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Daily Previous-Range Breakouts with One Trade per Direction

Article Strategy library · Author: ChaoZhang
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Summary

This daily breakout system uses the previous trading day's high and low as reference levels. A close above the prior high signals a long trade, while a close below the prior low signals a short trade. Flags limit entries to one trade in each direction per day and reset at the start of a new day. Each position receives a fixed take-profit and stop-loss, both set to 50 points from the entry reference in the described implementation.

The document provides BTC/USDT futures backtest settings spanning December 2019 to December 2024, but it includes no performance results. It identifies false breakouts, choppy markets, fixed stops that may not suit changing volatility, and slippage as risks. The source comments refer to New York time and a US 30 instrument, while the published backtest settings specify BTC/USDT futures; that mismatch makes the intended market and daily boundary worth verifying. The suggested refinements include volatility-adjusted stops, trend or volume filters, trading-hour restrictions, and position sizing tied to risk.

Key ideas

  • The strategy trades closes beyond the previous day's high or low as long or short signals.
  • It allows at most one breakout and one breakdown trade per day, resetting the flags each day.
  • The implementation sets symmetric 50-point take-profit and stop-loss levels.
  • Published BTC/USDT futures test settings are given without performance results.
  • The source's US 30 and New York-time references do not align clearly with the BTC/USDT test settings.

Tags

BreakoutFuturesCryptoRisk managementBacktesting

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