![Day Trading Volatility Breakouts Systematically [All Rules Included]](/content/images/size/w1280/format/webp/2024/10/breakout-portfolio.jpg)
One of my primary approaches that I actively trade live within my systematic portfolios is intraday momentum trading. To implement this strategy effectively, I utilize Exchange-Traded Funds (ETFs) and futures contracts, as they offer greater efficiency on margin.
Below is the equity curve from a backtest conducted on the following markets:
- SPY (SPDR S&P 500 ETF Trust)
- IWM (iShares Russell 2000 ETF)
- QQQ (Invesco QQQ Trust)
- GLD (SPDR Gold Shares)
- USO (United States Oil Fund)
- DIA (SPDR Dow Jones Industrial Average ETF Trust)
Standard commissions from Interactive Brokers are included in the results. The backtests were performed using 1-minute interval data. I personally trade this strategy live and achieve similar performance characteristics.
Backtest Results
The backtest, spanning from 2018, encompasses a robust sample of 9,023 trades. Each trade is initiated with a strict stop-loss mechanism. By risking 0.33% of the account per trade, the strategy yields an annual return of 27%, with a maximum drawdown of -32%. The Sharpe ratio stands at 1.04, indicating a favorable risk-adjusted return.
Description of Trading System Rules and Live Trading Experience
The system employs a straightforward volatility breakout strategy. The specific rules for this model are as follows:
