Backtesting an Opening Range Break out with EOD data?

Discussion in 'Strategy Development' started by etfarb, Apr 19, 2013.

  1. etfarb


    Can you backtest an ORB with EOD data? From my understanding a pivotal part of the strategy is based on the first 15 minutes of momentum or lack thereof. I wana give it a shot with EOD data but i'm not sure how to approach it.

    Any feedback would be appreciated!
  2. Eight


    I can't imagine that you can do that. The classic version is fifteen minutes or so of activitiy then you add a guardband outside that opening range of a pt or two, depending on the instrument, and if it goes outside that range you take a position. You can't extract that opening range from the daily data.
  3. Agreed, you can come up with an OR and test ideas, but given the data granularity you'll have to assume worst case scenarios and results will be meh. Also, stops/targets don't really change the distribution, so choice of underlying will be more important.
  4. are you talking ACD
  5. I think he's talkin' Toby Crabel
  6. Bob111


    ---Can you backtest an ORB with EOD data? ---

    sure..but results may vary :D
  7. i wonder how different Crabel is from Fisher
  8. Actual range doesn't matter (within reason of course), feel free to try whatever OR # you think is significant, it's all the same in the end. Besides, there should be some level of vol normalization, which is usually pretty standard, no? Execution is all that be important, at least that's the way my dumb brain sees it.:p
  9. Fisher states that your looking for higher volatility days to trade , just as a generality there is a running day count.. so theres all these things that cumulative help you to create a bias to put a trade on..
  10. Then there's your answer, so simple in hindsight, just trade during high volatility.:D
    #10     Apr 19, 2013