Opening Range Breakout, for Futures and Equities

I am interested in stock systems that can be handled by a broker. (The reason for my questions about the ORB and its different forms)

I am mostly interested in trading spreads and using TradersStudio for analysis in that capacity. Can you give me some additional information as to what needs to be done? I have looked at the website. My main concern is how to address the transition between contracts.

Regards

 

I will discuss some more opening range breakout type systems soon. I will try to give you systems which can be traded using end of day data and that you can give an order to a broker before the market opens. Give me a little time to put some stuff together.


In terms of the issue with spreads, let's create a spread trading thread and discuss issues involved in spread trading. I would like some ideas about how to handle contract rollover and other issues like that from members who have more experience trading spreads, since that is one area I have not researched.

 

Here is the link to my new spread trading thread.

http://elitetrader.com/vb/showthread.php?s=&threadid=57830

Let's discuss spread issues there and we will keep this thread opening range breakout.

 

Honnestly fellows. Do you find this MR stuff any more interesting than Ole Jack's?
________________
Contributing Poster Elite Trader and Vice President for www.nononsense.com

 

I wanted to share very interesting spread sheet. I ran the following system using a beta of TradersStudio 2.0 on the Nasdaq 100 stocks.

'(C) 2004 TradersStudio(r) all rights reserved
' Simple ORB system to trade the QQQ, also works short term on nasdaq.
Sub QQQBreakOut(MULT)
Dim AveTr
Dim Nxtopen
if barnumber<lastbar then
Nxtopen=nextopen(0)
else
Nxtopen=0
end if
If Close>Open then
Sell("SellBrk",1,Nxtopen-MULT*truerange,STOP,DAY)
end if
If Close<Open then
Buy("BuyBrk",1,Nxtopen+MULT*truerange,STOP,DAY)
end if
End Sub

I used .30 for MULT. The interesting new point here is that I did a correlation analysis of the equity streams of each of the stocks in the Nasdaq using this system on a weekly,monthly and yearly basis. You can see even though it is a stock market , all the stocks are not as correlated as you might think. This is very true on a weekly and Monthly basis. This correlation analysis is a new feature built into TradersStudio 2.0.

 

I wanted to share very interesting spread sheet. I ran the following system using a beta of TradersStudio 2.0 on the Nasdaq 100 stocks.

'(C) 2004 TradersStudio(r) all rights reserved
' Simple ORB system to trade the QQQ, also works short term on nasdaq.
Sub QQQBreakOut(MULT)
Dim AveTr
Dim Nxtopen
if barnumber<lastbar then
Nxtopen=nextopen(0)
else
Nxtopen=0
end if
If Close>Open then
Sell("SellBrk",1,Nxtopen-MULT*truerange,STOP,DAY)
end if
If Close<Open then
Buy("BuyBrk",1,Nxtopen+MULT*truerange,STOP,DAY)
end if
End Sub

I used .30 for MULT. The interesting new point here is that I did a correlation analysis of the equity streams of each of the stocks in the Nasdaq using this system on a weekly,monthly and yearly basis. You can see even though it is a stock market , all the stocks are not as correlated as you might think even though we are using the same system and parameters for all of them. This is very true on a weekly and monthly basis. This correlation analysis is a new feature built into TradersStudio 2.0.

 

Murray,

The low correlations are nice, but how profitable is the strategy? Did you ever post the performance of your simple ORB system on those Nasdaq 100 stocks? It would be interesting to see percent of profitable trades, average profitable trade, average losing trade, number of trades, net profit, etc.

Am I correct that your strategy is always in the market and exits a trade when there is a signal in the opposite direction? Or are you exiting at the end of the day?

Aaron Schindler
Schindler Trading

 

It is a stop and reverse system. I am deducting .01 per share commissions and .1% slippage. I ran it from 1990 to 9/30/2005. this means for example I used .40 slippage when Amazon was $400.00 a share. The average Trade was .71% on the long side and -.15% on the short. This meant the short side about break even without slippage and commissions. That was not the point of why I showed the correlation analysis. The point is that even though they are all stock using the same rules and parameters, the correlation are relatively low. I am sure many people on this forum would not have believed that this would be true.

 

How can the correlations be this low with the same rules and parameters? I understand the correlations could be on a daily or monthly basis due to randomnes, but the correlations are still relatively low even on a yearly basis. Does this effect exist for other systems and markets?

Regards,

 

Yes , it a very interesting effect that you see in many systems on large baskets of markets. In the case of large baskets of stocks, I think part of the reason is that the equity curve information is only strongly correlated when we have big trend in the stock indexes as a whole. This would happen during Elliott wave three and early Elliott wave 5 before the divergences in the indexes show up.

During the other times, the stocks don't move together and many of the daily bar patterns such as closing above or below the open for an individual stock are independent of the market , this means that except for these strong trending periods, you will get a surprising even split of long and short trades.