While the Crabel book itself is interesting, his ideas are no better than random. It makes me wonder why people spend their time going over methods that are not profitable.
I am not surprised at all. Volatility breakout systems, at least acc to my testing, do much better in high volatility and after a day or two of tight congestion. Have you considered/tried an ADX filter to the system(s)? Has your research on volatility breakouts included any further work on the J.T. Jackson/zone research you wrote about in 1997? Cordially, ssynic
About 18 months ago I took a hard look at the Crabel methods and back tested a bunch of stuff. (I ran a gazillion back tests). I published some of the results here: http://www.deltat1.com/Strategies/day_type/ What I found was that some of the stuff made money but nothing produced a smooth equity curve that a solid strategy would produce. Of course, I may not have found the right combination, and so I continue to look...
Did you ever look at increase the holding period to either first profitable opening or exiting the position on a opening range breakout in the opposite direction without the restrictive filters ?
i saw the crabel book as a good starting point. just a way how to look at the whole thing. and probably the secondary market price for his book is one of the highest in 1980s literature worldwide ...