ninjatrader/strategies/high-volume-days/README.md

# High Volume Days

The idea for these strategies comes from chapter 6 (Volume) of [*How Markets Really Work*](https://moshferatu.dev/moshferatu/how-markets-really-work) (2012) by Larry Connors.

As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.

## Rules

### High Volume Up Days

1. The asset (e.g., SPY) is above its 200-day moving average.
2. The volume closes at a 5-day high.
3. If the asset closes **higher** on the day, enter a long trade.
4. Exit the trade after 5 trading days (~1 week).

### High Volume Down Days

1. The asset (e.g., SPY) is above its 200-day moving average.
2. The volume closes at a 5-day high.
3. If the asset closes **lower** on the day, enter a long trade.
4. Exit the trade after 5 trading days (~1 week).

## Parameters

**High Volume Period**: The period over which to determine the highest volume. (Default: 5)

**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)

**Days to Exit**: The number of days to wait before exiting a trade. (Default: 5)

## Backtest Results

### SPY

#### High Volume Up Days

![SPY High Volume Up Days Analysis](https://static.moshington.com/images/strategies/high-volume-days/spy-up-analysis.png)

![SPY High Volume Up Days Summary](https://static.moshington.com/images/strategies/high-volume-days/spy-up-summary.png)

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