ninjatrader/strategies/multiple-days-up-down/README.md

# Multiple Days Up / Down

This strategy was taken from chapter 6 of [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) by Larry Connors.

## Rules

**Multiple Days Down** (Long)

1. The ETF (e.g., SPY) is above its 200-day moving average.
2. The close is below its 5-day moving average on entry day.
3. The close must have been lower than the day before for 4 out of the previous 5 days.
4. If the above conditions are met, enter a long trade.
5. **(Optional Aggressive Version)** Enter a second long if price closes below the initial entry price at any point during the trade.
6. Exit the trade when the close is above the 5-day moving average.

**Multiple Days Up** (Short)

1. The ETF (e.g., SPY) is below its 200-day moving average.
2. The close is above its 5-day moving average on entry day.
3. The close must have been higher than the day before for 4 out of the previous 5 days.
4. If the above conditions are met, enter a short trade.
5. **(Optional Aggressive Version)** Enter a second short if price closes above the initial entry price at any point during the trade.
6. Exit the trade when the close is below the 5-day moving average.

## Parameters

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

**Short-Term Trend Period**: The period of the short-term trend as measured using a simple moving average. (Default: 5)

**Minimum Days Up / Down**: The minimum number of days that the close must be higher / lower to trade. (Default: 4)

**Days to Consider**: The total number of days to consider when looking for higher / lower closes. (Default: 5)

**Enable Long Trades**: Whether to enable taking long trades. (Default: true)

**Enable Short Trades**: Whether to enable taking short trades. (Default: true)

**Enable Aggressive Entries**: Whether to enable taking aggressive second entries when conditions are met. (Default: true)

## Backtest Results

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/multiple-days-up-down/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/multiple-days-up-down/spy-summary.png)

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/multiple-days-up-down/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/multiple-days-up-down/qqq-summary.png)

### DIA

![DIA Analysis](https://static.moshington.com/images/strategies/multiple-days-up-down/dia-analysis.png)

![DIA Summary](https://static.moshington.com/images/strategies/multiple-days-up-down/dia-summary.png)

### IWM

![IWM Analysis](https://static.moshington.com/images/strategies/multiple-days-up-down/iwm-analysis.png)

![IWM Summary](https://static.moshington.com/images/strategies/multiple-days-up-down/iwm-summary.png)

### Sector ETFs

This backtest is an aggregation of the results of the following sector ETFs:

XLB, XLC, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY

![Sector ETFs](https://static.moshington.com/images/strategies/multiple-days-up-down/sector-etfs.png)

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