47 lines
1.9 KiB
Markdown
47 lines
1.9 KiB
Markdown
# Put / Call Ratio Highs and Lows
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The idea for these strategies comes from chapter 9 of [*How Markets Really Work*](https://moshferatu.dev/moshferatu/how-markets-really-work) (2012) by Larry Connors.
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As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.
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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.
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## Rules
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### Put / Call Ratio Highs
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1. The asset (e.g., SPY) is above its 200-day moving average.
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2. If the put / call ratio closes at a 5-day high, enter a long trade.
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3. Exit the trade after 5 trading days (~1 week).
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### Put / Call Ratio Lows
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1. The asset (e.g., SPY) is above its 200-day moving average.
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2. If the put / call ratio closes at a 5-day low, enter a long trade.
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3. Exit the trade after 5 trading days (~1 week).
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## Parameters
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**High / Low Period**: The period over which to determine the highest / lowest values of the put / call ratio. (Default: 5)
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**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)
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**Days to Exit**: The number of days to wait before exiting a trade. (Default: 5)
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## Backtest Results
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### SPY
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### Put / Call Ratio Highs
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### Put / Call Ratio Lows
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