Nasdaq Daily Breakout

[nieftkwy71]

Nasdaq Daily Breakout
Afternoon all,

been trawling through the posts back on the Contemplating Trading Strategies Board on the Motley Fool.

rediscovered the JT Daily Breakout over on there, originated by our esteemed colleague Mr JonnyT

basically, the simple rules are go long when we break yesterday's high, go short when we break yesterday's low.

close all trades at the daily close.


using data from livecharts/dukascopy, i have been testing this on various indices.

they all work reasonably well, but recent performance has been a bit stodgy.

APART from the Nasdaq-100.

on the data i have, testing it from 1990 to present date yields a frankly astonishing 12133 Big points, or 121,335 points when spreadbetting....

this equates to approx 35 per trade. LONG TERM AVERAGE

with a win rate of 57%.

only problem is the drawdown, which at the height of the bull market hit 784 big points (7840 tradeable points).

since then, for the past 4 years, the max drawdown has been in the region of 200 big points.

much more bearable.


i've only been testing this on OHLC daily data, but frankly, even with a few "funnies" in the data, it looks pretty healthy.

could someone please test this on intra-day futures data, just to check that the entries are indeed feasible and dont get whipsawed to death?

ta

FC

[NKmf]

Right, here we go.

some modifications to make the whole thing a lot simpler..

da roolz:-

Go long at the close every day. set a stop and reverse up at the close level minus HALF THE DAILY RANGE. currently this is about 20-21 big points (200-210 tradable points)

close all positions at the close of play.

this has yielded 126,344 points since 1985.

didnt appear to suffer too much during the 2000-2002 bear market either.

returns since jan 04 are approximately 10,048 points.

this is mental.

also, dealing costs are reduced, as we roll each long trade over into the next day if we arent triggered into a short.

i have chosen a 0.5 of the daily range, so as to try to ensure that we dont get stopped out by overnight movement. pretty much any value works, but with a correspondingly wonkier equity curve..

[Oakshire Financial]

and rather encouragingly, over the last 20 year on the nikkei it has also been profitable..

see the attached equity curve.

this is despite the nikkei trending DOWN for the last 10 years..

this might have to warrant further investigation...