{"id":40890434,"date":"2024-07-04T11:48:44","date_gmt":"2024-07-04T06:18:44","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890434"},"modified":"2024-07-04T11:48:44","modified_gmt":"2024-07-04T06:18:44","slug":"standard-breakout-strategy","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2024\/07\/04\/standard-breakout-strategy\/","title":{"rendered":"Standard breakout strategy"},"content":{"rendered":"\n<p>The book <em>Following the Trend: Diversified Managed Futures Trading, Andreas Clenow<\/em>, describes a simple &#8220;breakout&#8221; strategy:<\/p>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<p>If today\u2019s close is higher or equal to the highest close in the past 50 days, we buy tomorrow; if the close is below or equal to the lowest close for the past 50 days, we sell open tomorrow and go short. A similar logic is used to get out of positions, where a long trade is sold when the close reaches the lowest point in 25 days and a short trade is covered when the price makes a 25-day high.<\/p>\n<\/blockquote>\n\n\n\n<p>The book was published more than a decade ago and traders would&#8217;ve moved on from the basic strategy it described. However, we were curious if it ever worked at all on Indian indices. So, we ran a backtest.<\/p>\n\n\n\n<p>Turns out, it never did.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/technical\/standard-breakout\/sbb.NIFTY%2050.50x25.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>Layering a trend filter seems to help a little.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/technical\/standard-breakout\/sbb-sma.NIFTY%2050.50x25.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>While the strategy avoids some really steep drawdowns, the backtest doesn&#8217;t consider trading costs, taxes, etc.<\/p>\n\n\n\n<p>While you could data-mine and get to a bunch of parameters that might work for &#8220;trading breakouts&#8221;, there is no reason why it should continue to work in the future.<\/p>\n\n\n\n<p>Code and charts for other indices are on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/technical\/standard-breakout\" data-type=\"link\" data-id=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/technical\/standard-breakout\">github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>The book Following the Trend: Diversified Managed Futures Trading, Andreas Clenow, describes a simple &#8220;breakout&#8221; strategy: If today\u2019s close is higher or equal to the highest close in the past 50 days, we buy tomorrow; if the close is below or equal to the lowest close for the past 50 days, we sell open tomorrow &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[2761,3793],"class_list":["post-40890434","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-quant","tag-trend-following","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890434","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40890434"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890434\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890434"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890434"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890434"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}