This is simple, but an effective strategy idea in the 30-year Bond futures market. It is based on a price reversion entry signal with a range-based target entry price. For this edge, you can use an 8-day exit with a stop loss. You can further test this entry idea with different filters to improve results.
Here is the strategy logic. (Are you interested in code and workspace for Tradestation?)
- Today’s close should be lower than or equal to yesterday close, then we buy next bar at target price or higher Target Price: Close + (Range * 0.1)
- If today’s close is more than or equal to yesterday close, then sell short next bar at the target price. Target Price: Close – (Range * 1.3)
- Exit after 8 days.
- Exit if open position loss is greater than $3,000