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.
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.