ninjatrader/strategies/%b/README.md

# %B

This strategy was taken from chapter 5 of [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) by Larry Connors.

It is based on the [%B indicator](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/%25b).

## Rules

**Long**

1. The ETF (e.g., SPY) must be above its 200-day moving average.
2. If the %B closes < 0.2 for 3 days in a row, enter a long trade.
3. **(Optional Aggressive Version)** If the %B closes < 0.2 again during the initial trade, enter a second long trade.
4. Exit the trade when the %B closes > 0.8.

**Short**

1. The ETF (e.g., SPY) must be below its 200-day moving average.
2. If the %B closes > 0.8 for 3 days in a row, enter a short trade.
3. **(Optional Aggressive Version)** If the %B closes > 0.8 again during the initial trade, enter a second short trade.
4. Exit the trade when the %B closes < 0.2.

## Parameters

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

**%B Period**: The period to use in the %B calculation. (Default: 5)

**%B Standard Deviations**: The standard deviation to use in the %B calculation. (Default: 1.0)

**Consecutive Days**: The number of days in a row that the %B must be above / below the threshold in order to trade. (Default: 3)

**Enable Long Trades**: Whether to enable taking long trades. (Default: true)

**Long %B Entry**: The %B threshold under which to enter a long trade. (Default: 0.2)

**Long %B Exit**: The %B threshold above which to exit a long trade. (Default: 0.8)

**Enable Short Trades**: Whether to enable taking short trades. (Default: true)

**Short %B Entry**: The %B threshold above which to enter a short trade. (Default: 0.8)

**Short %B Exit**: The %B threshold below which to exit a short trade. (Default: 0.2)

**Enable Aggressive Entries**: Whether to enable taking aggressive second entries when conditions are met. (Default: true)

## Backtest Results

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/%25b/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/%25b/spy-summary.png)

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/%25b/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/%25b/qqq-summary.png)

### DIA

![DIA Analysis](https://static.moshington.com/images/strategies/%25b/dia-analysis.png)

![DIA Summary](https://static.moshington.com/images/strategies/%25b/dia-summary.png)

### IWM

![IWM Analysis](https://static.moshington.com/images/strategies/%25b/iwm-analysis.png)

![IWM Summary](https://static.moshington.com/images/strategies/%25b/iwm-summary.png)

### Sector ETFs

This backtest is an aggregation of the results of the following sector ETFs:

XLB, XLC, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY

![Sector ETFs](https://static.moshington.com/images/strategies/%25b/sector-etfs.png)

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