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.