51 lines
1.9 KiB
Markdown
51 lines
1.9 KiB
Markdown
# High Volume Days
|
|
|
|
The idea for these strategies comes from chapter 6 (Volume) of [*How Markets Really Work*](https://moshferatu.dev/moshferatu/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.
|
|
|
|
Unlike the book, where no significant difference was found between high volume up and down days, I have found down days to significantly outperform up days.
|
|
|
|
Refer to the backtest results below.
|
|
|
|
## Rules
|
|
|
|
### High Volume Up Days
|
|
|
|
1. The asset (e.g., SPY) is above its 200-day moving average.
|
|
2. The volume closes at a 5-day high.
|
|
3. If the asset closes **higher** on the day, enter a long trade.
|
|
4. Exit the trade after 5 trading days (~1 week).
|
|
|
|
### High Volume Down Days
|
|
|
|
1. The asset (e.g., SPY) is above its 200-day moving average.
|
|
2. The volume closes at a 5-day high.
|
|
3. If the asset closes **lower** on the day, enter a long trade.
|
|
4. Exit the trade after 5 trading days (~1 week).
|
|
|
|
## Parameters
|
|
|
|
**High Volume Period**: The period over which to determine the highest volume. (Default: 5)
|
|
|
|
**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)
|
|
|
|
**Days to Exit**: The number of days to wait before exiting a trade. (Default: 5)
|
|
|
|
## Backtest Results
|
|
|
|
### SPY
|
|
|
|
#### High Volume Up Days
|
|
|
|
|
|
|
|
|
|
|
|
#### High Volume Down Days
|
|
|
|
|
|
|
|
|
|
|
|
--- |