspecialtybeingtradinginS&P500stocks.Hisphilosophywasa
lotlikeanumberofprofessionalswholearnedtotradebeforetheinternetboom/bustofthelate
1990searly2000s.Hisphilosophywasonlybuyquality.
Whatdoesbuyqualitymean?Inhisminditwascompanieswhichhavebeeninbusinessfordecades;
householdnamesthatheknewandunderstood.Itsinterestingbecausethisisthesamephilosophy
popularizedbyWarrenBuffett.ButwhereasBuffetttendstobuyandholdthesestocks,thisgentleman
madehisliving(averygoodliving)tradinginandoutofthesesamestocks.Hefeltthatholdingquality
companiesforafewdayswasfarsaferthanholdinghighvolatilitycompanieswhichhehadbarelyheard
of.
Everyonewhosucceedsinthefinancialmarketsdoessobecausetheytradeatcomfortpoints.This
gentlemanscomfortpoint(asisBuffets)wastobeinstocksthatheknewandthatwouldlikelybein
businessforyearstocome.Hehadnointerestinowningcompanieshehadntheardof.Hetoldmehe
likedsleepingatnightandowningthesecompaniesallowedhimtosleepatnight.Ifyousharethis
samephilosophyofbuyingquality,youreingoodcompany.
WhenIaskedhimhowhetraded,hesmiledandsaidcoyly,Ibuylowandsellhigh.Icordiallysmiled
backandthenprobedfurther.Ultimatelyheopenedupandwithoutdivulginghisexactstrategythe
basisofhisphilosophywasthis:
1.ThemajorityofmoneyinvestedintheUnitedStatesisdonebymoneymanagers.Themajorityof
thatmoneyispensionmoney.Thesemanagershaveamandatetobeinqualitycompanies.Thebest
placetofindandinvestinqualitycompaniesisintheS&P500.
2.ThemajorityofthismoneythatinvestsinS&P500stocksisusuallybuyandholdmoney.
3.Whengiventheopportunity,thesemoneymanagers,especiallythevaluebuyers,looktobuythese
stocksiftheybecomecheaperoverashortperiodoftime.Thebetteronesknowavaluewhentheysee
oneandwillallocatemorecapitaltotheirpositionstotakeadvantageofthelowerprices.
4.Buyingatlowerpricesprovidesashorttermcushiontothesestocks.
5.Thiscushionoftenallowspricestostabilizeandthenriseagain(itsthecorephilosophyofmean
reversiontrading).Havingseenitonthefloorandthenwithinhistradingfirmfordecades,he
understoodthattheresbigmoneyouttherewaitingtobuymoresharesatcheaperprices,which
increasestheprobabilityofthestockpricesmovinghigher(wellbackthisupwithstatisticsinthe
upcomingchapters).

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Attheendoftheday,heknowsthatbigmoneywillalwaysbethereincompaniesheknowsandtrusts.
Whenheswrong,helookstogetout.Whenhesrighthemakeshismoneyandthenmovesontohis
nextpositions.
Thissimplicityintradingmakesalotofsense.Intuitivelyitscorrect.Innowaydoesitmeanthatevery
S&Pstockbehavesthiswayeverytimebecauseitdoesnot.S&P500stockslikeEnron,Lehmanand
manymajorbanks(especiallyin2008)wentlowerandinsomecasesoutofbusiness.Butprofessional
tradersaregreatatunderstandingwhatsgoingon(valuebuyersbuyingatlower,betterprices),whyits
goingon(inthemajorityofcasesitssimplyashorttermpullback),andtheyareabletomeasurethe
probabilitiesofthestockmovinghigher.InthisStrategyGuidebook,weregoingtoprovideyouwiththe
statisticsthatsupportthetypeofbuyingbehaviordiscussedabove.
HowtheTestsWereRun
1. WelookedateveryS&P500stockfromJanuary2001throughthefirstquarterof2013(thefinal
quarteraheadofwritingthisGuidebook).
2. Allstocksareincluded,includingtheEnrons,Lehmans.etc.
3. Alltradesignalsweregeneratedontheclose.Entriestookplacethenextdayusingalimitorder,
andexitswereexecutedthenextdayasasimulatedmarketorderusingtheaveragepriceofthe
day.
4. Slippageandcommissionswerenotincluded.
Takingintoaccountallsimulatedtradesfromthisstrategyfromoveratwelveyearperiodoftime,you
willlearnthatasthisgentlemanstatedtomein2009,biginstitutionsliketobuyvaluewhentheyseeit.
Andtheyoftenknowthatbecausemanymarketsaresomewhatefficientlongerterm,shorttermvalues
oftendontlastlong.Andthereforetheyprovidewonderfulopportunitiesforsmarttraders,likethe
gentlemanmentionedabove,tobuytheseS&P500stocksandquicklysellthemforprofits;oftentimes
withinafewdays.
Whatyouwillseeintheupcomingchaptersareexactrules.Buylowandsellhighisnicetoknow,but
wedontwantgeneralities.Wewantspecific,nonoptimized,simpletoapplyrulestobeableto
successfullytradeS&P500stocks.Wewillgiveyoutherules,themanyparametersyoucanapplywith
therules,andthefulltestresultsformorethanadecade.BythetimeyouvecompletedthisStrategy
Guidebook,youllknowwhentobuyS&Pstocks,whentoexitthem,andthehistoricalreturnsforthe
12yearsoftesting;aperiodwherethemarketdropped,rose,crashed,andthenreboundedallinall
aroughtimeforlongterminvestors.Butitwasagreattimeforpeoplewhoknewwhentobuyandsell
thestockswithintheS&P500Index.
WehopeyouenjoythisStrategyGuidebook.AfterreadingtheGuidebookifyouwouldliketolearn
moreabouttradingS&P500stocks,pleasecometoourwebsiteatwww.tradingmarkets.comorclick
here.
Letsnowmoveahead.
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Section2
StrategyRules

