Larry Connors’ Multiple Days Up And Multiple Days Down | Trading Strategies Analysis

Chapter 6 of Larry Connors‘ High Probability Trading contains a trading strategy called Multiple Days Up (MDU) And Multiple Days Down (MDD). The book was published in 2009, the trading tests were done until 31st of December 2008, and it’s time to test and check how the strategy has performed since then.

You can find the four previous strategies from Larry Connors, plus many more, on this page:

The trading rules of the strategy:

The main idea of the strategy is that ETFs revert to their mean. Because ETFs consist of many stocks or holdings, they are unlikely to go to zero. Thus, they should perform better for mean reversion than for single stocks, which can go to zero.

In this strategy, we lo