First 5-minute range breakout strategy?
Author: gchudublin
Creation Date: 1/17/2017 1:03 PM
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gchudublin

#1
Version 1) Take the range of the first 5 min candle. Whenever the stock price breaks the high, including the wick of the first 5 min candle, you're in. Your stop is the bottom of the 5 min candle. You size accordingly. If that range is 50 cents and you want to risk $100, then you will buy 200 shares. Follow up with the stops in whatever way you feel comfortable.

Version 2) Same 5 min candle entry. Stop is 2x the range of the 5 min candle. So if the range is $1, then the stop is $2 away. Size accordingly. If you want to risk $100, then you're buying 50 shares.

Please show me the code to implement. How to get the 1st 5 minutes bar at 9:35 AM, get the top and bottom price and calculate range, the get 9:36 AM bar, if break 9:35 bar high, place a buy at market with 100 shares. I will work on stops later.

Also need to handle a list of may be less than 10 stocks.
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Eugene

#2
Let's zero in on Version 1 at first and get to Version 2 as you make progress.

QUOTE:
Take the range of the first 5 min candle. Whenever the stock price breaks the high, including the wick of the first 5 min candle, you're in.


Since this idea is nothing new, there are examples of similar strategies to pick up from our gallery and to adjust to your taste:

First Hour Breakout + MA system
Intraday Breakout system

QUOTE:
You size accordingly. If that range is 50 cents and you want to risk $100, then you will buy 200 shares.


And your resources are:

1. Wealth-Lab User Guide > Reference > Data Panel > Position Size Control > Portfolio Simulation Mode > Max Percent Risk
2. QuickRef (F11 key) > RiskStopLevel.
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Cone

#3
Here's a freebie for you. Assumes 5-minute bar chart.

1. Switch between version 1 and 2 using the Strategy Parameter slider.
2. The strategy permits only 1 trade per day.
3. Flattens position at close of the day.
4. The [bollinger band] trailing stop activates after the "BB Period" number of bars.
5. Use the "Max Percent Risk" sizing option. For example, if your Portfolio size is $10,000 and you want to risk $200, then enter 2% for the Max % Risk size See User Guide for details.

NOTE! Requires Community.Components extension.

CODE:
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