Hi, I have been trading for a couple of years. I find trading ranges in forex, futures, commodities, crypto between Tokyo and London session is the most profitable strategy to trade. My robot makes around 30% return each month alone just by comparing highest and lowest range between Asian and European session.
For stocks, the range between premarket high/low and New York session I found to be the most reliable. However, there is little traffic and you have to discover the 1-2 most profitable stocks each day. Probably with a pre-market volume higher than 2x times the rel volume.
Anyway… Lets start with the fundamentals of this strategy.
We are looking at ranges between two sessions. It could be ranges between Asian and European markets on a daily basis. It could be a range from previous day to current day. Or it could be a range week to week.
The range is the forecast to the prediction model.
Any ticker, any period, any chart.
Lets start this journey!
Some illustrations to get this discussion going for today
Can you detail this strategy as you use it with the times and instruments you use it on? Your pictures don’t quite make sense because your script is using RSI but you don’t mention that. The latest picture is trading very differently to how I understand what you’re saying.
I trade ranges on FTSE100 but over a much longer time frame. It only makes maybe 20 or so trades per year but has a very high win rate. My exit criteria sucks though, I just close at the start of a new day if it’s in profit. I never really looked into what would constitute a good point to exit, just realised that the footsie very rarely breaks out and trends without retracing first
You could try using RSI for exit criteria. Or rmayb even SMI.
Strategy is pretty simple. I sell support levels if the London range starts higher than Tokoyo range. Vice versa. Around 4-5 rules around these levels.
If London close > Tokoyo. Buy the support levels.
If London close < Tokoyo. Sell the resistance levels.
Etc…
On 1 Minute with RSI criteria set pretty high around 18.
It works best on 1 Minute since 5 minute and 2 minutes these levels tend to be a bit distorted. The profit percentage is pretty low so the lot level pretty high. From around $500 profit I am paying maybe around $60 in comissions.
Works on any market that is 24 hours. Futures, FTSE100, Crypto, Forex etc.
On Stocks its a different game. Since the range I use is the Premarket Range and 9.30-10.30 as confirmation. More losing trades but greater profit. Only on large-cap stocks like APPLE, Netflix etc.
Sounds very similar to lots of what I do on several strategies both automated and manual. Some are breakout and some are range depending on what and when. I’ll try some back tests of this later in the week. I normally stay away from Tokyo session because it’s too slow
I’ll be cheering for you! 
