A Profitable Day Trading Strategy For The U.S. Equity Market
This study assesses the 5-minute Opening Range Breakout (ORB) strategy for day trading, analyzing over 7,000 US stocks from 2016 to 2023. It highlights a 1,600% net gain and a Sharpe ratio of 2.81 with high-activity stocks, offering a novel insight into specific intraday stock performance.
The impact of commissions
To effectively evaluate the impact of slippage on a trading strategy, the most reliable method involves placing real market orders and comparing the execution prices against a reference price. Yesterday, we executed over 350 random market orders on SPY, with transactions exceeding $30 million in notional value. This test was carried out using a newly […]
The Art of Financial Illusion: How to Use Martingale Betting Systems to Fool People
This paper explores the use of the Martingale system in financial scams, tracing the evolution of fraud from coin clipping to Ponzi schemes. It uses statistical analysis to show how these scams falsely promise high returns, aiming to help investors and regulators recognize and prevent such tactics.
Volume Weighted Average Price (VWAP) The Holy Grail for Day Trading Systems
This paper examines a VWAP-based day trading strategy using QQQ and TQQQ from January 2018 to September 2023. It demonstrates how this strategy significantly outperforms the passive buy-and-hold approach, turning a $25,000 investment into $192,656 with QQQ and $2,085,417 with TQQQ. The strategy shows robust returns with lower risk, illustrating VWAP’s effectiveness in diverse market conditions.
Can Day Trading Really Be Profitable?
This paper analyzes the Opening Range Breakout (ORB) strategy in day trading from 2016 to 2023, including during volatile market conditions. It compares the performance of an ORB strategy using QQQ and leveraged ETFs like TQQQ against a passive QQQ investment. Results show that the ORB strategy, even with leverage constraints, significantly outperformed passive investing, yielding a 1,484% return compared to 169% for QQQ, demonstrating its potential for high returns in day trading.