A Long-Only Nikkei Strategy Using Quiet Volume and Moderate Momentum

Summary

This document describes a rule-based strategy for the Nikkei 225 on 15-minute bars. It enters long after a closed bar meets three criteria: price is above its recent average by a volatility-scaled amount, upward momentum remains below a threshold, and tick volume is low relative to the same time of day over recent days. Entries are limited to a midday window, with an ATR-based stop and target; all positions close by a set time, avoiding overnight exposure. Only one position may be open at once.

The reported backtest covers 309 trades and gives an 87.8% total return, 8.5% maximum drawdown, 1.68 profit factor, and 61.8% win rate. The author also reports positive annual results, 15 robustness checks, comparisons with random entries, significance adjustments, and profitable Monte Carlo resamples. These are research results from the author's testing process, not independent confirmation or a guarantee of future performance. The method is long-only, uses broker-dependent tick volume, and was tested on one index and timeframe; fixed lot sizing also makes dollar risk vary as index levels change.

Key ideas

• The strategy buys only when price is moderately above its recent average, momentum is not extreme, and tick volume is unusually low for that time of day.
• Entries occur during a restricted midday window, with an ATR-based stop and target and a mandatory same-day exit.
• The reported evaluation includes 309 trades, annual performance figures, stress tests, random-entry comparisons, and resampling analysis.
• Results depend on the tested data and research engine, while broker-specific tick volume and single-market testing limit generalization.
• Long-only exposure and fixed lot sizing can leave the strategy inactive for extended periods and cause dollar risk to shift over time.

Tags

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