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TheConnorsRSIS&P500TradingStrategyexecutestradesusingasimplethreestepprocessconsisting
ofSetup,EntryandExit.Therulesforeachofthesestepsaredetailedbelow.
ASetupoccurswhenallofthefollowingconditionsaretrue:
1. ThestockisacurrentmemberoftheS&P500.
2. ThestockcloseswithaConnorsRSI(3,2,100)valuelessthanW,whereWis5or10.
3. ThestocksclosingpriceisinthebottomX%ofthedaysrange,whereX=25,50,75or100.
IfthepreviousdaywasaSetup,thenweEnteratradeby:
4. SubmittingalimitordertobuythestockatapriceY%belowyesterdaysclose,
whereYis2,4,6,8,or10.
Afterweveenteredthetrade,weExitwhen:
5. ThestockcloseswithaConnorsRSIvaluegreaterthanZ,whereZis50or70.
Letslookateachruleinalittlemoredepth,andexplainwhyitsincludedinthestrategy.
Rule1simplylimitsourtradinguniversetotheS&P500stocks.
Rule2usesConnorsRSItoidentifyapricepullback.AcompletedescriptionofConnorsRSImaybefound
intheAppendix.
Rule3determinestheextenttowhichthepricehascontinuedtodeclineheadingintotheclose.Note
thatvariationswhichuseavalueof100forXareessentiallyeliminatingthisrule,i.e.everypossible
pricewouldbeinthebottom100%oftherange.Weincludedthisvaluesothatyoucouldseethe
resultsofnotusingRule3.
Rule4allowsustoenterthetradeatanoptimalprice.Weretakinganalreadyoversoldstockas
measuredbyConnorsRSIandthenwaitingforittobecomeevenmoreoversoldonanintradaybasis.
Becausetheintradaypricedropisoccurringforasecondconsecutiveday,itsoftenaccompaniedbya
greatdealoffear.Moneymanagersgetespeciallynervousandoftentelltheirheadtraderstojustget
meoutaftertheyvemadethedecisiontosell.Thispanichelpscreatetheopportunity.
Rule5providesawelldefinedexitmethod.Fewstrategieshavequantified,structured,anddisciplined
exitrules.Rule5givesyoutheexactparameterstoexitthetrade,backedbyovertwelveyearsof
historicaltestresults.Aswithallotherstrategyparameters,weselectinadvancethetypeofexitthat
wewilluse,andapplythatruleconsistentlyinourtrading.
Noteveryoneisavailabletoclosetheirtradesrightasthemarketisclosing.Therefore,inourtestingwe
closedalltradesthedayaftertheExitsignaloccurred.Tosimulateplacingamarketorderatarandom
timeduringthatday,weuseanexitpricethatisequaltotheaverageoftheopen,high,lowandclose
fortheday:ExitPrice=(Open+High+Low+Close)/4
***
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Usingthedifferentvariationsoftherulesabovehashistoricallygeneratedanextremelyhighpercentage
ofwinningtrades.WelltakeanindepthlookatthetestresultsinSection3,butfornowheresaquick
previewofthetop20strategyvariationswhensortedbyhighestwinrate:
Top20VariationsByHighestWinRate
#
Trades
Avg
%P/L
Win
Rate
Entry
CRSI
Closing
Range Limit%
Exit
CRSI
278 14.8% 86.0% 5 25 10 50
278 16.9% 84.9% 5 25 10 70
318 13.3% 84.0% 5 50 10 50
317 15.0% 83.0% 5 50 10 70
415 11.2% 82.9% 5 25 8 50
414 12.7% 82.9% 5 25 8 70
325 12.9% 82.8% 5 75 10 50
328 12.8% 82.6% 5 100 10 50
324 14.6% 81.5% 5 75 10 70
327 14.5% 81.4% 5 100 10 70
481 11.6% 81.1% 5 50 8 70
483 10.3% 81.0% 5 50 8 50
493 9.9% 79.9% 5 75 8 50
498 11.2% 79.9% 5 100 8 70
491 11.2% 79.8% 5 75 8 70
500 9.8% 79.6% 5 100 8 50
626 9.4% 77.6% 5 25 6 70
629 7.9% 77.1% 5 25 6 50
652 9.4% 76.8% 10 25 10 50
788 8.7% 76.0% 10 50 10 50
Findingaquantified,backtestedstrategythatproducesaprofiton75%oftradesignalsissomewhat
unusual;having20differentvariationsthatallgeneratewinners7686%ofthetimeisatestamentto
thepowerandconsistencyoftheConnorsRSIS&P500tradingstrategy!
***

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Nowletsseehowatypicaltradelooksonachart.Fortheexamplebelow,welluseastrategyvariation
thatrequirestheConnorsRSIvaluetobebelow10andtheclosingpricetobeinthebottom25%ofthe
daysrange.Thelimitorderwillbeplaced6%belowtheSetupdaysclosingprice.Wewillexitwhen
ConnorsRSIclosesabove70.Intermsofourstrategyrulesabove,thatmeansW=10,X=25,Y=6,and
Z=70.
Figure1:ISRGTrade
ThechartaboveisforIntuitiveSurgical,Inc.,whosesymbolisISRG.Inthechart,thetoppaneshowsthe
pricebarsinblack,andtheverticalbluegraylinemarksthecurrentlyselecteddaywhichalsohappens
tobetheSetupday.Thegreenuparrowmarkstheentryday,andthereddownarrowindicatestheexit
day.ThelowerpaneshowsConnorsRSIasablueline.Nowwellconfirmthateachofourentryandexit
conditionswerecorrectlymet.
Rule1requiresthatthestockbeamemberoftheS&P500,whichISRGis.
Basedonourstrategyparameters,Rule2requirestheConnorsRSI(3,2,100)valuetobebelow10onthe
Setupday,whichitis:thevalueshownonthechartontheentrydayis9.14.
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Rule3statesthatthestockmustcloseinthebottom25%ofthedaysrange.Theclosingrangecanbe
calculatedas:
ClosingRange =(CloseLow)/(HighLow)
=($489.89$483.38)/($517.44$483.38)
=6.51/34.06=19%
SinceallthreeSetupruleshavebeensatisfied,weenteralimitorderforthenexttradingday.Our
selectedstrategyvariationtellsustousealimitof6%belowtheSetupdaysclosingprice,sowewould
usealimitpriceof:
LimitPrice =Closex(1Limit%)
=$489.89x(1.06)
=$489.89x0.94=$460.50
Wecanseeonthechartthatonthedayafterthesetupoccurs,thepriceofISRGfallswellbelow$460,
soourlimitordergetsfilledatthelimitpriceof$460.50.
Ontheverynexttradingday,March18,2013,thepriceofISRGclosesat$485.52,resultingina
ConnorsRSIvalueof75.33.Sincethisisaboveourexitthresholdof70,weexitthetrade.Noticethatthe
redSellarrowactuallyappearsthenextday,March19
th
.Asexplainedpreviously,thisisbecauseour
testingsimulatesanexitusingamarketorderthedayaftertheexitsignaloccurs.Inthisinstance,the
averagepriceof$481.24ontheexitdayisslightlylessthantheclosingpriceonthesignalday,so
waitinguntilthenextdaytoexitourtradeactuallycostusabitofourgain.However,westillcaptureda
precommissionprofitof4.5%injusttwodays:
Profit =Gain(orLoss)/CostBasis
=($481.24$460.50)/$460.50
=$20.74/$460.50=4.5%

