Intraday Weakness

This strategy was taken from chapter 8 of Short Term Trading Strategies That Work (2008) by Larry Connors.

Rules

The stock closes at a 10-period low and is above its 200-day simple moving average.
Average volume over the past 100 days is at least 250,000 shares per day.
Price is greater than $5 per share.
Buy on the close.
Exit on the close 5 trading days later.

Bonus:

In addition, buy on a limit the next day 1/3/5/7/10% lower.

Parameters

Long Term Trend Period: The period of the simple moving average trend filter. (Default: 200)

Low Period: The period over which to calculate the low. (Default: 10)

Days to Exit: The number of days to wait before exiting the position. (Default: 5)

Use Limit Orders: Whether to use a limit order to enter a trade the day following the signal. (Default: false)

Limit Order Percent: What percentage lower than the current price to set the entry limit order. (Default: 1)

Backtest Results

I don't have a way to aggregate backtests over a universe of stocks (e.g., S&P 500 and Nasdaq 100) at the moment.

For that reason, rules #2 and #3 are currently not implemented.

I also lack a historical list of each index's constituents that is free of survivorship bias (i.e., includes stocks of companies that were ultimately delisted).