Can Simple Buy and Sell Rules Increase Index Future Day Trading Profitability?

Susana Yu and Joel Rentzler

Volume 2, Number 1, First Quarter 2004

Day trading index futures is popular. Two common strategies are trend-following and gap-reversal. This paper uses these strategies as “base strategies” and asks whether simple intraday exit rules can increase their profitability. Intraday stop-loss exit rules appear to add return to a trend-following base strategy of buying index futures at the opening and closing out the position at the close. There is no strong evidence that the same is true of profit-lock exit rules or that either works with a corresponding gap-reversal strategy.