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Letslookatanotherexampleusingthesamestrategyparameters.Thechartbelowisfor
LincolnNational(LNC),andusesthesameconventionsasthepreviouschart.
Figure2:LNCTrade
TheSetupdayforthistradewasSeptember21,2011,adaywhichtriggeredmanysetupsforthis
variationofthestrategy.AsperRule1,LNCisamemberoftheS&P500,andasperRule2the
ConnorsRSIvalueclosedbelow10withavalueof7.31.
Althoughwecouldcalculatetheclosingrange,itisveryeasytoseefromthechartthattheclosingrange
isextremelylow.Theclosingpricewasonlytwocentsabovethelow,onadaythatthetotalpricerange
wasadollarandahalf($17.69$16.19).Alittlementalarithmetictellsusthattheclosingrangewas
lessthan2%,verifyingwhatoureyesalreadyknew.Therefore,Rule3hasbeensatisfiedandallofour
Setupconditionshavebeenmet.
WeplacealimitorderonSeptember22
nd
usingalimitpriceof$15.24,whichis6%belowtheSetup
daysclosingpriceof$16.21.Sincetheintradaypricefellbelow$15.00,ourordergetsfilledandwe
enterthetrade.
ThenextdaytheintradaypriceofLNCrallies,butultimatelyclosesbelowourentryprice.Interestingly,
theConnorsRSIvaluerisesslightlydespitethedecreaseinprice,butisstillwellbelowourexittargetof
70.
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OnSeptember26
th
,thepriceofLNCrisessufficientlytocausetheConnorsRSIvaluetocloseat73.47,
whichtriggersourexit.Wegetoutofthetradethenextday,whentheaveragepriceis$16.33.Unlike
thefirstexample,inthiscaseweactuallybenefitfromclosingthetradethedayaftertheexitsignal
occurs,astheclosingpriceonthesignaldaywas$15.61.
Ourtestinghasshownthatthisistypicalbehaviorformanyrobuststrategies.Whencomparinga
strategyvariationthatexitstradesattheclosewithonethatexitsthenextdayusingaverageprice,the
longtermresultsaregenerallyquitesimilar.Individualtradesmayperformbetterunderonescenario
thantheother,butovertimethesedifferencestendtoaverageout.

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Ourfinalexampleinthissectionwillusestrategyparametersthataredesignedtogetinandoutof
tradesquicklyandfrequently.WellstilllookforaConnorsRSIvalue(W)below10ontheSetup,but
welluseaclosingrange(X)of50,alimit(Y)of2%,andanexitthresholdforConnorsRSI(Z)of50.
Figure3:MTGSingleDayTrade
ThechartaboveisforMGICInvestments(MTG).AlthoughMTGwasremovedfromtheS&P500in
October2008,atthetimeofthistradeitwasstillamember.ThuswehavesatisfiedRule1.
TheConnorsRSIvalueontheSetupdayis3.45,meetingourRule2criterionofavaluelessthan10.The
closingpriceisequaltothelow,makingourclosingrangeequaltozeroandsatisfyingRule3.
HavingmetallourSetupcriteria,weentera2%limitorderonJune24
th
atapriceof$7.55.Thelow
priceonJune24
th
was$7.28(belowourlimitprice),soourorderwasfilled.
Noticewhathappensnext:thepriceonJune24
th
closesat$8.14,resultinginaConnorsRSIvalueof
68.44,whichiswellaboveourexitthresholdof50.Thereforeweclosethetradethenextdayatan
averagepriceof$8.32,recognizingatidygainofover10%inapproximately24hours.Hadwebeen
executingourexitsatthecloseratherthanonthedayfollowingtheexitsignal,wewouldhaveheldthis
tradeforlessthan7hours!
Nowthatyouhaveagoodunderstandingofthetrademechanics,welllookatthehistoricaltestresults
fordifferentvariationsofthestrategy.
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Section3
TestResults

