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Add rules to Put / Call Ratio Highs and Lows strategy documentation

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moshferatu 2024-11-22 11:53:29 -08:00
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strategies/put-call-ratio-highs-and-lows/README.md
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@ -6,4 +6,18 @@ As with most of the strategies from this book, they are meant to illustrate cert
The strategies are based on the [Put / Call Ratio indicator](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/put-call-ratio) which calculates the total put options volume divided by the total call options volume.
## Rules
### Put / Call Ratio Highs
1. The asset (e.g., SPY) is above its 200-day moving average.
2. If the Put / Call ratio closes at a 5-day high, enter a long trade.
3. Exit the trade after 5 trading days (~1 week).
### Put / Call Ratio Lows
1. The asset (e.g., SPY) is above its 200-day moving average.
2. If the Put / Call ratio closes at a 5-day low, enter a long trade.
3. Exit the trade after 5 trading days (~1 week).
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