You take yesterdays price range. You add to it any gap up or down before today's price range. That becomes today's price range. If today's price goes above, you buy. Below, you sell. Short, quick stops. How does this do over time? Thanks.
It sounds like a random trading game plan strategy, with no true knowledge or reasonable expectations of what you're doing or expecting to happen. To succeed in trading, you need to see through and sense the trading environment you're in. Have some sense, of Control...within that semi-fixed arena. It's like randomly dropping a professional sniper somewhere. That will be useless and completely hopeless and unproductive. You need to do your homework, and position ideally and have reasonable expectations and assumptions. Trading doesn't have to be a random, by-chance game. Try to understand and consider all the potentially triggering variables. My examples, and experience, all relate and are applicable to the broad market...the SPY/SPX/DOW/ES, Dabbling with individual stocks and random tickers can seem like a joker wildcard game.
Opening range breakouts/volatility breakouts have been around since the 1970s. They used to work much better in the trading pits days before everything went electronic. Perhaps with enough testing you can find some parameters that still generate decent returns. Probably would be wise to avoid stock indices and focus on "jumpy" things like VIX products, natural gas, oil, etc.
Is this true? Price has to go somewhere from where it is now. If, in a high vol environment, you bet wrong 9/10 but are right 1/10 times, with proper stops, it doesn't matter.
" If, in a high vol environment, you bet wrong 9/10 but are right 1/10 times, with proper stops, it doesn't matter. " Nooby, how could you bet wrong 9/10 times over and over? Seems to easy - you could just do the opposite of what you were doing and then you'd be betting right 9/10 times, and, adjusting your stops, making an easy killing. I bet the wrong/right # is much closer to 50/50.
Thanks! I can get lots of data off yahoo finance for free, in excel format. Is backtesting using excel doable, any idea?
It was just a thought experiment. Say you have a trailing stop loss of X% of the daily range of some volatile thing. Let the rule be to buy every half hour if not in a position with the above trailing stop. Here is the result:
The algo results indicate instability IMHO. Moreover, the most important stats like # of trades and avg time in trade are missing.