ninjatrader/strategies/intraday-weakness/README.md

# Intraday Weakness

This strategy was taken from chapter 8 of [Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.

## Rules

1. The stock closes at a 10-period low and is above its 200-day simple moving average.
2. Average volume over the past 100 days is at least 250,000 shares per day.
3. Price is greater than $5 per share.
4. Buy on the close.
5. Exit on the close 5 trading days later.

**Bonus**:

In addition, buy on a limit the next day 1/3/5/7/10% lower.

## Parameters

**Long Term Trend Period**: The period of the simple moving average trend filter. (Default: 200)

**Low Period**: The period over which to calculate the low. (Default: 10)

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

**Use Limit Orders**: Whether to use a limit order to enter a trade the day following the signal. (Default: false)

**Limit Order Percent**: What percentage lower than the current price to set the entry limit order. (Default: 1)

## Backtest Results

I don't have a way to aggregate backtests over a universe of stocks (e.g., S&P 500 and Nasdaq 100) at the moment.

For that reason, rules #2 and #3 are currently not implemented.

I also lack a historical list of each index's constituents that is free of survivorship bias (i.e., includes stocks of companies that were ultimately delisted).

### ETFs

#### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/intraday-weakness/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/intraday-weakness/spy-summary.png)

#### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/intraday-weakness/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/intraday-weakness/qqq-summary.png)

### Stocks

#### MSFT

![MSFT Analysis](https://static.moshington.com/images/strategies/intraday-weakness/msft-analysis.png)

![MSFT Summary](https://static.moshington.com/images/strategies/intraday-weakness/msft-summary.png)

**3% Limit Order Entry**

![MSFT Limit Order Analysis](https://static.moshington.com/images/strategies/intraday-weakness/msft-limit-analysis.png)

![MSFT Limit Order Summary](https://static.moshington.com/images/strategies/intraday-weakness/msft-limit-summary.png)

---
Initial commit of Intraday Weakness strategy README 2024-09-04 13:23:53 +00:00			`# Intraday Weakness`

			`This strategy was taken from chapter 8 of [Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.`

Add strategy rules to Intraday Weakness bot documentation 2024-09-04 13:28:16 +00:00			`## Rules`

Add backtest result disclaimer to Intraday Weakness strategy documentation 2024-09-04 13:43:00 +00:00			`1. The stock closes at a 10-period low and is above its 200-day simple moving average.`
Add strategy rules to Intraday Weakness bot documentation 2024-09-04 13:28:16 +00:00			`2. Average volume over the past 100 days is at least 250,000 shares per day.`
			`3. Price is greater than $5 per share.`
			`4. Buy on the close.`
			`5. Exit on the close 5 trading days later.`

			`Bonus:`

			`In addition, buy on a limit the next day 1/3/5/7/10% lower.`

Add documentation regarding parameters to Intraday Weakness strategy 2024-09-04 17:49:51 +00:00			`## Parameters`

			`Long Term Trend Period: The period of the simple moving average trend filter. (Default: 200)`

			`Low Period: The period over which to calculate the low. (Default: 10)`

			`Days to Exit: The number of days to wait before exiting the position. (Default: 5)`

			`Use Limit Orders: Whether to use a limit order to enter a trade the day following the signal. (Default: false)`

			`Limit Order Percent: What percentage lower than the current price to set the entry limit order. (Default: 1)`

Add backtest result disclaimer to Intraday Weakness strategy documentation 2024-09-04 13:43:00 +00:00			`## Backtest Results`

			`I don't have a way to aggregate backtests over a universe of stocks (e.g., S&P 500 and Nasdaq 100) at the moment.`

Add disclaimer regarding the average volume and share price rules for the Intraday Weakness strategy 2024-09-04 14:09:55 +00:00			`For that reason, rules #2 and #3 are currently not implemented.`

Add backtest result disclaimer to Intraday Weakness strategy documentation 2024-09-04 13:43:00 +00:00			`I also lack a historical list of each index's constituents that is free of survivorship bias (i.e., includes stocks of companies that were ultimately delisted).`

Add SPY backtest results for Intraday Weakness strategy 2024-09-04 13:56:01 +00:00			`### ETFs`

			`#### SPY`

Use cached backtest result images in Intraday Weakness strategy documentation 2024-09-23 15:10:56 +00:00			`![SPY Analysis](https://static.moshington.com/images/strategies/intraday-weakness/spy-analysis.png)`
Add SPY backtest results for Intraday Weakness strategy 2024-09-04 13:56:01 +00:00
Use cached backtest result images in Intraday Weakness strategy documentation 2024-09-23 15:10:56 +00:00			`![SPY Summary](https://static.moshington.com/images/strategies/intraday-weakness/spy-summary.png)`
Add SPY backtest results for Intraday Weakness strategy 2024-09-04 13:56:01 +00:00
Add QQQ backtest results for Intraday Weakness strategy 2024-09-04 13:59:13 +00:00			`#### QQQ`

Use cached backtest result images in Intraday Weakness strategy documentation 2024-09-23 15:10:56 +00:00			`![QQQ Analysis](https://static.moshington.com/images/strategies/intraday-weakness/qqq-analysis.png)`
Add QQQ backtest results for Intraday Weakness strategy 2024-09-04 13:59:13 +00:00
Use cached backtest result images in Intraday Weakness strategy documentation 2024-09-23 15:10:56 +00:00			`![QQQ Summary](https://static.moshington.com/images/strategies/intraday-weakness/qqq-summary.png)`
Add QQQ backtest results for Intraday Weakness strategy 2024-09-04 13:59:13 +00:00
Add MSFT backtest results for Intraday Weakness strategy 2024-09-04 14:04:32 +00:00			`### Stocks`

			`#### MSFT`

Use cached backtest result images in Intraday Weakness strategy documentation 2024-09-23 15:10:56 +00:00			`![MSFT Analysis](https://static.moshington.com/images/strategies/intraday-weakness/msft-analysis.png)`
Add MSFT backtest results for Intraday Weakness strategy 2024-09-04 14:04:32 +00:00
Use cached backtest result images in Intraday Weakness strategy documentation 2024-09-23 15:10:56 +00:00			`![MSFT Summary](https://static.moshington.com/images/strategies/intraday-weakness/msft-summary.png)`
Add MSFT backtest results for Intraday Weakness strategy 2024-09-04 14:04:32 +00:00
Add MSFT 3% limit order entry backtest results to Intraday Weakness strategy 2024-09-04 14:17:23 +00:00			`3% Limit Order Entry`

Use cached backtest result images in Intraday Weakness strategy documentation 2024-09-23 15:10:56 +00:00			`![MSFT Limit Order Analysis](https://static.moshington.com/images/strategies/intraday-weakness/msft-limit-analysis.png)`
Add MSFT 3% limit order entry backtest results to Intraday Weakness strategy 2024-09-04 14:17:23 +00:00
Use cached backtest result images in Intraday Weakness strategy documentation 2024-09-23 15:10:56 +00:00			`![MSFT Limit Order Summary](https://static.moshington.com/images/strategies/intraday-weakness/msft-limit-summary.png)`
Add MSFT 3% limit order entry backtest results to Intraday Weakness strategy 2024-09-04 14:17:23 +00:00
Initial commit of Intraday Weakness strategy README 2024-09-04 13:23:53 +00:00			`---`