Volatility Breakout

Strategy overview


This strategy is based on a price breakout pattern. It daily monitors hundreds of stocks to spot the ones that have been forgotten by investors and are starting to make a move up. In this case, the strategy invests in these stocks generating income as the price increase and explodes when they are discovered by the investors mass.

This strategy is slightly more volatile because of the early entry when the price starts to make a move up, therefore there is a bit more risk involved but also a larger expected return.

  • Annual Return: 24.48% (S&P500 return 13.3%)
  • Largest DrawDown: -18.4% (S&P500 DrawDown -18.64%)
  • Sharpe: 2.5

Is this strategy right for you?

This is a low volatility – high return strategy for long term investors, suitable for traders who wish to beat the market in the long run.


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Strategy performance


Check out the facts and figures behind this trading strategy

$4,161.71

Last 3 Months Gain

2.32%

Last 3 Months %

$22,349.83

Last 6 Months Gain

13.86%

Last 6 Months %

Volatility Breakout

Universe:
NASDAQ 100 Components

Entry:
Rank all symbols according to latest range trading, the narrower the better, take only the top 20%
Open Long If EMA(25) > EMA(50) and EMA(50) > EMA(120)

Exit:
Close Long If EMA(25) < EMA(50) or EMA(50) < EMA(120)