Nasdaq100 - Buy high, sell higher

[tomorton]

Hello all.

This is a very simple spreadbetting strategy requiring only a short session at the NY Close using the D1 chart, and no technical or fundamental analysis as such.

Rules -
1. Set a buy order at the high of the day, stop-loss at the low.
2. Set a sell order at the low of the day, stop-loss at the high.
3. If an order is triggered, exit that position at the first profitable close.

Notes -
Win rate over a month or longer should be about 80%
Pending orders are not cancelled
Position sizes should be strictly managed as individual stop-loss losses are large in comparison with individual gains
Technical indicators and lower time-frame charts are not required
Ignore NFP's and other news events
If you wish, use long orders only, during uptrends - but note this introduces a subjective line of TA

Have fun!

 

[tomorton]

Anyone jumping into this strategy from Friday morning would have had an interesting ride to say the least.

Just to re-cap, if you had set orders at the available high and low daily levels immediately after my original post, you would have lost a couple of longs from Thursday and Friday for about 180pts each, but shorts from both Thursday and Friday would have ridden the steep fall in the index, which closed more than 500pts lower. So, a major and unexpected starting bonus.

Of course the starting situation in now way supported a long-term short on the Nas, but bracketing the daily ranges with buys and sells makes sure that shocks like these are effectively hedged. Maybe we'll get some more like these......

 

[tomorton]

Have to admit it, the first version of this strategy just will not perform. The win rate is very good but the wins:losses ratio is just too weak.

So I have scaled it back. Running this on the S&P as a trial - still setting a buy at the high plus a sell at the low every night, but with a TP 0.5% ahead and a SL 0.5% behind on each.

The exit will on most days be in the same session as the entry. With this in mind, there is now the possibility of pyramiding the winning position through the day if I can screen-watch the remainder of the session.

 

[tomorton]

Of course, v3 of the strategy would involve forgetting about the high and low, just bracketing the close with a buy order and a sell order - setting a buy order at the close + 0.5%, and a sell order at the close - 0.5%. Same SL and TP distances.

Higher probability of early entry so greater potential for pyramiding.

But higher probabiltiy of volatility triggering and stopping out first one order, then the other.

 

[RolloTape2025]

Can I argue with you, but just for learning or discussion, not to create antagonism?

There are certainly systems that can work that buy at the high. But they don't necessarily work because you bought at the high. When you buy at yesterdays high, you are buying at the absolute worst price from yesterday, and when you put your stop loss under the low of the previous day you are willing to sell for a loss at the absolute worst price from the previous day.

Now... of course it is a bit complex, and maybe yesterday's worst price to buy is now a good price to buy because things have changed. And that can be true. But the approach from basics is bad, no?

 

[tomorton]

Can I argue with you, but just for learning or discussion, not to create antagonism?

There are certainly systems that can work that buy at the high. But they don't necessarily work because you bought at the high. When you buy at yesterdays high, you are buying at the absolute worst price from yesterday, and when you put your stop loss under the low of the previous day you are willing to sell for a loss at the absolute worst price from the previous day.

Now... of course it is a bit complex, and maybe yesterday's worst price to buy is now a good price to buy because things have changed. And that can be true. But the approach from basics is bad, no?

Yes your observation is not wrong - buying high is expensive - but expensive and cheap have no relation to how markets work. Buying as the high is breached by a rising price is the maximum price available you could pay using the system but it's also the best indication that price will go higher. Buying as the low is breached by a falling price is definitely not a strong indication that price is about to go higher, exactly the reverse.