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30-Min High & Low Breakouts/Breakdowns

  1. To clarify, I mean trading breakouts and breakdowns from the levels reached during the first 30 minutes of the market.

    Opinions of doing this with stocks on an intraday basis.

    Anyone doing this in today's market or are current trading conditions not conducive to this strategy?

    It appears that doing it with volatile listeds can be very tough, especially with the specialists who skip price levels all day long.
     
  2. It depends on the stock and what has been happening the last few days. Also depends on the action in that first thirty minutes. That said, if everything lines up its wonderful.

    B
     
  3. Hello Brandon. FWIW I like reading your posts....

    Can you be more specific about "if everything lines up"?

    Thank you.
     
  4. I never had much luck with a similar strategy on listed.

    Of course, I'm just above "suck" on the the trading skills scale.

    If I tried it again I'd wait for a retest, then strength, or a retest, then failure. Your risk to reward will be better.

    You'll have one run away from you once in awhile, but so be it.
     
  5. I have tried that. Works best combined with a (failed) break of previous day high or low.

    For example look at SBC today.

    Broke previous days high, but then failed, put in a nice reverse cup and handle kind of pattern and would have made for a nice profit and good r/rw

    In my experience watching a stock around the previous day high and low is much more rewarding and important than opening range.


    For example AOL today. Broke the low then formed a kind of consolidation pattern and broke out


    Usually I cover half as soon as my risk is covered and try to keep the rest all day.

    Off course these are the usual 'well chosen' examples and I traded only AOL.

    But inside days are always harder to trade, even if you wait for a 30 min break
     
  6. Just to reiterate what everyone else has said so far, if you just buy and short 30 min breakout/breakdowns you are going to get obliterated.

    I tested out some strategies geared toward that with TS and even when I put additional paramaters around it like narrow range days, inside days, etc, it still didn't test out to well because the intraday price action is just too random.

    If you back away from individual stocks though the method works better. That is all the breakout methods work better for futures or index's in general than equities. For example if the BKX is making lows, then BAC makes lows, it's usually a pretty good trade because you have something else that confirms it. If the spoos happen to be drifting down too, then you have three things going your way, the spoos, the index, and the stock...so the deck is more stacked in your favor that the breakdown/breakout will have some follow through and set up a good trade.

    Cheers.
     
  7. If you want to make money consistently on these items* do the following:

    Evening before:

    1. get a short list of stocks that will BO the next day.
    2. calculate or measure the critical three volumes that are necessary to monitor. DU, FRV , (BO volume can be observed)

    As market opens:

    3. Wait until the market syncs between the futures and cash indexes. Before that the "end effect" noise cloud everything. See brandof he is victum of this.
    4. From open do a prorata volume calc. (it is automatic on most monitoring screens once you set it up). You must be acheiving DU by 11:00 am which means 3 to 4 times DU by days end to equal by days end FRV.

    5. When you reach DU in volume, Buy. You have not more than an hour before BO will occur.

    6. For anticipating failures after BO, you monitor the prorata volume increase segmants just like doing fractional times at the race track post by post. If the rate of volume increase flags, you reverse on the first price formation (stall, hitch, or dip).
    7. If the PO does not fail, first throw your 30 minute stuff in the toilet and set up points 1,2,3, on the 30 min chart to get the 6 to 8 day channel that is there.

    Following days:

    9. check the volume daily in same prorata way. When volume is peaking, get out within two hours of the open the next day See step 6 to do this.

    If you have a job, you can just get the data inthe evening and enter the next day. It will lessen your profits a little bit and it will take out the failure to BO risk, but you miss doing the reversal for the short profit on the failure to BO.


    You will make about 10% every 6 to 8 days doing this if you capture only half the trend runs. (have a job, for example)

    If you want the method to get the short list a day in advance ask.
    It is a five minute process. And it takes brains.

    *Items means:wtf:pen, BO's and retraces, be in for 30 minutes to make the
    money.
     
  8. This method has been my most consistent set up over the past couple of years, everytime I deviate from this method I tend to give back money. I have backtested this method by hand for hundreds of stocks over the past several years, it's great. It is simple and it works if you can handle the drawdowns. It is far better than any chat room calls, where they call out the trades, and have no idea about risk vs reward. The nice thing about this method is that you know your risk and profit targets before the trade.

    Here are a few tips that help this system

    1. use ATR(14) average true range indicator on a daily to see if the stock has enough room to move. For example if the daily average true range for a stock is $2.00 and it has moved $1.80 in the fist half hour you might want look for another set up or adjust your risk perimeters.

