ninjatrader/strategies/intraday-weakness

Intraday Weakness

This strategy was taken from chapter 8 of Short Term Trading Strategies That Work (2008) by Larry Connors.

Rules

1. The stock closes at a 10-period low and is above its 200-day simple moving average.
2. Average volume over the past 100 days is at least 250,000 shares per day.
3. Price is greater than $5 per share.
4. Buy on the close.
5. Exit on the close 5 trading days later.

Bonus:

In addition, buy on a limit the next day 1/3/5/7/10% lower.

Backtest Results

I don't have a way to aggregate backtests over a universe of stocks (e.g., S&P 500 and Nasdaq 100) at the moment.

I also lack a historical list of each index's constituents that is free of survivorship bias (i.e., includes stocks of companies that were ultimately delisted).

ETFs

SPY

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