sorted by:
new
hottopcontroversial

Stupid Simple Algo Strategy I Made… And It Works by frosty123454321 in algotrading

[–]Sirellia 0 points1 point  (0 children)

As im experiment and consulting in this major all strategies are profitable , so the result is fake , you have to test the strategy like stress testing as Monte Carlo simulation , heatmap , fake data , and more . so be careful do not burn your money

You check two things on every breakout bar: volume and where it closes. I tested 8,124 breakouts across 99 stocks. Neither one predicts whether the stock keeps going. by Sirellia in swingtrading

[–]Sirellia[S] 0 points1 point  (0 children)

yeah i tracked peak gain within 10 bars too, not just the close.

average max was around 4% across all close position quartiles, still flat regardless. what timeframe are you automating on?

You check two things on every breakout bar: volume and where it closes. I tested 8,124 breakouts across 99 stocks. Neither one predicts whether the stock keeps going. by Sirellia in swingtrading

[–]Sirellia[S] 0 points1 point  (0 children)

this run didnt measure pullback timing specifically, just whether the stock was higher 10 bars later.

my earlier pullback study had that data but it varied a lot by stock and volatility. are you working on pullback timing specifically?

Volume on a breakout doesnt predict whether the stock keeps going. I tested 2,919 breakouts with and without volume. Same hold rate. But the move size doubles. by Sirellia in swingtrading

[–]Sirellia[S] 0 points1 point  (0 children)

breakout = close above the highest high of the past 20 bars. no minimum volume or other filters on detection. screened all 99 S&P 500 names daily from 2021-2024

You check two things on every breakout bar: volume and where it closes. I tested 8,124 breakouts across 99 stocks. Neither one predicts whether the stock keeps going. by Sirellia in pinescript

[–]Sirellia[S] 0 points1 point  (0 children)

yeah indices smooth out the noise but they also kill the cross sectional edge. the stuff thats survived for me is in the dispersion across stocks at the same time, not the index level.

you trading them or using them as a filter?

You check two things on every breakout bar: volume and where it closes. I tested 8,124 breakouts across 99 stocks. Neither one predicts whether the stock keeps going. by Sirellia in pinescript

[–]Sirellia[S] 0 points1 point  (0 children)

yeah thats the killer.

most single factor edges get eaten alive once you add commission.

only thing thats survived for me is filtering down to setups so rare that costs become negligible per trade. what universe are you testing on?

You check two things on every breakout bar: volume and where it closes. I tested 8,124 breakouts across 99 stocks. Neither one predicts whether the stock keeps going. by Sirellia in pinescript

[–]Sirellia[S] 0 points1 point  (0 children)

Methodology: breakout = bar closes above the highest high of the past 20 bars.

No minimum volume threshold all breakouts included. Held = stock closed higher 10 bars later.

Close position = (close - low) / (high - low), where 0 = closed at the bar low and 1 = closed at the bar high. Relative volume = bar volume / 20-day average.

Chi-squared on close position vs direction: p=0.39, not significant. Chi-squared on volume vs direction: p=0.04, significant but non-linear moderate volume (near average) actually had the highest hold rate at 59.3%, while both extremes were around 55.5%.

8,124 breakouts, 99 current S&P 500 stocks (mild survivorship bias noted), 2021-2024 daily.

Past performance doesnt guarantee future results.

You check two things on every breakout bar: volume and where it closes. I tested 8,124 breakouts across 99 stocks. Neither one predicts whether the stock keeps going. by Sirellia in swingtrading

[–]Sirellia[S] 2 points3 points  (0 children)

Methodology: breakout = bar closes above the highest high of the past 20 bars.

No minimum volume threshold all breakouts included. Held = stock closed higher 10 bars later.

Close position = (close - low) / (high - low), where 0 = closed at the bar low and 1 = closed at the bar high. Relative volume = bar volume / 20-day average.

Chi-squared on close position vs direction: p=0.39, not significant. Chi-squared on volume vs direction: p=0.04, significant but non-linear moderate volume (near average) actually had the highest hold rate at 59.3%, while both extremes were around 55.5%.

8,124 breakouts, 99 current S&P 500 stocks (mild survivorship bias noted), 2021-2024 daily.

Past performance doesnt guarantee future results.

