Potential breakout on Nasdaq-100 Index ETF (QLD) to the upside

20 Jul 2020

A systematic breakout strategy designed to capture short-term trends with an average holding period of 7 days.

Place Buy Stop at 175.38, If done place Stop Loss at 161.35.
If orders are not filled, cancel orders at the end of the trading session.

Legend:
DC(5) Up := Donchian Channels upper band (5 length).
DC(6) Low := Donchian Channels lower band (6 length).
IntStp(8%) := Initial Stop Loss set at 8% below entry price.
PFZone := Exit/profit taking indicator (green diamond).

Entry Rules:
1. Place a Buy Stop at the DC(5) Up Price.
2. If buy stop is filled, place the IntStp(8%).
3. However, if orders are not filled, cancel orders at the end of the trading session.

Exit Rules:
1. At the close of the trading session, if the DC(6) Low is higher then the IntStp(8%), than adjust stop loss to the DC(6) Low price.
2. However, If IntStp(8%) is above the DC(6) Low, then use the IntStp(8%).
3. If the PFZone has been triggered then exit at market on open at the next trading session.

Notes:
The Profit Zone indicator is a proprietary indicator designed to improve the performance as an alternative exit rule.
However, the strategy is a stand-alone system and does not require the profit zone indicator.

Backtest results without the PFZone indicator:
tinyurl.com/y3ln3pcp
tinyurl.com/yydnlhqb

21 Jul 2020

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