Buy When S&P 500 Makes New Intraday High?
Last Updated on March 6, 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 ;
buyPrice=C;
Sell= C>Ref(H,-1) ;
sellPrice=Close ;
ES mini (Globex) has 79 trades since 2005 until June 2017. Average is 519 USD per contract.
Here is the equity chart:
The details:
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,
I trade as many timeframes as I can, as long as there is an edge. I like Amibroker, cheap and useful.
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
Hi Marco,
You are right, and I changed the text now.
Oddmund
How would the stop loss work here?
Hi,
With stop-loss I get less profits. I don’t use stops very much, i prefer to trade much smaller and more instruments and timeframes.
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.