P a g e |17
Wecanneverknowforsurehowatradingstrategywillperforminthefuture.However,forafully
quantifiedstrategysuchastheConnorsRSIS&P500TradingStrategydescribedinthisGuidebook,we
canatleastevaluatehowthestrategyhasperformedinthepast.Thisprocessisknownasback
testing.
Toexecuteabacktest,wefirstselectagroupofsecurities(sometimescalledawatchlist)thatwewant
totestthestrategyon.Inourcase,thewatchlistconsistsofpastandpresentmembersoftheS&P500.
Nextwechooseatimeframeoverwhichtotest.Thelongerthetimeframe,themoresignificantand
informativethebacktestingresultswillbe.ThebacktestsforthisGuidebookstartinJanuary2001and
gothroughtheendofMarch2013,thelatestdateforwhichwehavedataasofthiswriting.
Finally,weapplyourentryandexitrulestoeachstockinthewatchlistfortheentiretestperiod,
recordingdataforeachtradethatwouldhavebeenentered,andaggregatingalltradedataacrossa
specificstrategyvariation.
OneofthekeystatisticsthatwecangleanfromthebacktestresultsistheAverage%Profit/Loss,also
knownastheAverageGainperTrade.Sometradersrefertothisastheedge.TheAverage%P/Listhe
sumofallthegains(expressedasapercentage)andallthelosses(alsoasapercentage)dividedbythe
totalnumberoftrades.Considerthefollowingtentrades:
TradeNo. %GainorLoss
1 1.7%
2 2.1%
3 4.0%
4 0.6%
5 1.2%
6 3.8%
7 1.9%
8 0.4%
9 3.7%
10 2.6%
TheAverage%P/Lwouldbecalculatedas:
Average%P/L=(1.7%+2.1%4.0%+0.6%1.2%+3.8%+1.9%0.4%+3.7%+2.6%)/10
Average%P/L=1.08%
Average%P/Listheaveragegainbasedoninvestedcapital,i.e.theamountofmoneythatweactually
spenttoentereachtrade.
Forshorttermtradeslastingthreetotentradingdays,mosttraderslookforanAverage%P/Lof0.5%
to2.5%acrossalltrades.Allotherthingsbeingequal,thelargertheAverage%P/L,themoreyour
accountwillgrowovertime.Ofcourse,allotherthingsareneverequal!Inparticular,itsimportantto
considertheNumberofTradesmetricincombinationwithAverage%P/L.Ifyouuseapproximatelythe
P a g e |18
sameamountofcapitalforeachtradethatyouenter,youllmakealotmoremoneyontentradeswith
anaverageprofitof4%pertradethanyouwillononetradethatmakes10%.
AnotherimportantmetricistheWinningPercentageorWinRate.Thisissimplythenumberof
profitabletradesdividedbythetotalnumberoftrades.Inthetableabove,7ofthe10tradeswere
profitable,i.e.hadpositivereturns.Forthisexample,theWinningPercentageis7/10=70%.
WhydowecareaboutWinRate,aslongaswehaveasufficientlyhighAverage%P/L?Becausehigher
WinRatesgenerallyleadtolessvolatileportfoliogrowth.Losingtradeshaveawayofclumpingup,
andwhentheydothat,thevalueofyourportfoliodecreases.Thisisknownasdrawdown.Those
decreases,inturn,canmakeyoulosesleeporevenconsiderabandoningyourtradingaltogether.If
therearefewerlosers,i.e.ahigherWinningPercentage,thenlossesarelesslikelytoclump,andyour
portfoliovalueismorelikelytogrowsmoothlyupwardratherthanexperiencingviolentupanddown
swings.
***
LetsturnourattentiontothetestresultsforthedifferentvariationsoftheConnorsRSIS&P500Trading
Strategy.First,wellsortthetestresultstoshowthe20variationsthatproducedthehighest
Average%P/L.
Top20VariationsBasedonAverageGain
#
Trades
Avg
%P/L
Avg
Days
Held
Win
Rate
Entry
CRSI
Closing
Range Limit%
Exit
CRSI
278 16.9% 3.2 84.9% 5 25 10 70
317 15.0% 3.3 83.0% 5 50 10 70
278 14.8% 2.3 86.0% 5 25 10 50
324 14.6% 3.4 81.5% 5 75 10 70
327 14.5% 3.4 81.4% 5 100 10 70
318 13.3% 2.3 84.0% 5 50 10 50
325 12.9% 2.4 82.8% 5 75 10 50
328 12.8% 2.4 82.6% 5 100 10 50
414 12.7% 3.4 82.9% 5 25 8 70
481 11.6% 3.5 81.1% 5 50 8 70
491 11.2% 3.6 79.8% 5 75 8 70
415 11.2% 2.4 82.9% 5 25 8 50
498 11.2% 3.6 79.9% 5 100 8 70
647 11.0% 4.1 75.6% 10 25 10 70
483 10.3% 2.4 81.0% 5 50 8 50
808 10.2% 4.3 75.1% 10 75 10 70
816 10.2% 4.2 74.9% 10 100 10 70
779 10.1% 4.2 75.5% 10 50 10 70
493 9.9% 2.4 79.9% 5 75 8 50
500 9.8% 2.4 79.6% 5 100 8 50
P a g e |19
Belowisanexplanationofeachcolumn.
#TradesisthenumberoftimesthisvariationtriggeredfromJanuary1,2001March31,2013.
Avg%P/Listheaveragepercentageprofitorlossforalltrades,includingthelosingtrades,basedon
investedcapital.Thetop20variationshaveallshownpositivegainsrangingfromjustunder10%to
nearly17%overthe12+yeartestingperiod.WhentheAverage%P/Lisbrokendownonanannual
basis,15ofthese20variationsshowpositiveresultsforall13years!Onceagain,thatspeakstothe
consistencyofthestrategy.
AvgDaysHeldistheaveragetradedurationexpressedasanumberofdays.Inallcasesitslessthana
week,andinseveralvariationsitslessthan3days.
Win%isthepercentageofsimulatedtradeswhichclosedoutataprofit.Mostofthetop20variations
havewinratesover75%,withseveralinthemid80s.Thisisahighpercentageofprofitabletradesina
worldwheremanytradersareaimingfor60%.
EntryCRSIcorrespondstoRule2ofthestrategy,whichstatesthattheConnorsRSIvaluemustbebelow
theentrythreshold.RecallthatwetestedwithConnorsRSIthresholdsof5and10.Asyoumightexpect,
thelowerConnorsRSIvaluesdominatethelist.
ClosingRangecorrespondstoRule3ofthestrategy.Aclosingrangeof25isthemostrestrictive
criterion,whileaclosingrangeof100encompassesallpossiblescenariosfortheclosingprice,andthus
effectivelyneutralizesRule3.
Limit%isrelatedtoRule4ofthestrategy,anddeterminesthelimitpricethatwillbeusedtoenterthe
trade.Wetestedlimitsof2,4,6,8and10%belowtheSetupdaysclose.
ExitCRSIistheConnorsRSIvaluethatmustbeexceededtosignalanexit.Notethatthemorestringent
exitcriterion(higherConnorsRSIexitthreshold)generallyproduceslongertradedurations.Welldiscuss
thisinmoredetailinafuturesection.

P a g e |20
Next,letslookatthestrategyvariationsthathavehistoricallyhadthehighestrateofprofitabletrades.
Thesearethesamevariationspresentedinthepreviouschapter,butwithsomeadditionalcolumnsin
thetable.
Top20VariationsByHighestWinRate
#
Trades
Avg
%P/L
Avg
Days
Held
Win
Rate
Entry
CRSI
Closing
Range Limit%
Exit
CRSI
278 14.8% 2.3 86.0% 5 25 10 50
278 16.9% 3.2 84.9% 5 25 10 70
318 13.3% 2.3 84.0% 5 50 10 50
317 15.0% 3.3 83.0% 5 50 10 70
415 11.2% 2.4 82.9% 5 25 8 50
414 12.7% 3.4 82.9% 5 25 8 70
325 12.9% 2.4 82.8% 5 75 10 50
328 12.8% 2.4 82.6% 5 100 10 50
324 14.6% 3.4 81.5% 5 75 10 70
327 14.5% 3.4 81.4% 5 100 10 70
481 11.6% 3.5 81.1% 5 50 8 70
483 10.3% 2.4 81.0% 5 50 8 50
498 11.2% 3.6 79.9% 5 100 8 70
493 9.9% 2.4 79.9% 5 75 8 50
491 11.2% 3.6 79.8% 5 75 8 70
500 9.8% 2.4 79.6% 5 100 8 50
626 9.4% 3.7 77.6% 5 25 6 70
629 7.9% 2.4 77.1% 5 25 6 50
652 9.4% 2.6 76.8% 10 25 10 50
788 8.7% 2.6 76.0% 10 50 10 50
All20ofthetopvariationshavehistoricallyproducedaprofitonover75%oftheidentifiedtrades!
CombinedwiththeinformationpresentedintheprevioussectiononAverage%P/L,youcanseethat
wehaveastrategythathistoricallyhaswonconsistentlywhileproducingexcellentedges.