    2. Pick stocks that are trending, I like to use the ADX(14), where the ADX >25, this method needs action

    3. Play the gaps if you can, I did some research on excel using gaps, and I found that stocks that gap up (2-5%) tend to move 2x the average daily range, and this method needs stocks that can move

    4. Stay away from very dull dry markets, my worst drawdown this year was the fews weeks before the war when everyone was sitting on the sidelines

    5. the bar of the first 30 minutes should be a strong with good volume, the should be closing in the top of its range for longs and the bottom od the range for shorts

    6. For every $1.00 you risk you should be taking $1.00 to $2.00, on average a stock will move 1/3rd of its daily range in the first half an hour, therefore if a stock that usually moves $2.00 a day moves $0.70 in the first half an hour you know that stock will probably move another $1.

    7. Do not take anyone else's advice without proving it yourself, backtest this method (by hand if you have to) and you will not be disappointed.

    Regards

    palward
     
  9. This method has been my most consistent set up over the past couple of years, everytime I deviate from this method I tend to give back money. I have backtested this method by hand for hundreds of stocks over the past several years, it's great. It is simple and it works if you can handle the drawdowns. It is far better than any chat room calls, where they call out the trades, and have no idea about risk vs reward. The nice thing about this method is that you know your risk and profit targets before the trade.

    Here are a few tips that help this system

    1. use ATR(14) average true range indicator on a daily to see if the stock has enough room to move. For example if the daily average true range for a stock is $2.00 and it has moved $1.80 in the fist half hour you might want look for another set up or adjust your risk perimeters.

    2. Pick stocks that are trending, I like to use the ADX(14), where the ADX >25, this method needs action

    3. Play the gaps if you can, I did some research on excel using gaps, and I found that stocks that gap up (2-5%) tend to move 2x the average daily range, and this method needs stocks that can move

    4. Stay away from very dull dry markets, my worst drawdown this year was the fews weeks before the war when everyone was sitting on the sidelines

    5. the bar of the first 30 minutes should be a strong with good volume, the should be closing in the top of its range for longs and the bottom od the range for shorts

    6. For every $1.00 you risk you should be taking $1.00 to $2.00, on average a stock will move 1/3rd of its daily range in the first half an hour, therefore if a stock that usually moves $2.00 a day moves $0.70 in the first half an hour you know that stock will probably move another $1.

    7. Do not take anyone else's advice without proving it yourself, backtest this method (by hand if you have to) and you will not be disappointed.

    Regards

    palward
     
  10. 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
     
  11. Is there a site that offers this information for stocks? One where you just enter the stock symbol and it shows you the result?
     
  12. 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).
     
  13. 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
     
  14. 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
     
  15. 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
     
  16. 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
     
  17. PS I would like to see the results if you do test it, let me know if you have anymore questions.
     
  18. 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...
     
  19. Palward,

    Good posts thanks for the info.

    How do you enter the trade... with a buy/sell stop?

    How long do you wait for the stock to break its 30min hi/lo. Do you only take trades if the 30min bar is broken immediately by the next bar.. or is it OK to wait a few more bars?

    What do you think is the max time allowed to wait before the first 30min bar is broken.


    --MIKE
     
  20. WDGANN

    I totally agree with you on this matter, I think you have look at key support and resistance levels for the trade, if I see too much over head resistance on a stock I will pass and look for another, I often look at the sectors, and the breadth (tick, trin, adv-decvol etc) of the the overall market to give me a feel for the day. With that being said there always seem to be a few stocks everyday in a league of their own. I have created some spread sheets in regards to strong trending stocks after several days of pulling back and the odds do tilt in your favor with this method if the stock has enough clean air to move.


    Trend Fader

    I get in once the high is broken by several trades, and I get in as soon as I can, I am always afraid of missing the boat and sometimes I end up with a few arrows in my back if you know what I mean. The entry on this trade holds well after 10 am, for example if the stock is consolidating nears its high and it doesn't breakout until 11 am, by this time of the day the market has usually decided which way it's going and therefore less chance of a market reversal. However I personally do not like getting these types of trades after 11:00 am, the doldrums scare me.
    My best trades using this method usually happen pretty quick, I have been tempted to use a time stop aswell but have yet to do so. I have been testing a trailing stop with this method aswell and on paper it seems to reduce my risk by half even though I will get stopped out more, giving me 2:1 risk reward ratio while leaving the original profit target the same, and it reduces my win % to around 57-58% which is OK if you can stomach the drawdowns. Let me know if you have any more questions.

    Palward