Opening range breakout in new electronic markets

Have you returned Mr. Murray? How was the trip? When can we expect more updates?

 

I have returned and I am setting things up to be posting a lot more content soon on many different topics. I am currently reviewing my old article and will update these concepts and share them with you soon.

 

Let's look at a simple index example for S&P500 and Nasdaq using day session only. We will buy at 30% of the yesterdays range above the open and sell at 30% of yesterdays range below the open. We will either reverse or hold for 5 days.
This strategy did not work in 2009 and 2010 after working well in 2007-2008. It seems like it working again in 2011


Year trades Wins PWin Open trades Profit
2007 210 111 52.86% 1 $31,060.00
2008 245 136 55.51% 2 $43,877.50
2009 199 98 49.25% 2 ($3,427.50)
2010 210 93 44.29% 2 ($6,097.50)
2011 90 52 57.78% 2 $8,372.50

 

Excellent work Murray!

Very interesting results for the indices. I believe if you filter the entry based on where it opens, you can get better results.

I have these questions based on this:

Was there a stop-loss used?
Can you elaborate a little more about the exit?
Is this is a swing trade?
What position size?
What amount was risked / trade?
Average winner/loser?
Consecutive winners / losers?
Max Drawdown?

 

Here is the code for the system that I used to generate the results I showed earlier.

'********************************
' IndexSys Mult is % of range off of the open and SType is either range or truerange
' 0 is range and 1 is truerange
' The system also exits all trades after five days
' TradersStudio(r) copyright 2004-2011, All rights reserved
Sub IndexSys(Mult,SType)
Dim Nxtopen
Dim MyRange As BarArray

Nxtopen=NextOpen(0)

If SType=0 Then
MyRange=Range
Else
MyRange=TrueRange
End If
' We do not have a NextOpen on the last bar so we need to set it to zero
' This way the active order is reported as a change off of the open

If BarNumber=LastBar Then
Nxtopen=0
End If

If Close>Open Then
Sell("SellBrk",1,Nxtopen-Mult*Average(MyRange,3,0),Stop,Day)
End If

If Close<Open Then
Buy("BuyBrk",1,Nxtopen+Mult*Average(MyRange,3,0) ,Stop,Day)
End If

If BarsSinceEntry>5 And MarketPosition=1 Then
ExitLong("TimeLong","BuyBrk",1,0,Market,Day)
End If

If BarsSinceEntry>5 And MarketPosition=-1 Then
ExitShort("TimeShort","SellBrk",1,0,Market,Day)
End If
End Sub

 

Any updates?

 

I am starting a new series of educational threads soon. This Opening range breakout is one of my most popular I will have a more organized thread on this topic soon.

 

Still waiting for the update.