P a g e |21
Section4
SelectingStrategy
Parameters

P a g e |22
Inpreviouschapterswehavedescribedthedifferentvalueswetestedforstrategyparameterssuchas
ConnorsRSIentrythreshold(W),closingrange(X),entrylimit%(Y)andConnorsRSIexitthreshold(Z).In
thissectionwelldiscusssomethingstoconsiderasyoudecidewhichvariation(s)touseinyourtrading.
Letstalkconceptuallyaboutentriesandexitsforamoment.Bothentryandexitrulescanbethoughtof
intermsofhowstricttheyare,i.e.howeasyordifficulttheyaretoachieve.Youmightalsosaythat
strictnessisameasureofhowfrequentlyorinfrequentlytheruleconditionsoccur.Foroscillatorssuch
asConnorsRSI,valuesthatareclosertotheextremes(0and100)aremorestrict(lesslikelytooccur)
thanvaluesthatareinthemiddleoftherange.
Stricterentryruleswillbesatisfiedlessfrequentlythanmoreleniententryrules,andthusastrategy
thatreliesonthestricterruleswillgenerallygeneratefewertradesthanastrategywhoseentryrulesare
moreeasilysatisfied.Witharobuststrategy,therewardforfewertradesisusuallyahighergainper
trade,onaverage.Ifyoubuyaslightlyoversoldstock,itsmostlikelytohaveamoderaterebound.Butif
youwaitforthestocktobecomeextremelyoversold,thechancesaremuchhigherthatitwillhavea
significantbounceandcreateabiggerprofit.
Incontrasttoentryrules,thestrictnessofexitruleshaslittleeffectonthenumberoftradesgenerated
bythestrategy.However,justliketheentryrules,stricterexitrulestypicallyresultinhigheraverage
profits.Why?Becausestricterexitrulestendtokeepyouinyourtradesforalongertime,givingthe
stockmoretimetoexperiencethemeanreversionbehaviorthatwereattemptingtoexploitwitha
strategyliketheConnorsRSIS&P500TradingStrategy.Thus,forentriesthetradeoffisbetweenmore
tradesandhighergainspertrade,whileforexitsthetradeoffisbetweenshortertradedurationsand
highergainspertrade.
***

P a g e |23
NowletsturnourattentionbacktothestrategydescribedinthisGuidebook.Inthetablebelow,we
compareeightvariationsofthestrategythatallusethesamelimitentry(6%)andthesameexitmethod
(ConnorsRSI>70).OnlytheConnorsRSIentrythresholdandClosingRange(theSetupvariables)are
different.
VariationswithConstantLimit%andExitConnorsRSI
#
Trades
Avg
%P/L
Avg
Days
Held
Win
Rate
Entry
CRSI
Closing
Range Limit%
Exit
CRSI
626 9.4% 3.7 77.6% 5 25 6 70
1629 5.7% 4.4 71.6% 10 25 6 70
731 8.2% 3.8 75.9% 5 50 6 70
1953 5.1% 4.5 70.1% 10 50 6 70
751 7.9% 3.8 75.5% 5 75 6 70
2061 5.0% 4.5 69.8% 10 75 6 70
761 7.9% 3.9 75.6% 5 100 6 70
2087 4.9% 4.5 69.7% 10 100 6 70
NoticethatthefirsttwoentriesinthetablehaveidenticalstrategyparametersexceptforEntry
ConnorsRSIthreshold.Thefirstentryusesastricterrequirementof5,andhasgenerated626trade
signalssince2001,withanAverage%P/Lof9.4%.Thesecondvariationusesamorelenientcriterionof
10fortheConnorsRSIthreshold,andhasgenerated1629tradesignalswithanAverage%P/Lof5.7%.
Thesamepatternholdstruewhencomparingthethirdandfourthentries,thefifthandsixthentries,
andthefinaltwoentries.
WeseethatthepatternalsoholdstrueifwecomparealltheentrieswiththesameConnorsRSIentry
threshold,thatis,thefirst,third,fifthandseventhentriesinthetable.AstheClosingRangebecomes
morelenient,thenumberoftradesincreaseswhiletheAverage%P/Ldecreases.Likewiseforentries2,
4,6and8.

P a g e |24
Itshouldcomeasnosurprisethatthepatternemergesagainwhenweholdallparametersconstant
excepttheLimit%usedtodeterminethelimitentryprice.IfwekeeptheSetupconditionsconstant,
thentherewillobviouslybemorestocksthatexperienceapricedropof2%orgreaterthenextdaythan
therewillbethosethatdropbyatleast6%.
VariationswithDifferentLimit%Entries
#
Trades
Avg
%P/L
Avg
Days
Held
Win
Rate
Entry
CRSI
Closing
Range Limit%
Exit
CRSI
779 10.1% 4.2 75.5% 10 50 10 70
1181 7.6% 4.3 72.8% 10 50 8 70
1953 5.1% 4.5 70.1% 10 50 6 70
3593 3.1% 4.7 68.4% 10 50 4 70
8052 1.5% 4.9 66.6% 10 50 2 70
Wehaveconfirmedthatstricterentryrulesresultinfewertradesbuthigheraveragegains.Nowlets
lookattheexits.HereweagainholdtheSetupcriteriaconstant,butfortwodifferentLimit%valueswe
varytheexitthreshold:
VariationswithDifferentConnorsRSIExitThresholds
#
Trades
Avg
%P/L
Avg
Days
Held
Win
Rate
Entry
CRSI
Closing
Range Limit%
Exit
CRSI
1181 7.6% 4.3 72.8% 10 50 8 70
1196 6.5% 2.7 72.4% 10 50 8 50
3593 3.1% 4.7 68.4% 10 50 4 70
3652 2.6% 2.7 66.9% 10 50 4 50
ThefirsttwoentriesbothuseaLimitof8%,andaswepredictedearlier,theyvegeneratedverysimilar
numbersoftradesignals.However,thevariationthatusesthestricterConnorsRSIexitthresholdof70
hasanaveragetradedurationof4.3days,ascomparedtothe2.7dayaveragedurationofthevariation
usinganexitthresholdof50.Alsoasexpected,theAverage%P/Lisslightlylowerwiththemorelenient
exitthreshold.Thesamepatterncanbeseenwiththelasttwoentries,whichbothuseaLimitof4%.
Armedwiththisinformation,youwillnowbeabletoselectstrategyparametersthataremostlikelyto
producethenumberoftradesignals,averagegains,andtradedurationthatbestcomplementyour
overalltradingplan.

