BarRange Strategy by nkrastins95
By nkrastins95
Performance Metrics
- Author: nkrastins95
- Symbol: CME_MINI:ES1!
- Timeframe: 2 hours
- Net P&L: +21,052.50 USD (+2.11%)
- Win Rate: 61.7%
- Profit Factor: 1.572
- Max Drawdown: 3,920.00 USD (0.39%)
- Total Trades: 162
- Sharpe Ratio: −0.421
Description
Hello,This is a long-only, volatility-based strategy that analyzes the range of the previous bar (high - low).If the most recent bar’s range exceeds a threshold based on the last X bars, a trade is initiated.You can customize the lookback period, threshold value, and exit type.For exits, you can choose to exit after X bars or when the close price exceeds the previous bar’s high.The strategy is designed for instruments with a long-term upward-sloping curves, such as ES1! or NQ1!. It may not perform well on other instruments.Commissions are set to $2.50 per side ($5.00 per round trip).Recommended timeframes are 1h and higher. With adjustments to the lookback period and threshold, it could potentially achieve similar results on lower timeframes as well.