ninjatrader/strategies/3-day-high-low

3-Day High / Low Bot

This strategy was taken from chapter 9 of High Probability ETF Trading (2009) by Larry Connors.

Rules

Long Trades

1. The ETF (e.g., SPY) is above its 200-day moving average.
2. The ETF closes below its 5-day moving average.
3. The ETF must make a lower high and lower low for 3 consecutive days.
4. Enter a long if the above conditions are met.
5. Aggressive Version (optional): Enter a second long if price closes lower than the initial entry at any point during the trade.
6. Exit when the ETF closes above its 5-day moving average.

Short Trades

The inverse of the long trade rules, but stated explicitly:

1. The ETF (e.g., SPY) is below its 200-day moving average.
2. The ETF closes above its 5-day moving average.
3. The ETF must make a higher high and higher low for 3 consecutive days.
4. Enter a short if the above conditions are met.
5. Aggressive Version (optional): Enter a second short if price closes higher than the initial entry at any point during the trade.
6. Exit when the ETF closes below its 5-day moving average.

NOTE: The strategy will work on any asset, not just ETFs.

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