ninjatrader/strategies/multiple-days-up-down/README.md

Multiple Days Up / Down

This strategy was taken from chapter 6 of High Probability ETF Trading (2009) by Larry Connors.

Rules

Multiple Days Down (Long)

1. The ETF (e.g., SPY) is above its 200-day moving average.
2. The close is below its 5-day moving average on entry day.
3. The close must have been lower than the day before for 4 out of the previous 5 days.
4. If the above conditions are met, enter a long trade.
5. (Optional Aggressive Version) Enter a second long if price closes below the initial entry price at any point during the trade.
6. Exit the trade when the close is above the 5-day moving average.

Multiple Days Up (Short)

1. The ETF (e.g., SPY) is below its 200-day moving average.
2. The close is above its 5-day moving average on entry day.
3. The close must have been higher than the day before for 4 out of the previous 5 days.
4. If the above conditions are met, enter a short trade.
5. (Optional Aggressive Version) Enter a second short if price closes above the initial entry price at any point during the trade.
6. Exit the trade when the close is below the 5-day moving average.

Parameters

Long-Term Trend Period: The period of the long-term trend as measured using a simple moving average. (Default: 200)

Short-Term Trend Period: The period of the short-term trend as measured using a simple moving average. (Default: 5)

Minimum Days Up / Down: The minimum number of days that the close must be higher / lower to trade. (Default: 4)

Days to Consider: The total number of days to consider when looking for higher / lower closes. (Default: 5)

Enable Long Trades: Whether to enable taking long trades. (Default: true)

Enable Short Trades: Whether to enable taking short trades. (Default: true)

Enable Aggressive Entries: Whether to enable taking aggressive second entries when conditions are met. (Default: true)

Backtest Results

SPY

QQQ

DIA

IWM

Sector ETFs

This backtest is an aggregation of the results of the following sector ETFs:

XLB, XLC, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY

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