Opening Range Breakout Intraday System

[tradingdde]

Please give a look to this strategy based on a mix among Larry Williams, Toby Crabel and Linda Bradford studies.
_______________________

Basic rules for futures 5 min charts:

Enter rules
- Wait for a daily compression (ex NR1, IdNR4)
- Wait for an Opening Range Breakout (intraday price goes over(under) the Day Open+(-) a percentage)
- Enter on the retracement on a 9 period moving average

Exit on daily close
Protective Stop %
Trailing Stop based on 100 Mov Avg

Attached you find TradeStation backtest on the Italian future in the last 9 years 5min data.
Is anyone studying similar strategies on other futures; Does anyone want to share experiences on these subjects?

 

[pedro01]

Looks interesting - is that the results for the whole 9 years ?

What symbol did you run it on ?

If you are getting out at end of day, you might want to aggressively trail after 3pm as the market can hand a lot back at that time.

There's a public domain ORB strategy that has some interesting exit methods that change as the trade moves along and then again towards the end of the day.

 

[tradingdde]

Looks interesting - is that the results for the whole 9 years ?

What symbol did you run it on ?

If you are getting out at end of day, you might want to aggressively trail after 3pm as the market can hand a lot back at that time.

There's a public domain ORB strategy that has some interesting exit methods that change as the trade moves along and then again towards the end of the day.

Hi Pedro

this is the result for the 9 years.
I am testing this strategies on European futures like EuroStock, Dax and SPmib.

The one backtested in the attached report is the Italian Mini Spmib which operates from 9am to 5.40pm.

The strategy is formatted to trade 1 contract at time with no position management but in real life I trade with at least 2 contracts.

Backtests tell me to stay in after 2pm and to maintain the trade until the close, but, in real life, this costs me some headaches after lunch: so exits are exaclty what I am trying to improve.
I will go on posting my thoughts here about this issues: a clue should come!

 

[FXCode]

Breakout system generally just stop working after a period of time..
Mind taking the risk that it will be this time?

Support and Resistance are much better signals, in my opinion.

 

[TheBramble]

Breakout system generally just stop working after a period of time..

More a case of them working as often as they don't.

Support and Resistance are much better signals, in my opinion.

They're useful additional guidelines.

But are you improving your overall probabilities be adding in more techniques with less than 100% probability themselves, or are you decreasing it?

 

[tradingdde]

Breakout system generally just stop working after a period of time..
Mind taking the risk that it will be this time?

Support and Resistance are much better signals, in my opinion.

I think you're right and I normally backtest my sistems on 7-9 years of intraday data just in order to avoid what you say.
I think there is a big difference between general breakout systems (e.g. channel breakouts, bollinger bands in "trend mode") and Open Range Breakout sysytems.

Applying ORB tecniques I try to catch an intraday market behavior that is always the same, no matter what timeframe and period of time you consider.
The problem is that ORB tecniques work better in the US market, because there is no 2.30pm volatility increase: so I still need to find the right trailing strategy for European futures.

 

[ronfalcone]

Please give a look to this strategy based on a mix among Larry Williams, Toby Crabel and Linda Bradford studies.
_______________________

Basic rules for futures 5 min charts:

Enter rules
- Wait for a daily compression (ex NR1, IdNR4)
- Wait for an Opening Range Breakout (intraday price goes over(under) the Day Open+(-) a percentage)
- Enter on the retracement on a 9 period moving average

Exit on daily close
Protective Stop %
Trailing Stop based on 100 Mov Avg

Attached you find TradeStation backtest on the Italian future in the last 9 years 5min data.
Is anyone studying similar strategies on other futures; Does anyone want to share experiences on these subjects?

Could you explain "daily compression"? Do you mean Crabel's price bar setups for range breakout trades (inside bars, etc.?). Also, when you say wait for a "percentage" under or over the specified range, what percentage are you describing? Are you referring to Fisher's ACD type model where he uses something like 20% of the 30 day ATR, or an arbitrary amount like, say, 1 point above or below an instrument such as the ES?

 

[tradingdde]

Could you explain "daily compression"? Do you mean Crabel's price bar setups for range breakout trades (inside bars, etc.?). Also, when you say wait for a "percentage" under or over the specified range, what percentage are you describing? Are you referring to Fisher's ACD type model where he uses something like 20% of the 30 day ATR, or an arbitrary amount like, say, 1 point above or below an instrument such as the ES?

Hi ronfalcone
Crabel is one of my favourite traders

Anyway

daily compression
The answer is yes, I tested all Crabel's price bar setup and found that the pattern NR1 (simple a day with a range narrower than the day before) is a good filter. The others (NR4, NR7, Id, IdNR4) filter too much.

open range breakout
I tested several entry strategies (attached you find the TradeStation code I used to do that) and found that the best stretch is simply a percentage of the daily open.
Does it make sense for you?

 

[ronfalcone]

Opening range filters

Hi ronfalcone
Crabel is one of my favourite traders

Anyway

daily compression
The answer is yes, I tested all Crabel's price bar setup and found that the pattern NR1 (simple a day with a range narrower than the day before) is a good filter. The others (NR4, NR7, Id, IdNR4) filter too much.

open range breakout
I tested several entry strategies (attached you find the TradeStation code I used to do that) and found that the best stretch is simply a percentage of the daily open.
Does it make sense for you?

It is sensible I guess, if it works for you.

As for pre-determined percentages of opening range as an entry point, I haven't personally found anything that works well for me, but that's me. I know that Fisher (Logical Trader) likes the 20% of 30 average true range and has claimed success with it.

