CAN SIMPLE BUY AND SELL RULES INCREASE INDEX FUTURE DAY TRADING PROFITABILITY?

Susana Yu and Joel Rentzler

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.