NR7 Trading Strategy — The Narrow Range 7 (Enhanced and Improved Version)
In this post, we backtest the Narrow Range NR7 trading strategy. The strategy works reasonably well, but we improved it by adding one simple parameter.
We backtest the following trading rules:
The range, or volatility, is the difference between the High and the Low (each day).
If today has the lowest range of the previous last 6 trading days, then we go long at the close.
We exit at the close when today’s close is higher than yesterday’s high.
If we invest 100 000 and let it compound since the inception of the ETF in 1993 we get the following equity curve (Image shown below)
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/nr7-trading-strategy/