Opening Range Breakout , Crabel method

Quote from optioncoach:

I would like to add to the mix too.

One opening range breakout I have been testing after reading Kathy Lien's book on Forex trading is bracketing the first 5 hours of hte London market opening for trading of the Euro and Pound from midnight to 5:00 AM EST. When the market is in a tight range (I am using the Euro futures and GBP futures) those first 4 or 5 hours of the day, a breakout of that range using 60 minute bars most often leads to a continuation of at least 40 to 50 pips in that direction leading through the U.S. open at 9:00 AM EST or so. SOmetimes the breakout happens around 3:00 AM if at all.

You place a stop on the other side of the range for reversal and false breakouts. I am still testing but this is a great visual pattern one can trade using the forex futures and trading off the ranges establushed in the opening hours of the London markets.

For a good example, look at British Pound futures BPu06 yesterdya morning from Midnight to 3:00 AM EST...
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Could you attach a chart please?
 
While the Crabel book itself is interesting, his ideas are no better than random. It makes me wonder why people spend their time going over methods that are not profitable.
 
Quote from Murray Ruggiero:

The market is a paradox , they both can work, both breakout and counter trend. It depends on the timeframe you are holding for. I have found the same issues you did. For the stock indexes, they have changed since 2003 and opening range breakout for a day trade does not make as much money as before and for a few day hold is even worse.
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I am not surprised at all. Volatility breakout systems, at least acc to my testing, do much better in high volatility and after a day or two of tight congestion.

Have you considered/tried an ADX filter to the system(s)?

Has your research on volatility breakouts included any further work on the J.T. Jackson/zone research you wrote about in 1997?

Cordially,
ssynic
 
Quote from zxcv1fu:

Can you post a great money making swing system with your back tested performance data? Thanks!
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Excellent question.
I'm affraid that Murray and Jack don't provide this kind of info.
 
About 18 months ago I took a hard look at the Crabel methods and back tested a bunch of stuff. (I ran a gazillion back tests).

I published some of the results here:
http://www.deltat1.com/Strategies/day_type/

What I found was that some of the stuff made money but nothing produced a smooth equity curve that a solid strategy would produce.

Of course, I may not have found the right combination, and so I continue to look...
 
Quote from guy2:

About 18 months ago I took a hard look at the Crabel methods and back tested a bunch of stuff. (I ran a gazillion back tests).

I published some of the results here:
http://www.deltat1.com/Strategies/day_type/

What I found was that some of the stuff made money but nothing produced a smooth equity curve that a solid strategy would produce.

Of course, I may not have found the right combination, and so I continue to look...
More...

Did you ever look at increase the holding period to either first profitable opening or exiting the position on a opening range breakout in the opposite direction without the restrictive filters ?
 
i saw the crabel book as a good starting point. just a way how to look at the whole thing.

and probably the secondary market price for his book is one of the highest in 1980s literature worldwide ...
 
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