ninjatrader/strategies/3-day-high-low/README.md

# 3-Day High / Low Bot

This strategy was taken from chapter 2 of [*High Probability ETF Trading*](https://moshferatu.dev/moshferatu/high-probability-etf-trading) (2009) by Larry Connors.

## Rules

**Long Trades**

1. The ETF (e.g., SPY) is above its 200-day moving average.
2. The ETF closes below its 5-day moving average.
3. The ETF must make a lower high and lower low for 3 consecutive days.
4. Enter a long if the above conditions are met.
5. **Aggressive Version** (optional): Enter a second long if price closes lower than the initial entry at any point during the trade.
6. Exit when the ETF closes above its 5-day moving average.

**Short Trades**

The inverse of the long trade rules, but stated explicitly:

1. The ETF (e.g., SPY) is below its 200-day moving average.
2. The ETF closes above its 5-day moving average.
3. The ETF must make a higher high and higher low for 3 consecutive days.
4. Enter a short if the above conditions are met.
5. **Aggressive Version** (optional): Enter a second short if price closes higher than the initial entry at any point during the trade.
6. Exit when the ETF closes below its 5-day moving average.

**NOTE**: The strategy will work on any asset, not just ETFs.

## Parameters

**Consecutive Days**: The number of days in a row in which higher highs / lows or lower highs / lows must be made. (Default: 3)

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

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

**Enable Long Trades**: Whether to allow going long in the strategy. (Default: true)

**Enable Short Trades**: Whether to allow going short in the strategy. (Default: true)

**Enable Aggressive Entries**: Whether to allow for entering a second trade when price initially moves against the first. (Default: true)

## Backtest Results

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/3-day-high-low/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/3-day-high-low/spy-summary.png)

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/3-day-high-low/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/3-day-high-low/qqq-summary.png)

### DIA

![DIA Analysis](https://static.moshington.com/images/strategies/3-day-high-low/dia-analysis.png)

![DIA Summary](https://static.moshington.com/images/strategies/3-day-high-low/dia-summary.png)

### IWM

![IWM Analysis](https://static.moshington.com/images/strategies/3-day-high-low/iwm-analysis.png)

![IWM Summary](https://static.moshington.com/images/strategies/3-day-high-low/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/3-day-high-low/sector-etfs.png)

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