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Add rules to New 52-Week Highs and Lows strategy documentation

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moshferatu 2024-11-19 06:33:29 -08:00
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strategies/new-52-week-highs-and-lows/README.md
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@ -6,6 +6,20 @@ As with most of the strategies from this book, they are meant to illustrate cert
The strategies are based on the [HILO Index indicator](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/hilo-index) which calculates the difference between the **New 52-Week Highs** and **New 52-Week Lows**. The strategies are based on the [HILO Index indicator](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/hilo-index) which calculates the difference between the **New 52-Week Highs** and **New 52-Week Lows**.
## Rules
### HILO Index Highs
1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If the HILO Index closes at its highest value in 5 days, enter a long trade.
3. Exit the trade 5 trading days (~1 week) later.
### HILO Index Lows
1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If the HILO Index closes at its lowest value in 5 days, enter a long trade.
3. Exit the trade 5 trading days (~1 week) later.
## Parameters ## Parameters
**High / Low Period**: The number of days over which to check for highs / lows. (Default: 5) **High / Low Period**: The number of days over which to check for highs / lows. (Default: 5)