sabato 15 agosto 2009

Open Range Strategies applied to the main stocks indexes

I tried to backtest some ORB strategie on several stocks market last 9 years EOD data.

In order to have a big picture I selected the following markets:



  1. S&P 500
  2. DAX
  3. JAPAN NIKKEY 225
  4. DJ EUR STOCKS 50
  5. INDIA BSE30
  6. LONDON FTSE-100
  7. HONG KONG HSI
  8. ITALIAN FTSE-MIB
The trading rules are the following:


  1. Enter Long if intraday price breaks up the Day Open + stretch level
  2. Enter Short if intraday price breaks down the Day Open - stretch level
  3. Exit on the same day close
  4. The following daily compression/expansion filters are tested: NR7,NR4,NR, No filter, WR, WR4,WR7.
As you can see it is not exactly a trading system: for example there is no stop loss or target rules; (if you put these intraday rules in a system operating on EOD data the performance results are not reliable), the object of the analysis it just to detect intraday bias of prices related to daily compression/expansion patterns.


Does it make sense?



Have a look to the first analysis, any test is conducted using TradeStation.
















Long trade peformace are reported separately from short ones.

The key performance indicators reported are:
  1. Total profit (the trade size is 100.000 $)
  2. % Winning Trade
  3. Average Trade
  4. Average Trade/Dev Std
  5. Max DrawDown
In yellow the best performance are highlighted.

...continues in the next post

mercoledì 12 agosto 2009

Eurostoxx 50 - first 20 min Intraday Breakout

Trading rules:

1. wait for 09.20 time then find the previous 20 minutes high,low and range
2. if the 5min close breaks the high + range level goes long
3. if the 5min close breaks the low - range level goes short
4. stoploss = 10 ticks
5. trailingstop= 10 ticks after 20 ticks in gain
6. exit on close
Equity Line and Performance Report





Visual Trader code
Last days trades