Periodic Range Breakouts with Cumulative-Loss Martingale Sizing
Summary
The strategy uses the close at a chosen hour and weekday as a reference price. It buys or sells when price moves beyond a user-set fraction of the average daily range, with stop-loss and take-profit distances also defined as fractions of that range. The document describes a periodic range-breakout entry rule rather than providing details about the market or instrument used.
Its money-management scheme increases exposure after losses and includes accumulated prior losses in the next trade’s stop and target calculations, aiming to recover them quickly. The source lists a backtest period of 2019–2020 and a parameter tuple, but gives no performance metrics, market, validation method, or account-level risk analysis. The approach is explicitly characterized as risky: a run of consecutive losses can compound exposure, and recovery depends on the strategy’s assumptions and available capital. The stated backtest information is too sparse to establish that the method has a durable edge.
Key ideas
- A selected hourly close on a selected weekday serves as the breakout reference.
- Entries occur when price exceeds a chosen portion of the average daily range.
- Stop and target distances are also specified relative to that range.
- After losses, the sizing scheme accounts for cumulative losses in the next trade’s levels.
- The cited backtest period and parameters do not provide enough evidence to assess profitability or risk.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.