Registered: Jan 2008
11-21-10 02:45 AM
thanks for reviving this topic... I've been testing and studying the feasibility of ORB type strategies...
Although the markets are electronic, the fact is that the U.S. equity market is still the driver for the futures markets (i.e. ES) and the ETFs (i.e. SPY). In other words, I've never seen a situation where the majority of stocks (particularly blue chips & large caps) move in one direction and the ES or the SPY move in a different direction. Therefore, I have observed in my limited, but maticulous, testing that ORB statistically has a positive expectancy shortly after the opening of the U.S. equity markets. Although on very unique situations, a "stop & reverse" plan in conjunction with a ORB plan is ideal.
I believe that most folks who've dismissed the viability or ORB tend to expect a "STRONG" positive expectancy, such as a 75%+ win rate for a 1:1 risk:reward scenario. However, as Steve Cohen stated so accurately - "This is not a perfect game. I compile statistics on my traders. My best trader makes money only 63% of the time. Most traders make money only in the 50 to 55 percent range. That means youre going to be wrong a lot. If thats the case, you better make sure your losses are as small as they can be, and that your winners are bigger."
What have been your experience with ORB in this new arena?