47 lines
1.9 KiB
Markdown
47 lines
1.9 KiB
Markdown
# New 52-Week Highs and Lows
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The idea for these strategies comes from chapter 8 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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The strategies are based on the [HILO Index indicator](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/hilo-index) which calculates the difference between the **New 52-Week Highs** and **New 52-Week Lows**.
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## Rules
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### HILO Index Highs
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1. The asset (e.g., SPY) must be above its 200-day moving average.
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2. If the HILO Index closes at its highest value in 5 days, enter a long trade.
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3. Exit the trade 5 trading days (~1 week) later.
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### HILO Index Lows
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1. The asset (e.g., SPY) must be above its 200-day moving average.
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2. If the HILO Index closes at its lowest value in 5 days, enter a long trade.
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3. Exit the trade 5 trading days (~1 week) later.
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## Parameters
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**High / Low Period**: The number of days over which to check for highs / lows. (Default: 5)
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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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**Days to Exit**: The number of days to wait before exiting a trade. (Default: 5)
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## Backtest Results
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### SPY
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#### HILO Index Highs
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#### HILO Index Lows
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