Best Day Trading Strategies: Proven Techniques and Insights
Most day traders use intraday data when backtesting and trading, for example, 5 mins or hourly data, but in this example, we’ll use daily bars. The reason for this is simplicity — it’s much easier to both backtest and trade using daily bars. Day trading with daily bars is smart and in most cases better (!).
We backtest the following trading rules:
We short at the open on the last trading day of the month (not a calendar day, but a trading day).
We cover at the close
We backtest the Russell 2000 futures (@RTY) from 2000 until the end of 2021 and we use 2022 as our out-of-sample backtest. We use the trading hours from 0830 to 1500 local Chicago time.
This is how the strategy performed up until 2022 (Shown below)
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/day-trading-strategies/