Larry Connors’ 3 Day High/Low Method Trading Strategy (Is It Still Effective?)

In this article, we backtest Larry Connors‘ 3 day high/low Method/Strategy. How has the strategy performed since it was revealed in his book in 2009?

The 3 day high/low method/strategy performed well in Connors’ book, and it still works pretty well today 12 years later.

Larry Connors and Cesar Alvarez published a book called High Probability ETF Trading in 2009. All of the strategies covered in the book showed great results, but almost 12 years have passed since the tests were done (up until 12/31/2008).

Connors didn’t simulate the test as a portfolio. Perhaps needless to say, many of the signals happen at the same time for many ETF’s. Markets are correlated, and especially during panics, we tend to get many signals at the same dates. We end the article by testing the strategy as a portfolio.

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Connors says: quantify, quantify, quantify!

Connors argues the key to success in trading is “quantify, qu