As for filters---I have been researching several price bar filters with moving averages. For example, a one hour opening range breakout which closes above the OR is a good candidate for a retracement entry to a moving average (say a 9EMA), IF price is above yesterday's high, and price bars are moving in a symmetrical (as opposed to choppy) fashion. On the other hand, a breakout in a market that is moving sideways and not above yesterday's high (I guess somewhat like an inside bar situation) is still tradeable, provided that you wait on the retracement bars, and then watch for a continuation bar to the upside. Make sense?

BTW, these are not just curve fitting filters but market conditions I've observed over one year of daily charts, over and over again.

My problem is being patient enough to use these filters in real time, and not succumb to the phobia of "leaving money on the table - I'd better get in now!" syndrome.

best of luck

 

[tradingdde]

It is sensible I guess, if it works for you.

As for pre-determined percentages of opening range as an entry point, I haven't personally found anything that works well for me, but that's me. I know that Fisher (Logical Trader) likes the 20% of 30 average true range and has claimed success with it.

As for filters---I have been researching several price bar filters with moving averages. For example, a one hour opening range breakout which closes above the OR is a good candidate for a retracement entry to a moving average (say a 9EMA), IF price is above yesterday's high, and price bars are moving in a symmetrical (as opposed to choppy) fashion. On the other hand, a breakout in a market that is moving sideways and not above yesterday's high (I guess somewhat like an inside bar situation) is still tradeable, provided that you wait on the retracement bars, and then watch for a continuation bar to the upside. Make sense?

BTW, these are not just curve fitting filters but market conditions I've observed over one year of daily charts, over and over again.

My problem is being patient enough to use these filters in real time, and not succumb to the phobia of "leaving money on the table - I'd better get in now!" syndrome.

best of luck

I think what you say makes sense and I will do some tests.

entry point
is not a percentege of opening range but of the open value itself (there is a huge difference)

being patient using filters
I have found 2 solutions I want to share:
1. In real time I run the ORB trading system on a separate account
2. I trade with an hammer (I mean a real one) close to my computer and hit my fingers anytime I realize I am entering into the syndrome you described - please try! It really works !!

 

[ronfalcone]

Now that is interesting tradingdde. Maybe the "hammer" would work; It is utterly remarkable how emotions tend to control the trade, despite having traded for years and despite all the intellectual knowledge.

 

[Splitlink]

I think what you say makes sense and I will do some tests.

entry point
2. I trade with an hammer (I mean a real one) close to my computer and hit my fingers anytime I realize I am entering into the syndrome you described - please try! It really works !!

I think I'll pass on that, if you don't mind.

However, I am here because I am continually searching for a way to cut whipsaws from my trend following strategy. These are a common fault with averages. It has to be in following the bars.

 

[drenpirk]

Hi,
just a questions: "Trailing Stop based on 100 Mov Avg" - how do you exactly use this?

And the 9 MA - if the Close goes above it you go long?

 

[emrettin]

Hello Tradingdde,

I was wondering if you could share your easy language code here. I starting creating my own opening range breakout system and I am looking for some good examples and your strategy looks good to me.
Thank you.

 

[tradingdde]

Hello Tradingdde,

I was wondering if you could share your easy language code here. I starting creating my own opening range breakout system and I am looking for some good examples and your strategy looks good to me.
Thank you.

Hi

Have a look to this TS code; it is not a trading system but just a tester to be used on EOD data only.

good luck

 

[AbsoluteReturn1]

Hello Tradingde,

real time results of some intraday volatiltiy breakout systems presented at C2 show very promissing results:

RD30 Day Trading - a futures trading system on Collective2
VT26 - a futures trading system on Collective2

The developer of VT26 shows on his website some more details:
http://www.tradingsys.org/documentos/VT26_system.pdf
Tradingsys.org - Reflexión independiente sobre sistemas de trading - Sistema SVBreak

Unfortunately I don't speakt Spain, thus I can not undstand the statements except at the pdf-file.
Because of the excellent results presented at C2 it should be worthwhile to perform intensive reseach for commodity futures, too.

Best Regards

 

[ladidalimey]

Please give a look to this strategy based on a mix among Larry Williams, Toby Crabel and Linda Bradford studies.
_______________________

Basic rules for futures 5 min charts:

Enter rules
- Wait for a daily compression (ex NR1, IdNR4)
- Wait for an Opening Range Breakout (intraday price goes over(under) the Day Open+(-) a percentage)
- Enter on the retracement on a 9 period moving average

Exit on daily close
Protective Stop %
Trailing Stop based on 100 Mov Avg

Attached you find TradeStation backtest on the Italian future in the last 9 years 5min data.
Is anyone studying similar strategies on other futures; Does anyone want to share experiences on these subjects?

Hi Tradingdde,

I came across your message while looking for intraday breakout ideas. Could you explain what you mean by

Enter on the retracement on a 9 period moving average

Many thanks,

L.

 

[bomberone1]

That's great results, could you share in txt file the strategy?
Do you have get better result working at 1 hour time frame?

 

[bomberone1]

Dear tradingdde,
I see that also you are winner of tradestation development championship, great, and that you have written and chare many strategy and indicator in italian, could post here the open code please? and English explaination, I use google translator but what do you mean exatly isn't clear.

 

[ForexDude]

Please give a look to this strategy based on a mix among Larry Williams, Toby Crabel and Linda Bradford studies.
_______________________

Basic rules for futures 5 min charts:

Enter rules
- Wait for a daily compression (ex NR1, IdNR4)
- Wait for an Opening Range Breakout (intraday price goes over(under) the Day Open+(-) a percentage)
- Enter on the retracement on a 9 period moving average

Exit on daily close
Protective Stop %
Trailing Stop based on 100 Mov Avg

Attached you find TradeStation backtest on the Italian future in the last 9 years 5min data.
Is anyone studying similar strategies on other futures; Does anyone want to share experiences on these subjects?

Can you please run a backtest on emini s&p?