Combining Opposing Futures Trades into an Intraday Breakout Strategy

Summary

The article examines a daily long and short trading setup in the CSI 300 index futures. Each side enters at the open, uses a 30-point stop, and closes any remaining position before the session ends. It reports that both standalone directions were profitable in a historical test covering 2011 to 2016, then considers combining the trades so their stop-outs create entries in the opposite direction. The resulting combined behavior is reframed as a breakout strategy: enter long above the opening price plus 30 points or short below the opening price minus 30 points, then exit before the close.

Reported results show the combined version with higher net profit and profit factor, and lower maximum drawdown than either standalone version. The text emphasizes stop execution and recognizing equivalent strategy formulations. These figures are from one historical test; fees were included and entries were modeled at the next bar’s open, but no out-of-sample validation or sensitivity analysis is given. The results do not establish that the approach will generalize.

Key ideas

• The test applies a fixed 30-point stop to daily long and short futures positions and closes remaining trades before the session ends.
• The author reports that both standalone directions were profitable in the stated historical period.
• Combining the opposing setups produces a strategy equivalent to entering on breaks beyond fixed distances from the opening price.
• The reported combined results improve on both standalone versions, but the evidence is limited to one historical test.
• The article stresses that strategy execution and recognizing equivalent formulations matter during strategy development.

Tags

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