65 lines
2.3 KiB
Markdown
65 lines
2.3 KiB
Markdown
# Intraday Weakness
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This strategy was taken from chapter 8 of [Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.
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## Rules
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1. The stock closes at a 10-period low and is above its 200-day simple moving average.
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2. Average volume over the past 100 days is at least 250,000 shares per day.
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3. Price is greater than $5 per share.
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4. Buy on the close.
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5. Exit on the close 5 trading days later.
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**Bonus**:
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In addition, buy on a limit the next day 1/3/5/7/10% lower.
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## Parameters
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**Long Term Trend Period**: The period of the simple moving average trend filter. (Default: 200)
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**Low Period**: The period over which to calculate the low. (Default: 10)
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**Days to Exit**: The number of days to wait before exiting the position. (Default: 5)
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**Use Limit Orders**: Whether to use a limit order to enter a trade the day following the signal. (Default: false)
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**Limit Order Percent**: What percentage lower than the current price to set the entry limit order. (Default: 1)
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## Backtest Results
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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.
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For that reason, rules #2 and #3 are currently not implemented.
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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).
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### ETFs
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#### SPY
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#### QQQ
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### Stocks
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#### MSFT
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**3% Limit Order Entry**
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