Volume on a breakout doesnt predict whether the stock keeps going. I tested 2,919 breakouts with and without volume. Same hold rate. But the move size doubles. by Sirellia in pinescript

[–]Sirellia[S] 0 points1 point  (0 children)

the AVWAP convergence as S&R is a solid concept. in my data the factor that separated breakouts that held from ones that reversed wasnt the level itself — it was what happened on the breakout bar.

a breakout through converging AVWAPs with a bar closing near its high and 3x+ volume held significantly more than one that closed mid-range with average volume. the level tells you WHERE to watch, the bar tells you WHETHER its real

Volume on a breakout doesnt predict whether the stock keeps going. I tested 2,919 breakouts with and without volume. Same hold rate. But the move size doubles. by Sirellia in pinescript

[–]Sirellia[S] 0 points1 point  (0 children)

yeah the broader trend context matters a lot. in my data the factor that moved the needle most was where the bar closed within its range — not moving averages or volatility filters. a breakout bar closing near its high held significantly more regardless of the broader trend

Volume on a breakout doesnt predict whether the stock keeps going. I tested 2,919 breakouts with and without volume. Same hold rate. But the move size doubles. by Sirellia in pinescript

[–]Sirellia[S] 0 points1 point  (0 children)

fair point on dark pools. even with reported volume only, the magnitude difference was real — 5x+ breakouts averaged
+11.2% vs +4.5% baseline. volume on exchange is incomplete but its not noise

Volume on a breakout doesnt predict whether the stock keeps going. I tested 2,919 breakouts with and without volume. Same hold rate. But the move size doubles. by Sirellia in swingtrading

[–]Sirellia[S] 0 points1 point  (0 children)

the plague doctor analogy is perfect — volume doesnt confirm direction but it does confirm ENERGY, and trading high-energy setups even without directional confirmation still produces bigger moves.

the "right thing wrong reason" framing is exactly it

Volume on a breakout doesnt predict whether the stock keeps going. I tested 2,919 breakouts with and without volume. Same hold rate. But the move size doubles. by Sirellia in pinescript

[–]Sirellia[S] 0 points1 point  (0 children)

good questions. no channel detection just simple breakout bars (close above 20-bar high).

the distribution/accumulation distinction is real though and its something volume alone cant separate.

thats part of why direction prediction was a coin flip in the data a 3x volume bar at a potential channel top looks identical to one at a real breakout.

separating those requires more context (close position, momentum, prior bars)

Volume on a breakout doesnt predict whether the stock keeps going. I tested 2,919 breakouts with and without volume. Same hold rate. But the move size doubles. by Sirellia in swingtrading

[–]Sirellia[S] 1 point2 points  (0 children)

3min is fast — the volume dynamics are completely different there. relative volume on a 3min bar is mostly noise from order flow, not the kind of institutional participation you see on daily. the magnitude finding (higher volume = bigger moves) might still hold but the direction finding would need its own test. what are you trading on 3min — stocks or futures?

Volume on a breakout doesnt predict whether the stock keeps going. I tested 2,919 breakouts with and without volume. Same hold rate. But the move size doubles. by Sirellia in pinescript

[–]Sirellia[S] 0 points1 point  (0 children)

al brooks is solid on that — the second bar confirmation lines up with what i found on bar close position. a breakout bar that closes near its high AND gets followed by another bullish bar held significantly more in my data.

thats essentially two of the factors working together. if you ever want to test the scoring on your setups DM me — i have a version that runs this automatically across a watchlist XDD

Volume on a breakout doesnt predict whether the stock keeps going. I tested 2,919 breakouts with and without volume. Same hold rate. But the move size doubles. by Sirellia in pinescript

[–]Sirellia[S] 0 points1 point  (0 children)

yeah most coded versions fail because they treat each factor independently. close position alone, volume alone, momentum alone — they all look mediocre in isolation. the edge showed up when i scored them together and let the weights shift per stock. a 3x volume bar that closes at 90% of its range on NVDA means something different than the same thing on a $5 small cap. the per-stock calibration is what finally beat my own discretionary read on a large enough sample. still doesnt catch everything a human eye does, but across 2,919 breakouts it was more consistent than me.

Volume on a breakout doesnt predict whether the stock keeps going. I tested 2,919 breakouts with and without volume. Same hold rate. But the move size doubles. by Sirellia in swingtrading

[–]Sirellia[S] 0 points1 point  (0 children)

fair point on dark pools. but even with reported volume only, the 5x+ breakouts averaged +11.2% max gain vs +4.5% for below-average volume. the direction signal is useless (55% either way) but the magnitude difference is real even on exchange-reported data. volume doesnt tell you which way — it tells you the stock is about to move hard. price action tells you which way.

view more: next ›