My Simple 5 Minute "First Candle" Scalping Strategy (Backtested 1000 Times)
Loses money
No edge after realistic trading costs
- trades tested
- 3,942
- per trade after costs
- -2.77bp
- winners
- 32%
- years of data
- 15.9
One Box Scalper: box the high and low of the first 5-minute candle after the 09:30 New York open, wait on the 1-minute chart for a candle to close outside the box, then wait for a retest back into the box and enter in the breakout direction on a confirming candle (hammer/shooting star or a big engulfing candle). Stop beyond the entry candle, fixed 2R target, only during the first 90 minutes.
The exact rules we tested
- 01Instrument: SPX | Signal timeframe: 1m | Direction: both
- 02Session: 09:30-16:00 (exchange tz), flat at session end
- 03No new entries after 11:00
- 04At most 1 trade(s) per day
- 05LONG sequence: 1. [close > box.high] just became true this bar THEN 2. low <= box.high (within 60 bars) THEN 3. ([low <= box.high] on any of the last 3 bars) AND (close > box.high) AND (close > open) AND ((close > prevhigh) OR (lowerwick_frac >= 0.5)) (within 30 bars)
- 06SHORT sequence: 1. [close < box.low] just became true this bar THEN 2. high >= box.low (within 60 bars) THEN 3. ([high >= box.low] on any of the last 3 bars) AND (close < box.low) AND (close < open) AND ((close < prevlow) OR (upperwick_frac >= 0.5)) (within 30 bars)
- 07Entry: market at next bar open
- 08Stop: signal bar low/high
- 09Target: 2.0R (risk-multiple of stop)
- 10Where bodylow = the lower of open and close
- 11Where bodyhigh = the higher of open and close
- 12Where lowerwick = bodylow minus low
- 13Where upperwick = high minus bodyhigh
- 14Where rng = high minus low