Trading High-Range Bars with a Long-Only Strategy

Summary

This strategy uses unusually wide bars to time long entries. It calculates each bar’s high-to-low range and ranks it against the preceding lookback window. When the range reaches the stated upper percentile threshold and the bar closes below its open, the strategy enters long. An alternate entry condition removes the down-close requirement. The default exit is after one bar, with an alternative based on the close moving above the previous bar’s high.

The document describes the rules and settings but provides no performance results or supporting backtest evidence. The author suggests use on instruments with a long-term upward price tendency, recommends hourly or higher timeframes, and notes that results may differ on other instruments. The code sets a 50-bar lookback and a 95th-percentile threshold, while the description says these can be adjusted. Commissions are stated as $2.50 per side. These rules alone do not establish profitability; results will depend on instrument, timeframe, execution costs, and parameter choices.

Key ideas

• The strategy identifies unusually large bars by ranking high-to-low ranges over a rolling lookback window.
• A long entry requires a high-ranked range and, by default, a close below the open.
• The default exit closes the position after one bar, with a prior-high rule offered as an alternative.
• The author presents the method for upward-trending instruments and cautions that it may not suit others.
• The document gives no performance statistics or backtest results.

Tags

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