moshferatu/ninjatrader
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

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

Browse Source
This commit is contained in:
moshferatu 2024-11-22 11:56:01 -08:00
parent 23df192117
commit 7b3c4412de
1 changed files with 10 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

12
strategies/put-call-ratio-highs-and-lows/README.md
View File

@ -11,13 +11,21 @@ The strategies are based on the [Put / Call Ratio indicator](https://moshferatu.
### Put / Call Ratio Highs ### Put / Call Ratio Highs
1. The asset (e.g., SPY) is above its 200-day moving average. 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. 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). 3. Exit the trade after 5 trading days (~1 week).
### Put / Call Ratio Lows ### Put / Call Ratio Lows
1. The asset (e.g., SPY) is above its 200-day moving average. 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. 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). 3. Exit the trade after 5 trading days (~1 week).
## Parameters
**High / Low Period**: The period over which to determine the highest / lowest values of the put / call ratio. (Default: 5)
**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)
**Days to Exit**: The number of days to wait before exiting a trade. (Default: 5)
--- ---