For those who might be interested, here is the first chapter from Toby Crabel's Day Trading with Short Term Price Patterns and Opening Range Breakout (1990) Chapter 1 OPENING RANGE BREAKOUT (ORB) An Opening Range Breakout (hereafter called ORB) is a trade taken at a predetermined amount above or below the opening range. When the predetermined amount (the stretch) is computed, a buy stop is placed that amount above the high of the opening range and a sell stop is placed the same amount below the low of the opening range. The first stop that is traded is the position and the other stop is used as a protective stop. The Stretch is determined by looking at the previous ten days and averaging the sum 6f the differences between the open for each day and the closest extreme to the open on each day. There are days when a trade in only one direction is taken, this is called an Opening Range Breakout Preference (ORBP). Usually this is done in a market with a strong bias in one direction or just after a clear supply or demand indication. The procedure is similar to the ORB but the only order entered is the stop in the direction of the entry. The protective stop is entered only after the trade has been entered. One qualification to this is if the market trades to the stretch in the opposite direction first; the ORBP is nullified and the resting order is cancelled. This requires you to moniter the market during the session. Intraday market monitoring is not a sacrifice by any means and serves to enhance the system in most cases. The ORB is effective after inside days that have a smaller daily range than the previous four or five days and for that matter after any day that has a daily range less than the previous six days (NR~)whether an inside day or not. Hook days also tend to precede big moves in one direction. A Hook day is any day that opens above or below the previous day's high or low then proceeds to reverse the previous day's close but does so with a narrowing daily range relative to the previous day. The March Copper chart marked Hook, NR7 and IDnr4 displays examples of all the above mentioned patterns. Inside days with the narrowest range in four days (IDnr4) occur at c,e,g,i,n,'m and t. NR7's occur at a,d,f,g,h,jfm,n,p, and s. Hook days are b,q, and r. Notice the proximity of the next day's open to one of the extremes for that day and the general tendency of the close of the same day to be at the opposite extreme. The ORBP provides an effective trade entry at times of a clear bias in one direction. In particular, a running market when defined provides a very clear bias. On any inside day the ORBP should be taken. Inside days act as springboards for an immediate continuation in the direction of the run. The July Bean Oil Chart displays a running market between numbers one and two. Within that run inside days a thru e all resulted in successful ORB1s with the open on or near the low of the session in each case. Direction is not as predictable at ID days; f., g. and h. but the ORB the following day in each case provides an excellent entry. A gap in the direction of the run is a strong indication of continuation and an ORBP can be taken in the direction of the gap with an overnight position held if a big day follows. The October Sugar Chart shows three gaps (a,b,c) within a very defined upward run. Note the tendency for the open to act as the low of the day in each case. If an ORB to the downside had occurred, in this case, no trade would have been taken. Logically, any of the patterns preceding entry mentioned for the ORB can be utilized in an ORBP when the bias is clear. Upthrust/Springs, Reversal Gaps, or any sharp reversal should be followed up with an ORBP in the direction of the reversal for at least two days afterwards if it confirms the intermediate trend. The Nov. Bean Chart displays upthrusts at 1, 3 and 5 and Springs at 2, 4 and 6. Note openings the days after the Springs and the marked tendency for them to occur near one extreme of the day. The upthrusts were not as successful. A clear upward bias did exist. Again, this is most effective after an inside day or NR7s1. In general the earlier in the session the entry is taken the better the chances for success. In fact , the ideal is an entry within the first ten minutes of the session. In that case an immediate continuation in the direction of the breakout is likely. When you get action like that the protective stop can be moved to break even very quickly and the trade is free. The more time that passes between the open an,d trade entry the lower the probability of success.\~djust the size of your position downward as the day goes on. The worst entry is just before the close When time is running out and it is difficult to realize a profit. It should be kept in mind that the objective of these entry techniques is to establish a position for a two to three day run, but this can be considered only if a substantial profit is realized by the end of the session. After the trade is entered the clock starts ticking. The ideal trade will show a profit almost instantaneously. The longer it takes to move away from the point of entry the more vulnerable the position. In general stops should be moved to break even within one hour after entry. A market that displays greater tendency to trend should be given less than an hour. For example, the S&P usually takes no more than five to ten minutes before a clear getaway occurs. When judging the market action after entry compare it to the ideal, early entry with immediate profit and persistent follow through thereafter. Action that varies from the ideal is suspect. The ORB can be utilized as a general indicator of bias every day. Whichever side of the Stretch is traded first will indicate bias in that direction for the next two to three hours of the session. If nothing else this information alone will help keep you out of trouble. Multiple contracts can be used when entering on an ORB or ORBP. This allows for some profit-taking as the move continues -- guaranteeing at least some profit in the case of a pullback to the break-even stop. A trailing stop is also very effective. If you miss the ORB and "Early Entry" occurred, any 3/8 to retracement of the established range can be used as an entry point with stops beyond the 5/8 level. This technique can be utilized twice but becomes treacherous on the third retracement. In summary, the open is a market primary. Without an understanding of its importance and the market action around it, it is difficult to come to correct conclusions about market direction. On certain days it acts as an ideal point of entry upon breakout. On any day that such a breakout occurs within the first ten minutes of trade, the information is overwhelmingly in favor of a continuation of that move. If one does not use these entry techniques systematically, he should at least utilize them as a general indicator of bias.
Toby Crabel published in 1990 data on ORB. He then bought back all the copies of the 1st printing he could find. As trading books go, it’s a rare find.
The book is available in PDF format on scribd dot com Only $27.00 at this website. https://sacredtraders.com/product/d...terns-and-opening-range-breakout-toby-crabel/
I remember about 15-20 years ago, there were a couple of copies on eBay listed for about $500. There is plenty of material out there on various strategies related to ORB's. Raschke has done work on it among others.
Hi Shax - I'm not active in Futures.io - so that wouldn't be me you saw there. I only trade ETFs and stocks day trading with average hold times of 3 minutes. As the "Opening Range Breakout" strategy i posted here. It's not one i have tested, i just seen the article and thought it was interesting. I don't use 5 minute candles. I prefer the 1 minute and will soon test 10 second
Obviously, a strategy built around exploiting market structure when market structure was dominated by the pits, specialist quoting prices in fractions, huge transaction costs, non-electronic markets for any kind of mature pre/after market is not going to work in 2023. I mean just think about what you have seen in the after market after an earnings announcement this year. Now take that away and have that all built up overnight and all the information discounted in the opening range the next day by humans with little algorithmic relative trading. Maybe you could use some of the ideas for the pre-market but to believe the same strategy would work directly in 2023 is just absurd.