43 lines
1.9 KiB
Markdown
43 lines
1.9 KiB
Markdown
# 3-Day High / Low Bot
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This strategy was taken from chapter 9 of [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) by Larry Connors.
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## Rules
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**Long Trades**
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1. The ETF (e.g., SPY) is above its 200-day moving average.
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2. The ETF closes below its 5-day moving average.
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3. The ETF must make a lower high and lower low for 3 consecutive days.
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4. Enter a long if the above conditions are met.
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5. **Aggressive Version** (optional): Enter a second long if price closes lower than the initial entry at any point during the trade.
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6. Exit when the ETF closes above its 5-day moving average.
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**Short Trades**
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The inverse of the long trade rules, but stated explicitly:
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1. The ETF (e.g., SPY) is below its 200-day moving average.
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2. The ETF closes above its 5-day moving average.
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3. The ETF must make a higher high and higher low for 3 consecutive days.
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4. Enter a short if the above conditions are met.
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5. **Aggressive Version** (optional): Enter a second short if price closes higher than the initial entry at any point during the trade.
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6. Exit when the ETF closes below its 5-day moving average.
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**NOTE**: The strategy will work on any asset, not just ETFs.
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## Parameters
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**Consecutive Days**: The number of days in a row in which higher highs / lows or lower highs / lows must be made. (Default: 3)
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**Long-Term Trend Period**: The period to use in the long-term trend calculation as measured using a simple moving average. (Default: 200)
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**Short-Term Trend Period**: The period to use in the short-term trend calculation as measured using a simple moving average. (Default: 5)
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**Enable Long Trades**: Whether to allow going long in the strategy. (Default: true)
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**Enable Short Trades**: Whether to allow going short in the strategy. (Default: true)
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**Enable Aggressive Entries**: Whether to allow for entering a second trade when price initially moves against the first. (Default: true)
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