P a g e |25
Section5
UsingOptions

P a g e |26
PleasenotethattheoptionssectioninthemajorityoftheConnorsResearchTradingStrategySeriesis
thesamebecausethestrategysetupsofteninvolvelargemovesinbriefperiodsoftime.Inouropinion,
andconfirmedfromfriendswhoareprofessionaloptionstraders(onewithoverthreedecadesof
experience);thereisonebestwaytotrademoveslikethese.
Optionstradinghasbeenamajorgrowthindustryoverthepast5yearsinthemarkets.Thisisbecause
spreadshavetightened,liquidityhasincreased,andtheabilitytoeasilytradecomplexoptionshasnever
beensimpler.
Wellnowfocusonapplyingoptionstradingtotheshorttermmarketmoveswehavejustlearned.Like
everythingelseinthisGuidebook,therearedefinitiverulesastohowtoexecuteanoptionstradewhen
astrategysignaltriggers.
Hereiswhatweknowbaseduponthedata:
1.Themajorityofthemovesfromentrytoexithavebeenheldaveryshortperiodoftime(210
tradingdays).
2.Theaveragegainspertradehavebeenlargewellbeyondthenormaldistributionofprices
overthatshortperiodoftime.
3.Ahighpercentageofthemoveshavebeencorrect.
Whenwelookatthistypeofbehavior,itcanleadtomanystrategiesbutonestrategystandsout(and
thishasbeenconfirmedbyprofessionaltraders).Thestrategyistobuyfrontmonth,inthemoneylong
calls.
Whyfrontmonthinthemoneylongcalls?Becausetheywillmovemostcloselytothestockitself.And
thecloseranoptionmoveswiththestock,thegreaterthegainwillbeonapercentagebasiswhenthe
moveiscorrect.
Herearetherules.
1.Asignaltriggers.
2.Buythefrontmonthinthemoneycall.Ifyouweretonormallybuy500sharesofthestock,
buy5calls(every100sharesshouldequalonecall).
3.Exittheoptionswhenthesignaltriggersanexitonthestock.
Letsgofurther:
1.Whatdoesinthemoneyexactlymeanhere?
Inthiscaseitsdefinedasonetotwostrikepricesinthemoney.Ifthestockpriceisat48,buythe40or
45calls.
P a g e |27
2.Whatdoesfrontmonthmean?
Becausetheholdingperiodissoshort,youwanttotradetheoptionswhosemonthlyexpirationisthe
closest.Iftheclosestmonthis7tradingdaysorlessfromthefrontmonthsoptionexpirationdate
(meaningthesecondThursdaybeforeorcloser)usethefollowingmonthastheonetotrade.
3.WhathappensifIminthepositionanditexpiresyetthesignalforthestockisstillvalid?
Inthiscase,rolltothenextmonth.Youretradingthestocksignalssoyouwanttohaveexposuretothat
signal.
4.Whataboutliquidityandspreads?
Theressomediscretionhere.Thereisnohardandfastruleastowhatexactlyliquiditymeansin
options.Manytraderslookforminimumvolumeand/oropeninteresttodetermineliquidity.
Assumingthereisactivevolumeintheoptions,lookatthespreads.Iftheoptionistrading3.00bid3.30
offer,thespreadis10%.Canyoureallyovercomea10%spread?Notlikely.Nowcomparethistoan
optionthatstradingat3.25bid3.30offer.Thisisfarmoreacceptableandtradable.
5.Whataretheadvantagesofbuyingcalloptionsinsteadofthestock?
Assumingthespreadsandliquidityarethere,theadvantagesarelarge:
1.GreaterpotentialROIoncapitalinvested.
2.Lessmoneytiedup.
3.Lesspointsatrisk.Thismeansifastocksignalsat50,itcanloseupto50points.Theoptions
canonlyloseuptothepremiumyoupaid.So,ifyouboughtthe45calls,theriskisonlythe
premium.
4.Theresgreaterflexibility.Forexample,letssaythestocktriggeredabuysignalat50andyou
paid$5.50forthe45calls.Ifthestockimmediatelymoveshigher(letssayto56);youhave
choiceshere.Youcanexit,oryoucanrollintothe50callsgettingmostofyourmoneyout
andnowturningthisintoanearlyfreetradeifyoubelievethatpriceswillcontinuetorun.
Therearenumerousexampleslikethisandyoucanfindthesetypesofstrategyopportunitiesinmost
optionsbooks.Buttradinganythingexoticordifferentthansimplybuyingthecallsisagainsttheadvice
ofthemanyprofessionalsweposedthisquestionto.
Inconclusion,optionsprovidetraderswithagoodalternativetobuyingthestockoutright.The
structuredmethodologyforourstrategiesis:frontmonth,inthemoney,withequivalentsizing(1
optionper100shares),andexitingwhenthesignalexits.
Theaboveoptionsstrategy,inmanyexpertsopinion,isthebestandmostefficientstrategybasedupon
thehistoricaldatafromthesesignals.
P a g e |28
Section6
AdditionalThoughts

P a g e |29
1.AsyouhaveseenthroughoutthisGuidebook,theConnorsRSIS&P500TradingStrategyhashadlarge
quantifiededgeswhenappliedinasystematicmanner.
2.Thereareliterallydozensofpotentialvariationsforyoutouse.Byadjustingtheinputvariables
describedintherules,youcancustomizehowthestrategywillperformforyou.Wantmoretrades?
LookatvariationswithahigherConnorsRSIentryvalueorClosingRange.Biggeraveragereturns?Check
outthevariationsthathavethestrictestentrycriteria(lowentryvalueforConnorsRSIandhighLimit%)
andlongestdurations(ConnorsRSI70exitmethod).Wanttogetinandoutoftradesmorequicklyto
reduceovernightriskandfreeupyourcapitalforothertrades?Trythevariationsthatutilizethe
ConnorsRSI50exitmethod.
3.Whataboutstops(andweincludetheanswertothisinallourStrategyGuidebooks)?
WehavepublishedresearchonstopsinotherpublicationsincludinginourbookShortTermTrading
StrategiesThatWork.
Whatwehavefoundisthatstopstendtolessenperformanceandinmanycasestheycompletely
removeedges.Yes,itfeelsgoodwhenastockkeepsmovinglowerandlowerandastopgotyouout.On
theotherside,theresearchwhichisbackedbyuptotwodecadesoftestresultsonmanyshortterm
tradingstrategiessuggeststhatstopsgethitoftenandaccumulatemany,manylosses.Fewtrading
strategiescanovercometheseaggregatedlosses.
Formanytradersstopsareamust.Psychologicallyitallowsthemtotaketrades,especiallydifficult
trades.Whetheryouusethemornotisapersonalchoice.Onthewholethough,theedgesyouseein
thisstrategyandmanyothershorttermstrategiesarelowerwhenstopsareappliedtothem.Againthis
isapersonalchoiceonlyyoucanmakeforyourself.Weknowsuccessfultradersinbothcamps.
4.Slippageandcommissionwerenotusedinthetesting.Factorthemintoyourtrading(theentriesare
atlimitpricessoslippageisnotanissue)andmakesureyouretradingatthelowestpossiblecosts.
Mostfirmsarenowallowingtraderstotradeforunder1centashare,soshopyourbusiness,especially
ifyouareanactivetrader.Theonlinebrokeragefirmswantyourbusiness.
WehopeyouenjoyedthisadditiontotheConnorsResearchTradingStrategySeries.Ifyouhaveany
questionsaboutthisstrategypleasefeelfreetoemailusatinfo@connorsresearch.com

