ninjatrader/strategies/up-and-down-days-in-a-row

Up and Down Days in a Row

The idea for these strategies comes from chapter 4 of How Markets Really Work (2012) by Larry Connors.

As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.

Rules

Up Days in a Row

1. Enter a long trade when the market (e.g., SPX or SPY) closes higher for 3 consecutive days.
2. Exit the trade after one week.

Down Days in a Row

1. Enter a long trade when the market (e.g., SPX or SPY) closes lower for 3 consecutive days.
2. Exit the trade after one week.

Parameters

Days in a Row: The number of consecutive days where the close must be higher / lower in order to enter a long trade. (Default: 3)

Days to Exit: The number of days to hold any trades before exiting. (Default: 5)

Backtest Results

SPY

3 Up Days in a Row

3 Down Days in a Row

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