ninjatrader/strategies/short-term-highs-and-lows/README.md

# Short-Term Highs and Lows

The idea for these strategies comes from chapter 2 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

**Short-Term Highs**

1. Enter a long trade when the market (e.g., SPX or SPY) makes a 5-day, 10-day, etc. high.
2. Exit the trade after one week.

**Short-Term Lows**

1. Enter a long trade when the market (e.g., SPX or SPY) makes a 5-day, 10-day, etc. low.
2. Exit the trade after one week.

## Parameters

**High / Low Period**: The period to use when determining the highest high / lowest low. (Default: 10)

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

## Backtest Results

### SPY

#### 5-Day High

![SPY 5-Day High Analysis](https://static.moshington.com/images/strategies/short-term-highs-and-lows/spy-5-day-high-analysis.png)

![SPY 5-Day High Summary](https://static.moshington.com/images/strategies/short-term-highs-and-lows/spy-5-day-high-summary.png)

#### 5-Day Low

![SPY 5-Day Low Analysis](https://static.moshington.com/images/strategies/short-term-highs-and-lows/spy-5-day-low-analysis.png)

![SPY 5-Day Low Summary](https://static.moshington.com/images/strategies/short-term-highs-and-lows/spy-5-day-low-summary.png)

#### 10-Day High

![SPY 10-Day High Analysis](https://static.moshington.com/images/strategies/short-term-highs-and-lows/spy-10-day-high-analysis.png)

![SPY 10-Day High Summary](https://static.moshington.com/images/strategies/short-term-highs-and-lows/spy-10-day-high-summary.png)

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