Opening Gap Strategy

Investment Summary
The Opening Gap Strategy buys when instrument gaps up and shorts when it gaps down aiming at capturing the momentum in intraday time frame. The strategy is applied to futures and currencies.

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Investment Performance
Investment Return (?):13.50%Volatility (?):9.50%Sharpe Ratio:1.40Maximum Drawdown:-8.50%
Investment’s Fundamental Concept:
Opening Gap strategy buys when instrument gaps up and shorts when it gaps down aiming at capturing the momentum in intraday time frame. The strategy works on futures and currencies. The Dow Jones Stoxx 50 index futures (FSTX) is used to create an opening gap strategy.
Investment’s Logic:
Opening Gap strategy buys when instrument gaps up and shorts when it gaps down aiming at capturing the momentum in intraday time frame. The strategy works on futures and currencies. The Dow Jones Stoxx 50 index futures (FSTX) is used to create an opening gap strategy.

This strategy is applicable to other futures as well.

Other Investment Strategy Characteristics:
Investment Type:Momentum StrategyInvestment Risk:2/5 LowBacktest Range:30-40 yearsRebalancing period:Daily
Investment Strategy Markets:
  • Dow Jones Stoxx 50 index futures (FSTX)
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