ninjatrader/strategies/large-moves

Large Moves

The idea for these strategies comes from chapter 7 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

Large Moves Up

1. When the asset (e.g., SPY) rises by 1% or more, enter a long trade.
2. Exit the trade after 5 trading days (~1 week).

Large Moves Down

1. When the asset (e.g., SPY) falls by 1% or more, enter a long trade.
2. Exit the trade after 5 trading days (~1 week).

Parameters

Percent Gain / Decline Threshold: The percent gain or decline necessary in order to trigger a trade. (Default: 1.0)

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

Backtest Results

SPY

Large Moves Up

Large Moves Down

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