Breakout Strategy (help...ideas??)

Discussion in 'Strategy Development' started by ProgrammerGuy, Sep 17, 2007.

  1. Most off all my models are mean reverting models where I sell on the Highest High, and buy on the lowest low.

    I don't have any breakout models where I buy on the highest high and sell on the lowest low.

    Would anyone mind helping me out, give me some ideas?

    I can already feel some smart a$$ comments coming

    Thanks
     
  2. Do you believe that one strategy will work well when trading stock options, stocks, futures options, futures, and forex?

    If you don't, then perhaps you may want to indicate whether you are looking for ideas on how to construct a stock option strategy, or a stock strategy, or a futures option strategy, or a futures strategy, or a forex strategy.
     
  3. PG,

    How about detecting triangle formations below HODs and above LODs and only trading them in the direction of the trend, ignoring an exit to the other side.

    Anek
     
  4. ya know that's not a bad idea... definitely a bitch to program, but not a bad idea
     
  5. Are you calling my idea, a bitch ? :D

    Go for it, if you need assistance with the design you can feel free to contact me.

    Anek
     
  6. Just reverse the scheme of your mean reverting strat. Then run both models at the same time - best of both worlds!

    Your feeling proved correct :D
     
  7. jmoo

    jmoo

    Take a look at the ES range between 930-10 and play a breakout of that range when it occurs.
     
  8. I've tried that, and have no absolutely no success making that play trading a variety of instruments
     
  9. bespoke

    bespoke

    I've programmed breakout strategies and mean reverting strategies. My mean reverting strategies are much more successful. Breakout strategies, at least the ones I've written seem to only work on a narrow range of stocks, and the profit targets were usually only between 5-15 cents (but they are thick ass stocks were you can take 20K shares easily). Compare that to mean reverting strategies where the profit exits are usually 15-50 cents and work on a wide range of stocks.

    So now I focus entirely on mean reverting strategies.