53 lines
2.0 KiB
Markdown
53 lines
2.0 KiB
Markdown
# Short-Term Highs and Lows
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The idea for these strategies comes from chapter 2 of [*How Markets Really Work*](https://moshferatu.dev/moshferatu/how-markets-really-work) (2012) by Larry Connors.
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As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.
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## Rules
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**Short-Term Highs**
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1. Enter a long trade when the market (e.g., SPX or SPY) makes a 5-day, 10-day, etc. high.
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2. Exit the trade after one week.
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**Short-Term Lows**
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1. Enter a long trade when the market (e.g., SPX or SPY) makes a 5-day, 10-day, etc. low.
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2. Exit the trade after one week.
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## Parameters
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**High / Low Period**: The period to use when determining the highest high / lowest low. (Default: 10)
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**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)
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## Backtest Results
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### SPY
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#### 5-Day High
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#### 5-Day Low
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#### 10-Day High
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#### 10-Day Low
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