Buy When S&P 500 Makes New Intraday High? (Intraday High Breakout Trading Strategy)

Last Updated on June 19, 2022 by Quantified Trading

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:

  1. Today’s intraday high must be higher than the previous day’s five-day high.
  2. The IBS must be lower than 0.15.
  3. Exit when today’s close is higher than yesterday’s high.
  4. 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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  • Hi Oddmund

    Great to see your post after long time. Have you shifted your focus from intraday strategies to longer term ? And how is backtesting with amibroker?

  • Hi Oddmund,

    Thanks for the post.

    You write “Exit when today’s close is higher than yesterday’s close.”, but in the pseudocode you have “Sell= C>Ref(H,-1)”. I assume that selling occurs when today’s close is higher than yesterday’s HIGH, but correct me if I’m wrong?

    All the best,
    Marco

  • Seems like johnathankinlay.com did a nice optimization to this. Not sure what filters he laid on top in addition to it and he gives no indication either.