Range System
- Thread starter profitseer
- Start date
I ran a backtest Jan 2 1997-Oct 14 2003
Which analyzed days the SP500 tick's range > 110% average prior 30 day range
If this tick set a new high OR low, but not both then add
abs(
(the max price achieved in this direction within next five days)/(breakout [high or low])
-1)
to a "breakout average"
The breakout average was >0.5% 63.4043% of the time
The same test without the 10% extra range requirement produced
breakout average was >0.5% 61.9694% of the time
Granted this isn't the exact method mentioned in the original post, but it's close enough to say I don't think there's a system to be had here.
Which analyzed days the SP500 tick's range > 110% average prior 30 day range
If this tick set a new high OR low, but not both then add
abs(
(the max price achieved in this direction within next five days)/(breakout [high or low])
-1)
to a "breakout average"
The breakout average was >0.5% 63.4043% of the time
The same test without the 10% extra range requirement produced
breakout average was >0.5% 61.9694% of the time
Granted this isn't the exact method mentioned in the original post, but it's close enough to say I don't think there's a system to be had here.
I exchange ideas for free. You and others with no capacity to have any useful ideas will have to pay for my time . Have you noticed that big " L " on your forehead ?
I do not offer any course to ET members, If you find that I solicit somebody from here just post specifically who I did solicit . Otherwise you are just a pathetic liar. Big L is for loser btw but I am sure that you know that already since you are the one
...I emailed him and sold him MY course. An easy mark. Try him.
...due to the press of time I did not code up exactly what you suggested, but instead used an existing range breakout system as a surrogate. The rules were:
1. NQ
2. Don't trade before 9:30 AM ET.
3. Long (short) when price goes above (below) a threshold
4. Hold 'til the close.
Whereas you talked about a threshold based on the average daily range of the market for some days lookback, this surrogate is equivalent to a 60 days lookback (the period I tested).
The best performance was for an NQ threshold of 25. It took 8 trades and cleared $738 for each contract. However, it is trading only late in the day. Setting the threshold lower to catch earlier trades loses money due to whipsaws. I did not try to optimize it, because my experience with breakout systems for a particular time period is the following. If you have to optimize it with stops, reverses, and takes in order to make it profitable, you're looking at too long a time frame.
I don't trade past 10:30, so I'm no expert, but my guess is that the random variations in the shape of the whole day make any kind of all day breakout system unsuitable.
Bets regards. - Mike
1. NQ
2. Don't trade before 9:30 AM ET.
3. Long (short) when price goes above (below) a threshold
4. Hold 'til the close.
Whereas you talked about a threshold based on the average daily range of the market for some days lookback, this surrogate is equivalent to a 60 days lookback (the period I tested).
The best performance was for an NQ threshold of 25. It took 8 trades and cleared $738 for each contract. However, it is trading only late in the day. Setting the threshold lower to catch earlier trades loses money due to whipsaws. I did not try to optimize it, because my experience with breakout systems for a particular time period is the following. If you have to optimize it with stops, reverses, and takes in order to make it profitable, you're looking at too long a time frame.
I don't trade past 10:30, so I'm no expert, but my guess is that the random variations in the shape of the whole day make any kind of all day breakout system unsuitable.
Bets regards. - Mike