For those who have tried testing ORB, I was wondering what data granularity people have used? I have access to tick-level data, but I'm trying to avoid that as it would be too noisy, as well as somewhat computationally cumbersome. How much information would be lost by using 10 or 5 min samples as opposed to, say, 1 min samples?
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Data granularity for Opening Range Breakout
- Thread starter EquityGuy4321
- Start date
Quote from EquityGuy4321:
For those who have tried testing ORB, I was wondering what data granularity people have used? I have access to tick-level data, but I'm trying to avoid that as it would be too noisy, as well as somewhat computationally cumbersome. How much information would be lost by using 10 or 5 min samples as opposed to, say, 1 min samples?
I use 5min bars on indices and I m good with it. If you are asking for stocks, ask someone else, since i m a beginner in stock world.
Thanks. Sorry...should have mentioned I'm looking at futures.
I'm using tick data. And I also count how long it stays over ORB.