Buy When S&P 500 Hits New Intraday High? (Exploring Intraday High Breakout Trading Strategy)

Rob Hannah has published a potential strategy on his blog Quantifiable Edges. The strategy buys when the S&P 500 makes a new high.

I put a twist to it and made the following strategy:

Trading Rules

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1. Today’s intraday high must be higher than the previous day’s five-day high.
2. The IBS must be lower than 0.15.
3. Exit when today’s close is higher than yesterday’s high.
4. Both entry and exit are on the close (open is 0830 Chicago time and close is 1500 Chicago time).

Very simple rules (I believe in simplicity in trading).

ES mini (Globex) has had 79 trades from 2005 until June 2017. The average is 519 USD per contract.

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Here is the equity chart:

The details:

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FAQ:

– What is the strategy based on the S&P 500 making a new high?

The strategy mentioned in the content involves buying when specific conditions are met following a new high in the S&P 500. This approach aims to capitalize on upward momentum in the market.

– What specific entry conditions are required for the trading strategy?

The entry conditions for this trading strategy are as follows: Firstly, today’s intraday high must surpass the previous day’s five-day high. This requirement suggests that the market is experiencing a short-term upward trend. Secondly, the Internal Bar Strength (IBS) must be lower than 0.15, which could indicate a potential entry point when the market is not overbought.

– When does the trading strategy make its entry and exit decisions?

This strategy operates with a simple rule for execution. Both entry and exit decisions are made at the market’s closing time. The market opens at 08:30 Chicago time and closes at 15:00 Chicago time.