Rob Hannah has published a potential strategy on his blog Quantifiable Edges. The strategy buys when the S&P 500 makes a new high.
I put a twist to it and made the following strategy:
- Today’s intraday high must be higher than the previous day’s five-day high.
- The IBS must be lower than 0.15.
- Exit when today’s close is higher than yesterday’s high.
- Both entry and exit are on the close (open is 0830 Chicago time and close is 1500 Chicago time).
Very simple rules (I believe in simplicity in trading).
ES mini (Globex) has had 79 trades from 2005 until June 2017. The average is 519 USD per contract.
Here is the equity chart:
The details:
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