StockSharp.Strategies.0002_NDay_Breakout

NDay Breakout (C# Version)

N-day high/low breakout strategy N-day breakout looks for new highs or lows over the given period. Entries occur when price pierces the latest N-day high or low, anticipating momentum. A moving-average filter and percentage stop manage exits.

Testing indicates an average annual return of about 43%. It performs best in the stocks market.

By waiting for the prior extreme to break, the system attempts to catch the start of a directional move. Filtering by a trend-following average helps avoid false signals that arise during consolidation.

Details

• Entry Criteria: Signals based on MA.
• Long/Short: Both directions.
• Exit Criteria: Opposite signal or stop.
• Stops: Yes.
• Default Values:
  • LookbackPeriod = 20
  • MaPeriod = 20
  • StopLossPercent = 2.0m
  • CandleType = TimeSpan.FromDays(1)
• Filters:
  • Category: Breakout
  • Direction: Both
  • Indicators: MA
  • Stops: Yes
  • Complexity: Basic
  • Timeframe: Daily
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium