I recently gave a presentation on Better System Trader about using stops on a breakout strategy. The research produced results I was not expecting and may be surprising to you. The stops tested are
- No stops
- Maximum Loss using ATR (Intraday and End of Day)
- Maximum Loss using percentage (Intraday)
- Trailing ATR (Intraday and End of Day)
- Profit target using ATR (Intraday and End of Day)
- Stock is member of the Russell 1000
- Close is greater than $10
- 21 day moving average of dollar volume is greater than $10 million
Today’s Close is higher than highest high of the previous 252 trading days
- Ten period ADX greater than 35
- One hundred day Historical Volatility is greater than 35
- Today’s DollarVolume is 25% or more greater than the 21 day average DollarVolume
- Enter on next open
- Exit after 6 months.
- Exit on next open
Charts from the presentation.
To get the video of the presentation and the spreadsheet of the data, fill in the form below.
I want to thank Andrew Swanscott for his great Better System Trader site. I highly recommend this site to all traders to help improve their trading and to get trading ideas. I know that I have learned a lot from the other guests on his site.
Good Quant Trading,
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