ninjatrader/strategies/short

Short Bot

This strategy was taken from chapter 12 of Short Term Trading Strategies That Work (2008) by Larry Connors.

Rules

1. The asset (e.g., SPY) is below its 200-day moving average.
2. If the market closes up 4 or more days in a row, enter a short trade.
3. Exit the trade on a close below the 5-period moving average.

Parameters

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

Short-Term Trend Period: The period of the short-term trend used to exit trades as measured by a simple moving average. (Default: 5)

Up Streak Period: The number of days in a row that the close has to be higher in order to enter a trade. (Default: 4)

Backtest Results

SPY

QQQ

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