Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 861: Day trading returns across volatility states

Christian Lundström ()
Additional contact information
Christian Lundström: Department of Economics, Umeå School of Business and Economics, Postal: Umeå University, S 901 87 Umeå, Sweden

Abstract: This paper measures the returns of a popular day trading strategy, the Opening Range Breakout strategy (ORB), across volatility states. We calculate the average daily returns of the ORB strategy for each volatility state of the underlying asset when applied on long time series of crude oil and S&P 500 futures contracts. We find an average difference in returns between the highest and the lowest volatility state of around 200 basis points per day for crude oil, and of around 150 basis points per day for the S&P 500. This finding suggests that the success in day trading can depend to a large extent on the volatility of the underlying asset.

Keywords: Contraction-Expansion principle; Futures trading; Opening Range Breakout strategies; Time-varying market inefficiency

JEL-codes: C21; G11; G14; G17

33 pages, First version: June 17, 2013. Revised: March 3, 2017. Earlier revisions: June 12, 2014.

Full text files 

194520_ues861.pdf PDF-file

Download statistics

Questions (including download problems) about the papers in this series should be directed to David Skog ()
Report other problems with accessing this service to Sune Karlsson ().

RePEc:hhs:umnees:0861This page generated on 2024-09-13 22:17:26.