55 lines
2.4 KiB
Markdown
55 lines
2.4 KiB
Markdown
# Multiple Days Up / Down
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This strategy was taken from chapter 6 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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**Multiple Days Down** (Long)
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1. The ETF (e.g., SPY) is above its 200-day moving average.
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2. The close is below its 5-day moving average on entry day.
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3. The close must have been lower than the day before for 4 out of the previous 5 days.
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4. If the above conditions are met, enter a long trade.
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5. **(Optional Aggressive Version)** Enter a second long if price closes below the initial entry price at any point during the trade.
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6. Exit the trade when the close is above the 5-day moving average.
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**Multiple Days Up** (Short)
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1. The ETF (e.g., SPY) is below its 200-day moving average.
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2. The close is above its 5-day moving average on entry day.
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3. The close must have been higher than the day before for 4 out of the previous 5 days.
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4. If the above conditions are met, enter a short trade.
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5. **(Optional Aggressive Version)** Enter a second short if price closes above the initial entry price at any point during the trade.
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6. Exit the trade when the close is below the 5-day moving average.
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## Parameters
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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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**Short-Term Trend Period**: The period of the short-term trend as measured using a simple moving average. (Default: 5)
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**Minimum Days Up / Down**: The minimum number of days that the close must be higher / lower to trade. (Default: 4)
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**Days to Consider**: The total number of days to consider when looking for higher / lower closes. (Default: 5)
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**Enable Long Trades**: Whether to enable taking long trades. (Default: true)
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**Enable Short Trades**: Whether to enable taking short trades. (Default: true)
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**Enable Aggressive Entries**: Whether to enable taking aggressive second entries when conditions are met. (Default: true)
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## Backtest Results
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### SPY
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### QQQ
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