Opening Range on e-mini s&p 500 - Useful? What values are you using?

Discussion in 'Index Futures' started by Howard, Jul 23, 2019.

  1. Howard

    Howard

    Hi,

    I'm starting a back-test of the opening range on the e-mini s&p 500 tonight. Curious if anyone is using this and find it useful? If yes, what time values are you using for the opening range?

    Popular values according to trading literature seems to be 30, 60 and 90 minutes (also known as the initial balance in Market Profile). Some even seem to use the first 5 minutes, but that seems a bit small to me.

    I will be testing all three.

    PS: This is one of the things that seems hard to backtest programmatically or maybe that just shows how poor my programming skills are. I'm not necessarily interested in testing a breakout strategy (which should be easy to test), but testing to see if these high/low lines have any significance at all. That includes breaking out, reverting back to/towards or acting as support/resistance, etc.

    Thanks.
     
    tommcginnis likes this.
  2. tommcginnis

    tommcginnis

    Nothing to contribute, just "+1" for science.... :)
     
    Howard likes this.
  3. d08

    d08

    It's meaningless. There are days when it works but those are cherry picked examples. I'd say this is one of the easiest things to backtest, you're operating only on bar data.
     
  4. Howard

    Howard

    Thank you for your post.

    You've backtested this yourself on the ES?
     
  5. d08

    d08

    Yeah, about a decade ago so the details are hazy.
     
  6. Howard

    Howard

    Allright. A lot may have happened in a decade though.
     
  7. d08

    d08

    So if it worked in the past decade but not before that, you would trade it? For a single instrument that's pretty brave.
     
  8. REDP1800

    REDP1800

    opening ranges were used along with pivot points when the mkt actually closed. its too bad ut doesnt actually close anymore

    y close
     
  9. Handle123

    Handle123

    Opening ranges if I remember were in 1980's-90's, there were gaps back then, and each contract would start/stop after the nearest was opened/closed, and after all were traded for "opening ranges", then all be trading altogether. Electronic markets killed most of it off.

    Sundays and whenever markets have closed periods, gaps can happen but not like before. Coffee sometimes have sizeable gaps.

    Back in early 90's I remember some courses were made on how to trade it, but it is like anything, every few years vendors sell some gibberish till next "label" comes out.
     
    Howard likes this.
  10. volpri

    volpri

    You might glean something from this.

     
    #10     Jul 23, 2019
    Howard likes this.