Before You Read
The system discussed here detects both manual and quantitative elements, leading it back to a hybrid category. The entire process—from development and backtesting to real-time implementation of the system—includes the consideration of commission costs for each trade, and all trades are conducted during Regular Trading Hours (RTH). For a better understanding of this article, we recommend that you read the following posts:
- Enhancing trading strategies with anchored VWAP: a comprehensive guide
- Maximize profits with range breakout trading strategies
- Understanding Maximum Adverse Excursion (MAE) and Maximum Favourable Excursion (MFE) in trading systems
Introduction
In the dynamic and volatile futures trading environment, finding a tool and strategy that fits the needs of traders with different levels of experience and capital can make the difference between success and failure. The MNQ contract, Micro E-mini Nasdaq 100, represents one of the most flexible and accessible options, offering high liquidity and the ability to manage risk in a more controlled manner. In this context, a breakout system, designed to exploit the explosive movements that occur when price breaks key levels, becomes an ideal strategy for maximizing profits. By applying this system on a range chart, we eliminate market noise and focus exclusively on significant price movements, allowing a clearer and more accurate interpretation of market dynamics.
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Hello Colleagues,
We are pleased to present a detailed analysis demonstrating the profitability of a breakout trading system on the MNQ futures contract. This analysis utilizes 144-tick range bars, a strategic choice that sets it apart from traditional time-based bars. The system was developed using data from the period of July 11th to July 15th, which provided a focused window for optimization.
Historically, this system has shown robust profitability with the MES futures contract, particularly when adjustments are made for profit targets, risk management, and volatility considerations. The selection of 144 ticks for the range bars is not arbitrary; it reflects the instrument's volatility over a specific period and its practical applicability in real trading scenarios.
This is a manual-quantitative system: while the settings, entries, and exits are determined on a discretionary basis, the money management strategy is quantitatively driven. Furthermore, the identification of the "range"—the rectangle that encapsulates a congestion—is also discretionary, adding a personal touch to the process. It is vital for those who want to study and learn this system to have the opportunity to verify it themselves. Though this process might seem stressful, it pays off in the long run.
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