每日范围策略 (daily range Strategy)

I think I have found a very good strategy and was wandering if I could have some thoughts on this…. You know someone to play Devils Advocate J .

I was sat down last night thinking about the daily range of the market and started to wander if there was some sort of relationship between where the market starts 00:00am gmt and where it finishes. For example if the market goes 50 points one way then how often does it retrace and how often does it carry on going for its 100-150 pip daily range.

So I pulled up some daily data on the cable market and started back testing. I have now back tested to May 2006 and will carry on going but here are my rules.

If the market goes 50 points in any one direction from the price it was at at midnight gmt. Then enter the trade with a 30 point limit order and a 30 point stop loss.

This so far on Cable has given me 1500 points since the beginning of May. This looks good to me but am I missing something that is fundamentally or technically wrong with such an approach?