There used to be a lot of threads discussing Opening Range Breakout! What has happened to everyone who had an interest in that particular trading strategy?
I am willing to start up the conversation again. I will include the link to my video again. 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 TradersStudio.com, the link is: http://www.tradersstudio.com/Tutorials/OpeningRangeBreakoutVideo/tabid/129/Default.aspx 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. I cover both Futures and stocks in this video. Here is the link to the last active thread on this topic. http://elitetrader.com/vb/showthread.php?s=&threadid=72968&highlight=Opening+range+breakout Let's start over here and begin to make this thread active again.
I have updated my results from a simple ORB System which comes with TradersStudio. I show the test using 30% of yesterday range. We also use the Close<Open , buy and Close>Open Sell counter trend filters. I am including the TradersStudio results for the S&P500,Nasdaq and Natural Gas. We can use these results as a starting point for our conversations.
I think we could make this a lot better by using some sort of range filter. What about demarks breakout filters?
I have not used demarks breakout filter , what is the logic for it , I will test it in TradersStudio. Also I think the underlying question is what structural changes happen in these markets which cause ORB to work very well or very badly.
It might be an interesting study to see what the differences are between the SP 500 and the Russel in terms of structure. I will read up again on the demarks filters. I have also found that using a pivot point as a filter worked quite well. There is some sort of bias for the market to close up or down depending on if the open was above or below the pivot.
While reading through his material I found this. This is a projection of todays range The close today is less than the open today: then use this (High today + Low today + Close today + Low today)/ 2 = X Tomorrow's projected high = X â Today's low Tomorrow's projected low = X - Today's high The close today is greater than the open today: then use this (High today + Low today + Close today + High today}/ 2 = X Tomorrow's projected high = X â Today's low Tomorrow's projected low = X - Today's high The close today is equal to the open today: then use this (High today + Low today + Close today + Close today)/ 2 = X Tomorrow's projected high = X - Today's low Tomorrow's projected low = X - Today's high
For an upside breakout the day before should have a close lower then the open. The reverse for a downside breakout. This works because most traders believe that a breakout would fail. Most traders believe that it will cotinue in the direction that it closed.
These equations are the classic pivot point ones, these are for R1,S1. See the pivot point intra-day trading example which ships with TradersStudio for a example of how to trade this methodology.