ninjatrader/strategies/higher-highs-and-lower-lows

Higher Highs and Lower Lows

The idea for these strategies comes from chapter 3 of How Markets Really Work (2012) by Larry Connors.

As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.

Rules

Higher Highs

1. Enter a long trade when the market (e.g., SPX or SPY) makes a higher high for 3 consecutive days.
2. Exit the trade after one week.

Lower Lows

1. Enter a long trade when the market (e.g., SPX or SPY) makes a lower low for 3 consecutive days.
2. Exit the trade after one week.

Parameters

Consecutive Higher Highs / Lower Lows: How many higher highs / lower lows must have occurred in a row to enter a trade. (Default: 3)

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

Backtest Results

SPY

Higher Highs

3 Consecutive Higher Highs

Lower Lows

3 Consecutive Lower Lows

QQQ

Higher Highs

3 Consecutive Higher Highs

Lower Lows

3 Consecutive Lower Lows

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