P a g e |30
Appendix:
TheConnorsRSI
Indicator

P a g e |31
LarryConnorsandConnorsResearchhavebeendeveloping,testing,andpublishingquantifiedtrading
strategiessincethemid1990s.Duringthattime,wehavehadtheopportunitytoevaluateagreat
numberofdifferenttechnicalindicatorsandtoassesstheireffectivenessinpredictingfutureprice
action.Nowwevetakenthenextstepandcreatedanindicatorofourown:ConnorsRSI.Inthischapter
wewilldescribetheindicatorandprovidedetailsonitscalculation.
ConnorsRSIisacompositeindicatorconsistingofthreecomponents.Twoofthethreecomponents
utilizetheRelativeStrengthIndex(RSI)calculationsdevelopedbyWellesWilderinthe1970s,andthe
thirdcomponentranksthemostrecentpricechangeonascaleof0to100.Takentogether,thesethree
factorsformamomentumoscillator,i.e.anindicatorthatfluctuatesbetween0and100toindicatethe
leveltowhichasecurityisoverbought(highvalues)oroversold(lowvalues).
BeforewediscusshowtocalculateConnorsRSI,letsreviewWildersRSI.RSIisaveryusefulandpopular
momentumoscillatorthatcomparesthemagnitudeofastock'sgainstothemagnitudeofitslossesover
somelookbackperiod.Wilderhimselfbelievedthat14periodswastheideallookback.Weoftenuse
theshorthandnotationRSI(14)forthe14periodRSI.TheformulabelowcomputesRSI(14)foraseriesof
pricechanges:
IfwewantedtocomputeRSIforadifferentnumberofperiods(N),thenwewouldreplace14inthe
formulaabovewithN,andreplace13withN1.Regardlessofthenumberofperiodsusedinthe
calculation,theresultwillalwaysbeanumberbetween0and100.TraderswhouseRSI(14)typically
lookforvaluesgreaterthan70toidentifyoverboughtconditions,andvalueslessthan30toindicate
oversoldconditions.
OurpreviousresearchhasshownthatusingshorterlookbackperiodsmakesRSImoreeffectivein
predictingshorttermpricemovements.WehavepublishedmanystrategiesthatutilizeRSI(2),aswell
asseveralthatuseRSI(3)andRSI(4).ChangingthenumberofperiodsalsohasaneffectontheRSIlevels
P a g e |32
thatbestidentifyoverboughtandoversoldconditions.Forexample,anRSI(2)valueoflessthan10is
usuallyareliableindicatorofanoversoldcondition,whileanRSI(2)valueover90isagoodbenchmark
foranoverboughtcondition.
NowletsturnourattentionbacktoConnorsRSI.Asmentionedpreviously,ConnorsRSIcombinesthree
components,andasyoumightguess,theyareallelementsthatourresearchhasrepeatedlyshownto
havesignificantpredictiveability:
PriceMomentum:Aswejustdiscussed,RSIisanexcellentwaytomeasurepricemomentum,
i.e.overboughtandoversoldconditions.Bydefault,ConnorsRSIappliesa3periodRSI
calculationtothedailyclosingpricesofasecurity.WewillrefertothisvalueasRSI(Close,3).
DurationofUp/DownTrend:Whentheclosingpriceofasecurityislowertodaythanitwas
yesterday,wesaythatithascloseddown.Ifyesterdaysclosingpricewaslowerthanthe
previousdaysclose,thenwehaveastreakoftwodownclosedays.Ourresearchhasshown
thatthelongerthedurationofadownstreak,themorethestockpriceislikelytobouncewhen
itrevertstothemean.Likewise,longerdurationupstreaksresultinlargermovesdownwhen
thestockmeanreverts.Ineffect,thestreakdurationisanothertypeofoverbought/oversold
indicator.
Theproblemis,thenumberofdaysinastreakistheoreticallyunbounded,thoughwecould
probablyplacesomepracticallimitsonitbasedonpastexperience.Forexample,wemight
observethattherehavebeenveryfewinstancesofeitheranupstreakoradownstreaklasting
formorethan20days,butthatstilldoesntgetustoatypicaloscillatortypevaluethatvaries
between0and100.
Thesolutionistwofold.First,whenwecountthenumberofdaysinastreak,wewilluse
positivenumbersforanupstreak,andnegativenumbersforadownstreak.Aquickexample
willhelptoillustratethis:
Day ClosingPrice StreakDuration
1 $20.00
2 $20.50 1
3 $20.75 2
4 $19.75 1
5 $19.50 2
6 $19.35 3
7 $19.35 0
8 $19.40 1
TheclosingpriceonDay2ishigherthanonDay1,sowehaveaonedayupstreak.OnDay3,
thepricecloseshigheragain,sowehaveatwodayupstreak,i.e.theStreakDurationvalueis2.
OnDay4,theclosingpricefalls,givingusaonedaydownstreak.TheStreakDurationvalueis
negative(1)becausethepricemovementisdown,notup.Thedownwardtrendcontinueson
P a g e |33
Days5and6,whichourStreakDurationreflectswithvaluesof2and3.OnDay7theclosing
priceisunchanged,sotheStreakDurationissetto0indicatingneitheranupclosenoradown
close.Finally,onDay8theclosingpricerisesagain,bringingtheStreakDurationbackto1.
ThesecondaspectofthesolutionistoapplytheRSIcalculationtothesetofStreakDuration
values.Bydefault,ConnorsRSIusesa2periodRSIforthispartofthecalculation,whichwe
denoteasRSI(Streak,2).Theresultisthatthelongeranupstreakcontinues,thecloserthe
RSI(Streak,2)valuewillbeto100.Conversely,thelongerthatadownstreakcontinues,the
closertheRSI(Streak,2)valuewillbeto0.Thus,wenowhavetwocomponentsRSI(Close,3)
andRSI(Streak,2)thatbothusethesame0100scaletoprovideaperspectiveonthe
overbought/oversoldstatusofthesecuritywereevaluating.
RelativeMagnitudeofPriceChange:ThefinalcomponentofConnorsRSIlooksatthesizeof
todayspricechangeinrelationtopreviouspricechanges.WedothisbyusingaPercentRank
calculation,whichmayalsobereferredtoasapercentile.Basically,thePercentRankvalue
tellsusthepercentageofvaluesinthelookbackperiodthatarelessthanthecurrentvalue.
Forthiscalculation,wemeasurepricechangenotindollarsandcents,butasapercentageof
thepreviousdaysprice.Thispercentagegainorlossistypicallyreferredtoastheoneday
return.Soifyesterdaysclosingpricewas$80.00,andtodayspriceis$81.60,theonedayreturn
is($81.60$80.00)/$80.00=0.02=2.0%.
TodeterminethePercentRank,weneedtoestablishalookbackperiod.ThePercentRank
valueisthenthenumberofvaluesinthelookbackperiodthatarelessthanthecurrentvalue,
dividedbythetotalnumberofvalues.Forexample,ifthelookbackperiodis20days,thenwe
wouldcomparetodays2.0%returntotheonedayreturnsfromeachoftheprevious20days.
Letsassumethatthreeofthosevaluesarelessthan2.0%.WewouldcalculatePercentRankas:
PercentRank=3/20=0.15=15%
ThedefaultPercentRanklookbackperiodusedforConnorsRSIis100,orPercentRank(100).We
arecomparingtodaysreturntotheprevious100returns,orabout5monthsofpricehistory.To
reiterate,largepositivereturnswillhaveaPercentRankcloserto100.Largenegativereturns
willhaveaPercentRankcloserto0.
ThefinalConnorsRSIcalculationsimplydeterminestheaverageofthethreecomponentvalues.Thus,
usingthedefaultinputparameterswouldgiveustheequation:
ConnorsRSI(3,2,100)=[RSI(Close,3)+RSI(Streak,2)+PercentRank(100)]/3
Theresultisaveryrobustindicatorthatismoreeffectivethananyofthethreecomponentsused
individually,andinmostcases,alsomoreeffectivethancombiningthethreecomponents
independently.
P a g e |34
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http://analytics.tradingmarkets.com/Screener/
P a g e |35
TheS&P500LowVolatilityGrowthPortfolio
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BearMarketsFromYourInvestmentsWithS&P500
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SamplesimulatedhistoricalbacktestresultsfromTheS&P500LowVolatilityGrowthPortfolio.

