Opening Range Breakout , Crabel method

Discussion in 'Strategy Building' started by Murray Ruggiero, Jul 17, 2006.

  1. trade7

    trade7

    I thought it was a parakeet ... tweet tweet
     
    #11     Jul 20, 2006
  2. toby400

    toby400


    Could you attach a chart please?
     
    #12     Jul 21, 2006
  3. Isnt Mark Fishers ACD method basically the same as Crabels?
     
    #13     Jul 21, 2006
  4. While the Crabel book itself is interesting, his ideas are no better than random. It makes me wonder why people spend their time going over methods that are not profitable.
     
    #14     Jul 21, 2006
  5. I am not surprised at all. Volatility breakout systems, at least acc to my testing, do much better in high volatility and after a day or two of tight congestion.

    Have you considered/tried an ADX filter to the system(s)?

    Has your research on volatility breakouts included any further work on the J.T. Jackson/zone research you wrote about in 1997?

    Cordially,
    ssynic
     
    #15     Jul 21, 2006
  6. Excellent question.
    I'm affraid that Murray and Jack don't provide this kind of info.
     
    #16     Jul 22, 2006
  7. guy2

    guy2

    About 18 months ago I took a hard look at the Crabel methods and back tested a bunch of stuff. (I ran a gazillion back tests).

    I published some of the results here:
    http://www.deltat1.com/Strategies/day_type/

    What I found was that some of the stuff made money but nothing produced a smooth equity curve that a solid strategy would produce.

    Of course, I may not have found the right combination, and so I continue to look...
     
    #17     Jul 22, 2006
  8. Murray Ruggiero

    Murray Ruggiero Sponsor

    Did you ever look at increase the holding period to either first profitable opening or exiting the position on a opening range breakout in the opposite direction without the restrictive filters ?
     
    #18     Aug 6, 2006
  9. guy2

    guy2

    If I understand you correctly then yes, I believe that I did.
     
    #19     Aug 11, 2006
  10. man

    man

    i saw the crabel book as a good starting point. just a way how to look at the whole thing.

    and probably the secondary market price for his book is one of the highest in 1980s literature worldwide ...
     
    #20     Aug 11, 2006