If the opening 30 minute range is relatively small compared to the average daily range -- breakouts from the 30 min range are LIKELY. Conversely, of course, a wide opening 30 minute range is not a good day to use the breakout strategy. In fact a very wide range during the opening 30 often sets the hi and lo for the day (and lends itself to buying near the low, shorting near the high throughout the day!). It's important though to backtest ("by hand" is fine) for the individual stock (or future) to see if can produce positive expectancy using this strategy. dog
Some time back, SnoSur4 and GirlPower offered variations of this strategy in a thread called The Importance of Simplicity: http://www.elitetrader.com/vb/showthread.php?s=&threadid=10532&highlight=simplicity There was a lot of nonsense in the thread, but also much of value. Anyone interested in the subject would probably get at least a couple of ideas from the thread.
Is there a site that offers this information for stocks? One where you just enter the stock symbol and it shows you the result?
It's on most good charting software such as esignal or qcharts I use average true range (atr) which is similar to true range (high-low).
Palward, Thanks for a very informative post. I have a couple of questions: 1) How would you charaterize your point 5 above in more objective terms. I'm thinking I might backtest this to see how it performs. 2) Have you any experience on using this system on the ES or NQ index futures? Richard
Here is the best way to use 30 minute breakouts and breakdowns. Use this alert and apply an approximate 1.7 min current volume filter. Very good results! http://www.trade-ideas.com/Help.html#IDH1
Rickty, no I have not tested it either of these, I trade NASDAQ stocks that have a high Beta, I did test it a long time ago on the QQQ's the results were OK. It was right about 58% of the time with a winning ratio of 1.15 to every 1 risked. Keep in mind that since then I use more filters. 1. I like to see atleast 2x the average vol for the first 30 min 2. I like a relatively strong close to the first 30 min bar. but if the bar is huge I will tend to stay away (unless the volume is unbelievable ie WAVX and RIMM last thursday and friday) 3. Gaps are good if they hold) 4. Use TR(true range) or ATR(average true range) to help determine profit targets ie if a stock move $2.00 a day on average and if it has move $.80 the first half an hour I know I should try to cash out around $1.00 5. As far as stops I will use the days low or ATR to determine an appropiate level 6. I know exactly what my profit target and stop loss targets are before every trade. 7. good ADX >25 on a daily You should find the daily and 30 minute ATR(average true rane) or TR(true range) of the E mini or NASADQ to find appropriate targets, and like I said earlier this method needs lots of action, so if you feel the day is trendless stay away or trade stocks that are on fire Plaward
In response to number 5 from an earlier post I like to see the bar close atleast in the top 25% of its range for longs and bottom 25% for shorts. Plaward
Obviously, these indicators try to grab a trending day and try to survive through choppy days. I have to agree Brandonf with this. How and what will you line up. For example, The previous day was XXX. The opening gap is YYY. The 30-min. range is ZZZ relative to AAA. Then you get a statistic edge of some bias. Then you put entry like breakout of previous day's low or high... etc. etc. to filter edge again... Things like that...