RangeBreak Intraday Breakouts and Volatility-Based Refinements

Summary

This document describes RangeBreak, an intraday breakout method that centers trading levels on the current day’s open and offsets them by a multiple of the previous day’s high-low range. A move above the upper level signals a long entry, while a move below the lower level signals a short entry; positions are closed near the end of the session. The multiplier is adjustable, with a stated range of 0.1 to 1.5. The article suggests using ATR instead of a single day’s range and separate multipliers for upper and lower levels to adapt to market characteristics.

A backtest on the dominant thermal coal futures contract, using an index for market data, covers June 2015 through June 2019 and assumes two ticks of slippage per side and twice the exchange fee. The account curve is described as performing well in smooth trends but suffering local drawdowns during prolonged choppy markets. The strategy is trend-following and vulnerable to false breakouts in ranges; results are tied to the specified instrument and historical period, without detailed numerical performance statistics.

Key ideas

• The strategy sets breakout thresholds around the current session open using the prior session’s range.
• Crossing the upper or lower threshold triggers a directional position, which is closed near session end.
• The range multiplier can be tuned, and ATR is offered as an alternative volatility measure.
• The reported futures backtest performed better in smooth trends than in extended choppy conditions.
• Separate upper and lower multipliers are proposed to reflect asymmetric market behavior.

Tags

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