ninjatrader/strategies/short-term-highs-and-lows

Short-Term Highs and Lows

The idea for these strategies comes from chapter 2 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

Short-Term Highs

1. Enter a long trade when the market (e.g., SPX or SPY) makes a 5-day, 10-day, etc. high.
2. Exit the trade after one week.

Short-Term Lows

1. Enter a long trade when the market (e.g., SPX or SPY) makes a 5-day, 10-day, etc. low.
2. Exit the trade after one week.

Parameters

High / Low Period: The period to use when determining the highest high / lowest low. (Default: 10)

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

Backtest Results

SPY

5-Day Low

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