Range: high of the first 50 minutes (6:30–7:20 AM PT, the 7:20 bar included) ·
Entry: buy when that high breaks, only before 9:00 AM PT; no break, no trade ·
Exit: the close, same day · SPY, QQQ, IWM
Nestor's rule. Not yet specified, assumed here: long only, no stop loss, one entry per day, fill at the range high
(or the bar's open if price gaps through it), exit at the last 1-minute bar's close.
Data: Yahoo 1-minute bars, unofficial, about 30 days of history (that's all Yahoo keeps). Research only, not a trading signal; no costs or slippage.
Source: Gary Smith, How I Trade for a Living (1999), ch. 16: his favorite pattern, "breakout to new highs." Gary Smith's version ▸
Smith only bought when the rest of the market agreed. The market check on each trade compares the Dow, Transports, S&P 500 and Nasdaq at the moment of the buy (his p. 210 rule: S&P and Nasdaq at least as strong as the Dow = agrees; weaker = disagrees). He also watched NYSE TICK and TRIN, which Yahoo doesn't carry.
He often held winners overnight (p. 208); the 10-year table shows that exit too. He wrote (p. 204) that his mechanical versions "lost much if not all of their effectiveness in the late 1990s because of increased market volatility."