5 min ORB strategy
- Thread starter qlai
- Start date
Ran a small backtest using the rules from the paper (10x or eod exit), jsut high/low stop
I personally run a variation of ORB for my own algo.
https://www.elitetrader.com/et/threads/index-futures-automation.368144/
I read a few studies on it like the one you posted. It's a pretty effective strategy if you can balance the different variables in your expectancy formula that fits your trading psychology. This was the paper that got me to look into it further:
https://www.researchgate.net/public...ening_Range_Breakout_on_Index_Futures_Markets
Here's the same backtest using my compilation of rules:
It's more or less same net profit after commission. But it's a lot easier to execute I think psychologically, even if it's fully automated.
Very good paper. Thanks for posting. Been doing something similar on the UB for a while.
One issue with intraday breakout strategies on 3x etfs is slippage....you put a stop order in at 20.00, and you get absolutely punked and filled at 20.30 (sometimes)....angry, you decide to start using STPLMT orders....20.00 stop, 20.10 limit....well, on some days your stop will trigger and the market will skip right above your limit order and leave you unfilled and the market just takes off without you onboard. ....this usually happens on the best 10 trading days of the year, when you absolutely want to be in the market for a big trend day. Of course, your wonderful backtest captures none of these "real life" problems. You only find out about them when you attempt to execute your strategy in real time.
Now, TQQQ is a very liquid instrument, so the problem I described above may not exist here like it does in others, but if you trade LABU, SOXL, TECL, etc, it absolutely is a problem. Trading "size" in those etfs is about a $20,000 order...anything above that, and things get difficult on many trading days.
Now, TQQQ is a very liquid instrument, so the problem I described above may not exist here like it does in others, but if you trade LABU, SOXL, TECL, etc, it absolutely is a problem. Trading "size" in those etfs is about a $20,000 order...anything above that, and things get difficult on many trading days.
That's true, but depends on how you decide to enter and manage the trade. I generally set a limit order to buy/sell 1 tick above/below the recent 5 min high or low. Sometimes there's a small range already in place at that time of day so I'll use those numbers. But the idea is worthwhile to test on whatever instrument you're trading.
That's why I like bond futures at their open - 5:20 am PST. Everyone is on duty so you can get filled at your price. Don't know about TQQQ and similar. Never traded them.
Also I'm not holding until the end of the session. I scalp depending on the size of the range and the overnight high/low.