Question regarding backtesting of trading ranges

David's faith

David's faith

So Al Brooks claims ranges tend to appear after a trend and in 60% of the time ranges break out in direction of the previous trend. Since I am convinced this may not be true I want to backtest it. Especially for the ES and NQ futures. How would I do that, what software can you recommend? I got Trading View, CQG and IB TWS as data sources from the get go. I could also access a Bloomberg term. from our family office if that helps.
 
It's true for NQ, TradeStation has minute charts going back forever. Bullish breakout strategy survives all market conditions.
 
No need to backtest. Bullish is favored most of the time.
Also if you are going to backtest it: You need to first make out what a trend is for you and then the range.
 
David's faith said:
So Al Brooks claims ranges tend to appear after a trend and in 60% of the time ranges break out in direction of the previous trend. Since I am convinced this may not be true I want to backtest it. Especially for the ES and NQ futures. How would I do that, what software can you recommend? I got Trading View, CQG and IB TWS as data sources from the get go. I could also access a Bloomberg term. from our family office if that helps.
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Actually\ you can most likely find some patterns better than 60%;
Stock Traders Almanac JAN forecaster= DOWN Jan= down year \88% of the time.
I assume he means by trend =main trend; so working off of a main trend [200dma ] sounds like he is right..........................................................................................
 
David's faith said:
So Al Brooks claims ranges tend to appear after a trend and in 60% of the time ranges break out in direction of the previous trend. Since I am convinced this may not be true I want to backtest it. Especially for the ES and NQ futures. How would I do that, what software can you recommend? I got Trading View, CQG and IB TWS as data sources from the get go. I could also access a Bloomberg term. from our family office if that helps.
More...
how do you define the preceding "trend"? larger slope vs x days ago? slope of regression slope? lower lows higher highs? once you figure that out, you can test the trend continuation/breakout hypothesis

any of these are trivial to test, you can even use excel
 
ducatista said:
how do you define the preceding "trend"? larger slope vs x days ago? slope of regression slope? lower lows higher highs? once you figure that out, you can test the trend continuation/breakout hypothesis

any of these are trivial to test, you can even use excel
More...
It's too much data for excel. I mean intraday trading ranges, defined as tight areas price does not leave for at least 45 minutes
 
David's faith said:
So Al Brooks claims ranges tend to appear after a trend and in 60% of the time ranges break out in direction of the previous trend. Since I am convinced this may not be true I want to backtest it. Especially for the ES and NQ futures. How would I do that, what software can you recommend? I got Trading View, CQG and IB TWS as data sources from the get go. I could also access a Bloomberg term. from our family office if that helps.
More...
Hello David's faith,

Just take your best guess and go with the flow of things.

Scared money, make no money.
 
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