P a g e |36
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Youunderstandthatmarketschangeastheyhaveoverthepastdecade.Inordertotakeadvantageof
changingmarketconditions,TheS&P500LowVolatilityGrowthPortfolioisconstantlyreviewed,
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P a g e |37
MorefromtheConnorsResearchTradingStrategySeries
TradingwithBollingerBandsAQuantifiedGuide
ThisSystematicApproachtoTradingwithBollingerBandsBringsYouResultsQuickly
BollingerBandsareusedbyhundredsofthousandsoftradersaroundtheworld.Infact,itsconsidered
oneofthemostpowerfultradingtoolsavailabletotraders.Overthepasttwodecadesmany
professionaltradersatlargefunds,successfulCommodityAdvisors,andprofessionalEquityTraders
havestatedtheyrelyuponBollingerBandsasoneofthemainindicatorsbeforetheytakeatrade.
Whentradedcorrectly,BollingerBandscanbeoneofthemostconsistentstrategiesavailableforyour
trading.
Nowforthefirsttime,wearemakingavailabletothepublicafullysystematic,quantifiedapproachto
tradingwithBollingerBands.
ConsistentTradingResultsWhatyouwilllearnwiththisstrategyaredozensofBollingerBandsstrategy
variationswhichhavebeencorrectfrom65.43%uptoover82.74%fromJanuary2001toMay2012.
TheTradingwithBollingerBandsAQuantifiedGuidecomeswitha100%MoneyBackGuarantee(as
doalltheGuidebooksinourStrategySeries).
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TheLongPullbacksStrategy
In2005wepublishedwhatweconsidertobeourmostpowerfulshorttermtradingstrategythatwe
originallynamedthe5x5x5Strategy.Manyhundredsoftraderslearnedthestrategyandmanystilluseit
today.Sincethattimewehaveupdatedandimprovedthestrategy,addednewentryparameters,added
newexitstrategies,andhaveupdatedthetraderesultsbeginningfrom20012011.
Whatyouwilllearnwiththisstrategyaremanyhundredsofvariationsthathavebeencorrectfrom
72.4%uptoover78%formorethanadecade.Andtheaveragegainpertrade(thisincludesallwinning
andlosingtrades)hasaveragedover5.6%atradeondozensofvariationsofthestrategy.
Youwilllearnhowtoidentifythesetup,select,theentrylevel,wheretoplacetheorderandwhereto
exittheorder.ThisisdoneonallliquidUSstocks(anditcanbedoneonglobalmarketsaswell).Andas
anaddedbonuswealsoaddedadaytradingcomponenttothisstrategyforthoseofyouwholiketoexit
positionsbeforethecloseeachday.
TheLongPullbacksStrategycomeswitha100%MoneyBackGuarantee(asdoalltheGuidebooksinour
StrategySeries).
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P a g e |39
ETFGapTrading:ADefinitiveGuide
IfyoutradeETFsyouwillsoonseethattradingGapsonETFs,whendonecorrectly,canbetheoneof
themostprofitablestrategiesavailabletoyouinETFTrading.
TheaveragegainspertradefromtradingthegapsastaughtinthisSeriesrangesallthewayuptoover
4%pertrade(asubstantialnumberforETFs).AndweaddedaLeveragedETFsectionwheretheaverage
gainsgetabove5.5%trade.
HistoricallythemajorityoftheETFGapsetupshavebeencorrect7177%ofthetime.AndliketheLong
PullbackStrategieswevealsoaddedadaytradingaspecttotradinggapswhichallowyoutodaytrade
ETFsbothonthelongandtheshortside.
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Laurence Connors - S&P 500 Trading With ConnorsRSI

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www.forex-warez.com | skype: andreybbrv | andreybbrv@gmail.com

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Laurence Connors - S&amp;P 500 Trading With ConnorsRSI

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Laurence Connors - S&amp;P 500 Trading With ConnorsRSI

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ConnorsResearchTradingStrategySeries

Copyright 2013, Laurence A. Connors and Cesar Alvarez.

www.forex-warez.com | skype: andreybbrv | andreybbrv@gmail.com

www.forex-warez.com | skype: andreybbrv | andreybbrv@gmail.com

www.forex-warez.com | skype: andreybbrv | andreybbrv@gmail.com

S-ar putea să vă placă și

Laurence Connors - S&P 500 Trading With ConnorsRSI

Laurence Connors - S&P 500 Trading With ConnorsRSI