Getting best price for opening range breakout

[mikkom]

Hello All,

I have a working system that I use to trade faily liquid (>5M volume/day) NYSE/NASDAQ stocks.

I use opening range breakout to enter the trades based on my system (using interactive brokers API). I dont't trade that big, my typical position is 1-10k usd so nothing that moves the market.

I currently use STOP orders to enter the trades which means that I basically always pay the spread and I'm not sure if this is the best method at all.

I know there are other methods available at IB like midprice orders, conditional peg to best etc - does anyone have any idea what would be preferable way to enter simple (let's say 5 min for example) opening range breakouts for few selected stocks? Is the basic stop method I'm using good or would some other, more complex algo method be better.

I know I could experiment but to get reasonable data I would need quite many trades so I'm asking for your experiences.. It doesn't need to be opening range breakout but just breakout of some range - what is the optimal way to enter these positions in your opinion?

Thanks for your insight.

 

[oshjdf]

Have you used stop limit order? Based on your post, I assume you have not and have only used stop market. The con of stop limit is your order may only filled partially and that's the cost of avoiding spread.

 

[tomkat22]

What is your average hold time with this strategy,when are you looking to take profit?

 

[murray t turtle]

Hello All,

I have a working system that I use to trade fairly liquid (>5M volume/day) NYSE/NASDAQ stocks.

I know I could experiment but to get reasonable data I would need quite many trades so I'm asking for your experiences.. It doesn't need to be opening range breakout but just breakout of some range - what is the optimal way to enter these positions in your opinion?

Thanks for your insight.

%%
Good flexibility;
front run your open break with some swing trades/200dma /50dma/bull market anyway.
I do that with ETFs,2-5-55 million day volume.
Example /VOO +SPY volume a bit weak, but price strong;
barchart.com has multitude of technical indicators/100% buy.
{I have traded single stocks , but never made much more than SPY + much more risk in swing trading single stocks}
Limit entry orders ;
mostly market exits unless its a resting limit order.
Average hold time is minutes to months......................Make money while sleeping.

 

[mikkom]

Have you used stop limit order? Based on your post, I assume you have not and have only used stop market. The con of stop limit is your order may only filled partially and that's the cost of avoiding spread.

Problem with stop limit is that it doesn't trigger if price goes to "right" direction.

What I have been thinking is conditional peg to midtpoint that is triggered by price action. However I'm not sure if this will get me better or worse execution..

I also know that this is almost impossible to answer and/or simulate and the answer if this results to better or worse fills takes time that's why I'm asking for thoughts as I assume many people here do actually trade opening range breakouts in some manner (they are different from basic level breakouts as I'm not looking for cascades or concentrated volume at all)

 

[mikkom]

What is your average hold time with this strategy,when are you looking to take profit?

These are daily trades, each set of trades is triggered at approx ~5 min after market opening. Depending on the predictions of the system the holds positions are held about 1-5 days, mostly the shorter side (1-2 days)

 

[mikkom]

%%
Good flexibility;
front run your open break with some swing trades/200dma /50dma/bull market anyway.
I do that with ETFs,2-5-55 million day volume.
Example /VOO +SPY volume a bit weak, but price strong;
barchart.com has multitude of technical indicators/100% buy.
{I have traded single stocks , but never made much more than SPY + much more risk in swing trading single stocks}
Limit entry orders ;
mostly market exits unless its a resting limit order.
Average hold time is minutes to months......................Make money while sleeping.

I'm actually using quite sophisticated neural network ensemble to predict "optimal" long/short portfolio, this is just the entry method I'm currently using (getting open prices daily + generating parameters based on new data combined with historical data + actual 30 separate neural network prediction takes time so opening range breakout after that works perfectly to eliminate some bad trades)

 

[murray t turtle]

I'm actually using quite sophisticated neural network ensemble to predict "optimal" long/short portfolio, this is just the entry method I'm currently using (getting open prices daily + generating parameters based on new data combined with historical data + actual 30 separate neural network prediction takes time so opening range breakout after that works perfectly to eliminate some bad trades)

%%
1]THAT may work well in the long term;
+ I could fine short term in single stocks, even though I knew they could gap 50% against me. 20 ] {But with only 20% of full time trained profesionals beating a benchmark like SPY or VOO long term, no way in God's green earth are all the traders going to beat those benchmarks long term/long short[inverse.......} Just an educated wise guess, not a prediction .
777] So few millionaires are stock or ETF only millionaires, but most anything is possible.
But business , small business/real estate/Dave Ramsey helps+
even a part time bus driver with stock pickin' skills =millionaire ,
much better odds, for millionaire ......................................................................
Some has to be Peter Lynch good read, not my name or nickname,

 

[Handle123]

Of course going to need data so can find "mean" average after breakout. I other words, wait for breakout that many newbs are entering then place limit where "newbs" have their stops. You feed them their losses and you are getting into trade at better price therefore risk is less.

Of course there are trades where breakout does not retrace plus will get all losses.