Simple (Simplest?) Daily Breakout System

T

tomorton

This clip popped up on my Youtube page, its from Christopher Lewis, TheTraderGuy and FXEmpire.


Use the daily chart and add a short-term MA. If the MA slopes upwards, set a buy at the day's high, set the SL at the day's low: if the buy is triggered the next day, move the SL to b/e and then to lock in profits as price rises.

Is this the simplest strategy possible?

Anyway, I trialled it for the last week or so and am up over 5% over 6 days. Got to cut the losers quickly. Plan to run these trades on the leading forex pairs as soon as the holidays are over, very optimistic for the new year.
 
This is an almost completely shamelessly stolen and renamed ACD system. He took out some of the more specific parts (ranges, neutral points, etc). The ACD system is fairly effective when it works since range breakouts have some psychological significance to other traders.

tomorton said:
Anyway, I trialled it for the last week or so and am up over 5% over 6 days.
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You're kidding right? This is your basis for justification of your strategy? How did it perform for the last 10 years of daily candles? N = 6 is so laughably small I'd bet you just caught a lucky break because the bottom fell out of the market last week and you'd have to be borderline brain-dead to not make money following the average.

Post an actual backtest. I want to see Sharpe, Calmar, Max DD, Average Profit, Number of Trades, Commissions, etc. You can do this with such a simple system trivially in Excel in around 10 minutes.
 
gaussian said:
This is an almost completely shamelessly stolen and renamed ACD system. He took out some of the more specific parts (ranges, neutral points, etc). The ACD system is fairly effective when it works since range breakouts have some psychological significance to other traders.



You're kidding right? This is your basis for justification of your strategy? How did it perform for the last 10 years of daily candles? N = 6 is so laughably small I'd bet you just caught a lucky break because the bottom fell out of the market last week and you'd have to be borderline brain-dead to not make money following the average.

Post an actual backtest. I want to see Sharpe, Calmar, Max DD, Average Profit, Number of Trades, Commissions, etc. You can do this with such a simple system trivially in Excel in around 10 minutes.
More...


Its possible that last week saw unusual or even unique conditions, so this strategy worked better than normal. I'm prepared to play with it a bit more until I'm sure. But I've always believed in following price trends, and obviously the averages show these.

Anyway, come January I'll run more of these trades and I'll come back with a summary. I don't mind if it doesn't work, at least we'll know.
 
After a period of sideways movement, look for a resistance or support to break. Hedge this with another currency to get more complicated. For another rule, do not employ the system if we had a big breakout the previous time period.
 
As 24/12 sessions were very low volume and in many locations the trading sessions were shortened for Christmas, yesterday's day's ranges are narrower than usual. This increases the risk that 26/12 ranges could print as outside days, with ranges that exceed both the highs and lows of 24/12. Therefore, for break-out trades tomorrow, I will be combining the ranges of the last 2 trading sessions, 21/12 and 24/12. Same for 31/12.
 
oraclewizard77 said:
After a period of sideways movement, look for a resistance or support to break. Hedge this with another currency to get more complicated. For another rule, do not employ the system if we had a big breakout the previous time period.
More...

Sensible points. I am avoiding taking these daily break-out trades if the last session on that particular chart was either the widest or narrowest range in the last month.

Should also have said I'm using this on forex pairs, plus commodities and stock indices, but haven't looked at its use for individual equities.
 
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