ninjatrader/strategies/new-52-week-highs-and-lows

New 52-Week Highs and Lows

The idea for these strategies comes from chapter 8 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.

The strategies are based on the HILO Index indicator which calculates the difference between the New 52-Week Highs and New 52-Week Lows.

Rules

HILO Index Highs

1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If the HILO Index closes at its highest value in 5 days, enter a long trade.
3. Exit the trade 5 trading days (~1 week) later.

HILO Index Lows

1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If the HILO Index closes at its lowest value in 5 days, enter a long trade.
3. Exit the trade 5 trading days (~1 week) later.

Parameters

High / Low Period: The number of days over which to check for highs / lows. (Default: 5)

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

Days to Exit: The number of days to wait before exiting a trade. (Default: 5)

Backtest Results

SPY

HILO Index Highs

HILO Index Lows

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