ninjatrader/strategies/trading-new-highs

Trading New Highs

This strategy was taken from chapter 7 of Buy the Fear, Sell the Greed (2018) by Larry Connors.

Rules

1. The asset (e.g., SPY) must have made a 52-week high within the past 20 days.
2. If the value of the ConnorsRSI indicator is < 15, enter a long trade.
3. Exit the trade when the value of the ConnorsRSI is > 70.

Parameters

Max Days Since High: The maximum number of days since a 52-week high has been made. (Default: 20)

RSI Period: The period to use in the ConnorsRSI RSI calculation. (Default: 3)

Streak RSI Period: The period to use in the ConnorsRSI streak RSI calculation. (Default: 2)

Percent Rank Period: The period to use in the percent rank portion of the ConnorsRSI calcuation. (Default: 100)

ConnorsRSI Entry Threshold: The value of the ConnorsRSI below which to enter a trade. (Default: 15)

ConnorsRSI Exot Threshold: The value of the ConnorsRSI above which to exit a trade. (Default: 70)

Backtest Results

SPY

QQQ

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