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