Swing high/low break and retest, 1:2 RR (15-minute)
Swing high/low break and retest with a 2R target on 15-minute Nasdaq 100 at the New York open, costs included. As posted it roughly broke even over five years (-2.5%, 30 of 61 months profitable). Tuned settings made +10% on six unseen months; skipping quiet markets looked better on past data and then lost 9%.
From r/Daytrading. The idea, in our words: Before the session opens, mark the recent swing high and low on 15-minute bars. When price closes beyond one, take the retest of that level in the break direction, stop beyond the retest swing, target 2R.
mixedAs posted · the rules as described (see what we assumed below)
Optimized: best settings Quant Core found · last months held back as unseen data
Improved: skip the quietest markets (volatility in its bottom 30%)
We then tried 8 changes a quant would test first (640 settings in all) and kept the best on past data only. The held-back months played no part in choosing it. It did not hold up on the unseen months.
What we had to assume
- No market given: Nasdaq 100 CFD at the New York open
- Swing level = the high/low of the prior 16 bars (the four hours before the bar)
- Trades from 9:45 (first candle excluded) to 12:00 New York; the retest must come within 8 bars of the break
- Target is a flat 2R (the 'next point of interest' is discretionary); one trade a day; the 3rd-rejection variant is not modelled
A different reading of the rules could give a different result.
Backtested with the StratOS optimizer on historical data, with spread and costs charged, and the most recent months held back as unseen data. A backtest is not a forecast, and nothing here is investment advice.