Dow 15-Minute Breakout Using an Opening Range and Stop Orders

Summary

The document presents a Dow breakout system that builds a daily price range from 15-minute bars, beginning after the initial 15-minute candle. It derives upper and lower stop-entry levels from that range when price has moved sufficiently away from its extremes. The described rules cap the range size, require a minimum distance between entry levels, use fixed position size by default, and set a maximum loss per position. Positions are closed on an opposing level or at the end of the trading window; selected holidays are excluded.

The author reports using an in-sample and out-of-sample approach over June 2009 to May 2014 and gives the stated stake, starting balance, and spread assumptions. The author also notes live testing at minimum stakes, while acknowledging that other timeframes were not tested. These details do not establish robustness: the document gives no complete performance statistics here, and results may depend on the instrument, data, execution costs, timezone settings, and implementation.

Key ideas

• The strategy uses a daily range built from 15-minute bars after excluding the first candle.
• It places stop entries near the range extremes when range and distance conditions are met.
• Position size is fixed by default, with a reinvestment option described by the author.
• An opposite level can exit a position, and a maximum loss rule limits per-trade risk.
• The author reports a June 2009 to May 2014 test but says other timeframes were not evaluated.

Tags

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