A 100-Day Breakout Entry and Exit Strategy

Summary

The document describes a simple long-only trend-following system inspired by the Turtle approach. It enters when the day’s high exceeds the highest high of the preceding 100 days, then exits when the day’s low falls below the lowest low of the preceding 100 days. The position size is fixed in the supplied example, and the author suggests that the lookback can be changed.

The author reports favorable results on several stock indices, including a stated success rate and profit factor for the CAC 40, and claims the approach performed well on other markets. No test period, trade count, transaction costs, slippage assumptions, drawdown series, or independent validation is given, so the reported performance cannot be assessed from the document alone. The code describes market orders and a long position, but does not explain risk-based sizing or portfolio-level controls. The claims should therefore be treated as unverified historical assertions rather than evidence of future profitability.

Key ideas

• The strategy enters long when price breaks above the prior 100-day high.
• It exits when price breaks below the prior 100-day low.
• The lookback period is presented as adjustable, while the example uses a fixed position size.
• The author cites index results but does not provide test details or trading-cost assumptions.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.