Opening Range Breakout, for Futures and Equities

Discussion in 'Technical Analysis' started by Murray Ruggiero, Sep 1, 2005.

  1. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    Some of you might know me as contributing editor for Futures magazine for the past 10 years. I am also Vice President of, a trading system development platform that allows easy portfolio testing and integrated money management.

    I have written on a lot of topics over the years including opening range breakout. I shared the first two parts of a video I did on opening range breakout, which was a talk given at the Charter market Technician association Atlanta group meeting Dec 2004.

    This video is on, the link is:

    The first chapter of this talk can be view from the following link. Chapter 2 can also be view for free but requires you to register on the site, registration is free.

    In this thread let's discuss the topic of opening range break, we can discuss its uses in the Futures markets, Stock indexes or even for trading baskets of individual stocks. I cover both Futures and stocks in this video.
  2. I have found that for individual stocks ORB's work very poorly the last few years. I've tested the orgional toby crabel versions, the modifed versions that Mark Fisher uses (the ACD stuff). I've also tested it with various paramaters for only trading them after range contraction.

    The filters you can overlay with the orgional strategies give the orgional ORB's a slight edge but not enough for most people to trade them effectively.

    Also there is a huge correlation with stocks to the S&P so quite often when your testing a huge basket of stocks and the ORB's'll find that 75-80% of the time the S&P futures also would have qualified that day. (i.e. on a day when you get a big range expansion in the s&p most stocks do the same big relevation here....just saying you gotta be careful trading multiple signals cause essentially they can all be the same).

    I haven't tested them on Futures, but interestingly the stuff I tested did do better on ETF's which often trade more like futures and index's.

    Anyway, haven't watched the video yet. Looking foward it as well as your participation here. Enjoy your aticles in Futures magazine.
  3. balda


    Have you ever traded or do you trade today?
  4. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    Recent performance for ORB has not been very good, but this is because of current market conditions. The point is that this is a classic methodolgy. Classic trend following had issues over the past two year. Our hope in this thread is to discuss the how and why's and maybe come up with some new concepts, on this theme which might work better in current market conditions and also worked well in the past.
  5. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    Yes I trade .
  6. MR,
    It would be very useful if you can give an example of an ORB in the making.
  7. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    Let me explain to you what opening range breakout is

    It is simply bracketing around the open +/ some level. If the price breaks above the upper bracket you go long. If the price breaks below the lower bracket you go short.

    When this method is backtested using a backtesting platform like TradersStudio, it is implemented by accessing the next day's open in the rules so that the entry and exit price is known by the software and the orders can be filled by the backtester.

    When it is traded in real life we don't know the next day's open so we report the order in terms of offset from the open, by setting next open to 0.

    What this means is that if you test opening range breakout system on daily bars the next open can only appear in the order for the stop price. You can't use it for the condition to enable the order. In addition we can not put a protective stop on the entry bar because we would not be sure which one got hit first.
  8. It seems to me, that this is more of a VOL break out rather than an opening range breakout. Opening range breakouts typically involve using the high and low over a specific time period as a triger point to enter the trades. For instance, 5 minute high low, 3 minute high low, etc.
  9. Could you show us some examples?
  10. What's working in TODAY's environment? That's what we want to know.

    (there's a thread on ET somewhere with some fade orb/acd examples, it actually did test out decently over the last 18 months or so).

    #10     Sep 1, 2005