Need a program that finds intraday breakouts from a tight range

Quote from Nana Trader:

obviously you didn't have a good sleep today, You said on 01/06/06, and now 1/1/06 which was sunday :confused:

I see the pattern on friday 6th jan, 06, small breakout, if that's what you refering to?
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Nana,

Sorry again. Not sure where my head is today! At least I got the year right, which is doing good for the first couple weeks of the year!

Yes, you have the right one.

Cash
 
Quote from makosgu:

It is unfortunate that you have chosen to bypass the very component which is responsible for ALL breakouts... Their is a BIG reason why Trade-Ideas has based their component on volume stats. Even better is the strong correlation between a bar's volume and its length (ie. volatility). It might be worth looking at the volume of the bars that precede those breakout bars to see if they tell you anything meaningful (ie. how to execute the bar preceding the bar that breaks out)...

Kind Regards,
MAK!
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I definitely agree with you on the volatility of the breakout bar. In this case, the bar just before the breakout price did had a volume that was TWICE the volume of all the bars for the prior 30 minutes COMBINED! But it's still something that Trade-Ideas didn't pick up.

Cash
 
I've been down the tight-range intra-day breakout path several times over the last 8 years and have yet to find it to be a profitable strategy that can be automated. I've always been enticed by this set-up because it is visually very appealing and appears simple, but ... and with trading there always seems to be a BUT ... in my opinion it is simply a visual aberration. There is one HUGE and insurmountable problem with this strategy:

- Defining the rules for "consolidation" or "tight-range".

It's so easy to look at the chart of a big winner and define the rules that would have worked that day, but I challenge anyone to provide a set of rules that can be applied to a universe of stocks to find the next big winner. What I have always found is that all of the fake-outs swamp the big winners and the strategy ends up being a small to medium net loser. There are an infinite number of variations on the way in which “consolidation” or “tight-range” can be defined, and ways in which the entries and exits can be managed. I obviously haven’t tested them all, but I’ve covered enough ground to convince myself that my time is better spent mining other claims. I don't doubt that there are traders who can make good money off these set-ups, but I have yet to create any version of this strategy that results in a profitable back test. All of my back and forward testing has been done on tick data of NYSE stocks, because it’s the only way to generate somewhat accurate results.

Regards,

Slave2Market

P.S. There have been periods where this stategy works pretty well, and if I only had a crystal ball that would predict these periods, it could be a profitable system.:)

P.P.S. All opinions are welcome, and if you have any useful insight - I'm always willing to listen.
 
I agree that although these breakouts look 'visually' appealing, they are not easy to consistantly trade profitably.

Things that increase the success rate are higher volume ratios than usual, stock price above previous day, stock price above 50 day MA, etc, etc.

A tight range is difficult to define. Ususally when a nice 'tight' triangle can be drawn, it's indicative of a tight range?
 
Quote from cashonly:

I think we're talking about different things. The breakout I see occured around 11am and the stock broke out from a 6 cents range that it had been in for about a 1/2 hour. Again, this is in UNF on 1/1/06
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Cash where do you see this breakout? I attached a pic and I don't see anything......
 

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Quote from pev:

Things that increase the success rate are higher volume ratios than usual, stock price above previous day, stock price above 50 day MA, etc, etc.
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Have you done any testing on these filters to actually verify that they increase the probability of success for a tight-range intraday breakout?

I have done a substantial amount of testing on these types of filters and many, many others, and have yet to find anything that provides a tradable edge. I have always wanted to believe that an increase in the intraday volume would be useful, but I have found volume analysis to be almost worthless.

Regards,

Slave2Market
 
Slave- I have not done any back testing to confirm that the things I listed increase the probabilities. But I can tell you that I've been using these along with a couple others to successfuly trade 'intraday' breakouts and breakdowns. Of course tight stops are essential.
 
Quote from pev:

Slave- I have not done any back testing to confirm that the things I listed increase the probabilities. But I can tell you that I've been using these along with a couple others to successfuly trade 'intraday' breakouts and breakdowns. Of course tight stops are essential.
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Most traders are very surprised if/when they perform objective testing on their ideas. They usually learn that what they thought worked ... really doesn't increase the chances of a profitable trade! :)

Regards,

Slave2Market
 
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