BarRange Strategy

11월 13일

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.