This Strategy idea is based on the Distribution of Range, and here is how it’s used. When (if) the today’s range is higher than the past 11 day’s range distribution, you buy the next bar at the market.
In order to have an idea about market direction, here I used the change of Close as well. If the market direction is to the short side, go for a short sell.
As seen in the results below, this is a very useful edge, producing desirable results. And if you want to improve these results, all you have to do is test this with different exits.
Here is the strategy logic. (Are you interested in code and workspace for Tradestation?)
- Today’s range should be more than its 11 days Average+(StdDev*2)
- If today’s close is more than its 8 days back value, then we buy next bar at the market.
- Reverse entry for sell short next bar at the market.
- Exit after 23 days.