Rob Hannah published last week a potential strategy on his blog. I put a twist to it and made the following strategy:
1. Today’s intraday high must be higher than the previous 5 day high.
2. IBS must be lower than 0.15 (IBS is (c-l)/(h-l)).
3. Exit when today’s close is higher than yesterday’s high.
4. Both entry and exit is 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 equity chart: