Algofutures posted a strategy that may provide a seed for a more complete strategy.
- Forward ES contract | 5 minute bar chart
- Enter from 1:40 p.m. to 2:40 p.m.
- Price must be greater than prior day’s 4:00 p.m. EST close.
- There is a pivot low where the bar that creates the pivot low closes up.
- Enter market on next bar.
- Place a Stop Loss 10 ticks below entry price.
- Place a Profit Target 18 ticks above entry price.
- If neither Profit Target or Stop Loss is hit by 3:59:50 p.m. EST, close trade at the Market.
- Test Period : 19-AUG-10 thru 21-OCT-11
Source : Algofutures
Some obvious question marks, but interesting concept nonetheless.
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