Ranging Trading Strategies (NR7) Since 1990
No better than luck
Small profit, too noisy to call an edge
- trades tested
- 482
- per trade after costs
- +7.22bp
- winners
- 70%
- years of data
- 15.9
NR7 on SPY daily bars: when today's high-low range is the narrowest of the last 7 days (today plus the previous 6), buy at the close. Sell at the close of the first day whose close is higher than the previous day's high.
The exact rules we tested
- 01Instrument: SPX | Signal timeframe: 1d | Direction: long
- 02LONG when: rng <= rnglow7
- 03Entry: market at the signal bar's close
- 04Stop: none (as taught - the trade closes only on its exit rule)
- 05Entry fills at the signal bar's close (market-on-close)
- 06Exit signals fill at that bar's close (market-on-close)
- 07Exit longs when: close > yhigh
- 08Where rng = high minus low