Last Updated on June 11, 2021 by Oddmund Groette
Rob Hannah published last week a potential strategy on his blog. 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).
Here is Amibroker code:
Buy= H>Ref(HHV(H,5),-1) AND ibs<0.15 ;
Sell= C>Ref(H,-1) ;
ES mini (Globex) has 79 trades since 2005 until June 2017. Average is 519 USD per contract.
Here is the equity chart: