In this post, we are going to discuss a volume breakout trading strategy which scans for stocks which breaks out of a price range with high volumes. This is a very simple strategy with no fancy indicators, however the profitability is quite impressive. This works on majority of liquid and high beta stocks that we have tested. We have a coded an AFL for this strategy and back-tested it on Banknifty futures traded at NSE. The compounded annual return is around 23% for the last 11 years backtest period.
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Volume Breakout Trading Strategy – AFL Overview
|Position Size||120 Quantities|
|Brokerage||100 per order|
Volume Breakout Trading Strategy – AFL Code
Click here to download the AFL code for this system.
Volume Breakout Trading Strategy – Backtest Report
|Scrip Name||NSE Banknifty|
|Backtest Period||25-Aug-2005 to 17-June-2016|
|Net Profit %||886.88%|
|Annual Return %||23.09%|
|Number of Trades||78|
|Winning Trade %||37.18%|
|Average holding Period||19.28 periods|
|Max consecutive losses||10|
|Max system % drawdown||-34.03%|
|Max Trade % drawdown||-75.56%|
This volume breakout trading strategy has been profitable on all the years except 2015 and 2012.
Additional Amibroker settings for backtesting
Goto Symbol–>Information, and specify the lot size and margin requirement. The below screenshot shows lot size of 40 and margin requirement of 10% for NSE Banknifty:
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