this is unbelievably easy to backtest. just pull some daily historicals from yahoo - into excel, even - and see what happens. if someone does actually put some work into this, i would be happy to compare/verify results. just PM me.
I ran a backtest Jan 2 1997-Oct 14 2003 Which analyzed days the SP500 tick's range > 110% average prior 30 day range If this tick set a new high OR low, but not both then add abs( (the max price achieved in this direction within next five days)/(breakout [high or low]) -1) to a "breakout average" The breakout average was >0.5% 63.4043% of the time The same test without the 10% extra range requirement produced breakout average was >0.5% 61.9694% of the time Granted this isn't the exact method mentioned in the original post, but it's close enough to say I don't think there's a system to be had here.
I exchange ideas for free. You and others with no capacity to have any useful ideas will have to pay for my time . Have you noticed that big " L " on your forehead ? I do not offer any course to ET members, If you find that I solicit somebody from here just post specifically who I did solicit . Otherwise you are just a pathetic liar. Big L is for loser btw but I am sure that you know that already since you are the one
...due to the press of time I did not code up exactly what you suggested, but instead used an existing range breakout system as a surrogate. The rules were: 1. NQ 2. Don't trade before 9:30 AM ET. 3. Long (short) when price goes above (below) a threshold 4. Hold 'til the close. Whereas you talked about a threshold based on the average daily range of the market for some days lookback, this surrogate is equivalent to a 60 days lookback (the period I tested). The best performance was for an NQ threshold of 25. It took 8 trades and cleared $738 for each contract. However, it is trading only late in the day. Setting the threshold lower to catch earlier trades loses money due to whipsaws. I did not try to optimize it, because my experience with breakout systems for a particular time period is the following. If you have to optimize it with stops, reverses, and takes in order to make it profitable, you're looking at too long a time frame. I don't trade past 10:30, so I'm no expert, but my guess is that the random variations in the shape of the whole day make any kind of all day breakout system unsuitable. Bets regards. - Mike