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)

#### 10-Day Low

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

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

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Initial commit of Short Term Highs and Lows README 2024-10-08 14:41:57 +00:00			`# Short-Term Highs and Lows`

Add description to Short-Term Highs and Lows strategy documentation 2024-10-09 13:02:57 +00:00			`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.`

Add disclaimer about trading the Short-Term Highs and Lows strategies 2024-10-09 13:12:36 +00:00			`As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.`

Add rules to Short-Term Highs and Lows strategy documentation 2024-10-09 13:15:15 +00:00			`## 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.`

Add parameters to Short-Term Highs and Lows strategy documentation 2024-10-10 21:23:40 +00:00			`## 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)`

Add SPY 5-day low backtest results for Short-Term Highs and Lows strategy 2024-10-11 21:08:04 +00:00			`## Backtest Results`

			`### SPY`

Trivial markdown formatting change in Short-Term Highs and Lows strategy 2024-10-12 12:44:13 +00:00			`#### 5-Day High`
Add SPY 5-day high backtest results for Short Term Highs and Lows strategy 2024-10-12 12:41:43 +00:00
			`![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)`

Trivial markdown formatting change in Short-Term Highs and Lows strategy 2024-10-12 12:44:13 +00:00			`#### 5-Day Low`
Add SPY 5-day low backtest results for Short-Term Highs and Lows strategy 2024-10-11 21:08:04 +00:00
			`![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)`

Add SPY 10-day high backtest results for Short-Term Highs and Lows strategy 2024-10-13 13:44:37 +00:00			`#### 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)`

Add SPY 10-day low backtest results for Short-Term Highs and Lows strategy 2024-10-14 13:35:31 +00:00			`#### 10-Day Low`

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

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

Initial commit of Short Term Highs and Lows README 2024-10-08 14:41:57 +00:00			`---`