Backtesting an Opening Range Break out with EOD data?

Quote from Soon2Bgreat:

Then there's your answer, so simple in hindsight, just trade during high volatility.:D
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haha i've said that to myself to before.. i actually trade volatility . it is clear to me how much more clear it is to trade when vol goes up.
 
somebody at trade2win backtested opening range. One variable was the amount of time attributed to the "opening". They tested over a few minutes to the better part of the day and it optimized at 4 hours! Maybe all the guys that make money in the morning and give it back in the afternoon could shift to a four hour opening range and take just one trade in the afternoon. At the very least they wouldn't overtrade...

Hee hee, Toby Crabel, he was young, he actually shared useful info. He probably learned after that...
 
Quote from cdcaveman:

are you talking ACD
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Toby Crabels method, I keep hearing ACD but can't find any info on it. I was under the impression crabel was the godfather of this strat
 
Quote from Eight:

I can't imagine that you can do that. The classic version is fifteen minutes or so of activitiy then you add a guardband outside that opening range of a pt or two, depending on the instrument, and if it goes outside that range you take a position. You can't extract that opening range from the daily data.
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I have a feed for 1min/5/10 min bars but I'm trying to jus get some ideas of insidebars/narrow range bars solely with the EOD data right now.

I want to use the shorter time frames only for entry
 
Quote from Eight:



Hee hee, Toby Crabel, he was young, he actually shared useful info. He probably learned after that...
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Eight, do you not find Crabels ORB method to be useful or rather a naive method?
 
Look, if you have access to 1min data, use it. If it's not historical, just pay for it and run the backtest, won't take long and you'll have your answers. Much easier than gathering opinions imo.

Additionally, if you have access to 1min data, then you can analyze the difference in projected results btwn forward testing a strat on 1min and eod data.

Besides, why bother with an orb strat when ur arbing etfs? You sound like an old poster named Mizhael.
 
Quote from etfarb:

Eight, do you not find Crabels ORB method to be useful or rather a naive method?
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I never bothered with it. One prop firm teaches/uses it and I do believe that it's working well for them as evidenced by their results posted in P&L thread. It takes huge, huge bets to make a living seemingly.
 
Quote from etfarb:

Toby Crabels method, I keep hearing ACD but can't find any info on it. I was under the impression crabel was the godfather of this strat
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No good info? You do realize there is a thread on ET just about ACD that is done really well.
Read the book, then read the 1k+ thread, take notes.
 
Quote from etfarb:

Can you backtest an ORB with EOD data? From my understanding a pivotal part of the strategy is based on the first 15 minutes of momentum or lack thereof. I wana give it a shot with EOD data but i'm not sure how to approach it.

Any feedback would be appreciated!
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http://elitetrader.com/vb/showthread.php?s=&threadid=72968&highlight=orb

This was a popular thread of mine several years ago on opening range breakout. It discusses using EOD to test the concept.
 
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