Breakout Scalper (Session) — Strategy by ParCorn
By ParCorn
Performance Metrics
- Author: ParCorn
- Symbol: AMEX:SPY
- Timeframe: 5 minutes
- Net P&L: +15.25 USD (+0.02%)
- Win Rate: 42.6%
- Profit Factor: 1.51
- Max Drawdown: 7.20 USD (0.01%)
- Total Trades: 122
- Sharpe Ratio: −37.449
Description
This is a twist on my on my Breakout Scalper strategy that limits trading to a user-configurable sessionFind the original "Continuous" version of the scalper here:The breakout scalper is based on "slow" and "fast" donchian periods. In this version, the "slow" donchian is in fact the Day's high/low. This important difference means that we will always be entering our trades at the day's high or low, so you are exposed to the price making new highs/lows but not to oscillations within the day's range.Furthermore, the scalper is modified to only enter trades after the start of the user-configured session. Any open trades are closed at the end of the user-configured session. The default session is set to 10:00 AM to 3:30 PM because that's when I like to trade.