55 lines
2.1 KiB
Markdown
55 lines
2.1 KiB
Markdown
# %B
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This strategy was taken from chapter 5 of [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) by Larry Connors.
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It is based on the [%B indicator](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/%25b).
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## Rules
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**Long**
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1. The ETF (e.g., SPY) must be above its 200-day moving average.
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2. If the %B closes < 0.2 for 3 days in a row, enter a long trade.
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3. **(Optional Aggressive Version)** If the %B closes < 0.2 again during the initial trade, enter a second long trade.
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4. Exit the trade when the %B closes > 0.8.
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**Short**
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1. The ETF (e.g., SPY) must be below its 200-day moving average.
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2. If the %B closes > 0.8 for 3 days in a row, enter a short trade.
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3. **(Optional Aggressive Version)** If the %B closes > 0.8 again during the initial trade, enter a second short trade.
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4. Exit the trade when the %B closes < 0.2.
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## Parameters
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**Long-Term Trend Period**: The period of the long-term trend as measured by a simple moving average. (Default: 200)
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**%B Period**: The period to use in the %B calculation. (Default: 5)
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**%B Standard Deviations**: The standard deviation to use in the %B calculation. (Default: 1.0)
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**Consecutive Days**: The number of days in a row that the %B must be above / below the threshold in order to trade. (Default: 3)
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**Enable Long Trades**: Whether to enable taking long trades. (Default: true)
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**Long %B Entry**: The %B threshold under which to enter a long trade. (Default: 0.2)
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**Long %B Exit**: The %B threshold above which to exit a long trade. (Default: 0.8)
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**Enable Short Trades**: Whether to enable taking short trades. (Default: true)
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**Short %B Entry**: The %B threshold above which to enter a short trade. (Default: 0.8)
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**Short %B Exit**: The %B threshold below which to exit a short trade. (Default: 0.2)
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**Enable Aggressive Entries**: Whether to enable taking aggressive second entries when conditions are met. (Default: true)
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## Backtest Results
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### SPY
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--- |