Yes. The returns are about the same. As I said it's just a very basic strategy. + No costs even it doesn't trade much.
That's the 30 min opening range breakout. Tried 1, 5, 15, 30 and 60 min. 1min Return: 0.96 5min Return: 0.95 15min Return: 1.02 30min Return: 1.28 60min Return: 1.11 Buy / Sell the breakout, from RTH open + minutes, then exit End Of Day. That's not impressive at all. Waste of time. Over 4yrs against NQ Total Strategy Return: 28.28%, Total Market Return: '79.42% Sharpe Ratio: 0.05 Max Drawdown: -17.23%, Total Trades: 989 (Entry + Exit)
Might be a better starting point. That's the 60 min FOMO strategy. Tried 1, 5, 15, 30 and 60 min. 1min Return: 1.24 5min Return: 1.01 15min Return: 1.45 30min Return: 1.12 60min Return: 1.81 Buy / Sell the change after minutes + RTH open, then exit End Of Day. It's more impressive as a starting point against Buy & Hold. Over 4yrs against NQ Total Strategy Return: 81.03%, Total Market Return: 79.42% Sharpe Ratio: 0.13 Max Drawdown: -5.96%, Total Trades: 996 (Entry + Exit)
Here is a more advanced strategy with SLs and TPs. Doesn't beat the 60min FOMO strategy. I wonder who really beats the index Total Strategy Return: 73.06%, Total Market Return: 79.42%, Sharpe Ratio: 0.09, Max Drawdown: -16.49%, Total Trades: 995
On TradingView, I've built strategies that were killers ! But going from the little data I had ... to 4yrs worth of 1min data. The strategies are just plain shit ! Trading isn't easy my friend.
Trying a simple mean reversion that ChatGPT gave me. Buy if close < sma(length), Sell if close < sma(length) Tried lengths : 5...Return: 1.88 10...Return: 1.36 20...Return: 1.24 40...Return: 1.08 80...Return: 0.98 160...Return: 0.86 320...Return: 0.87 640...Return: 1.11 1280...Return: 1.07 Best length is 5. Overnight data is included. Costs aren't. Total Strategy Return: 87.58% Total Market Return: 79.19% Sharpe Ratio: 0.05 Max Drawdown: -22.19% Total Trades: 389,433 Deduce cost and it returns nothing.
For normal people, the lazy way to beat the index is by holding stocks that are stronger than it. They are the leaders that are the first to bounce back after a correction, and are also the most frustrating to watch keep going up after I already sold them.
Still short NQ hope FOMC brings that stuff down Range is shit. We can make 300pts. Either up or down. Let’s see.