Opening Range Breakout , Crabel method
- Thread starter Murray Ruggiero
- Start date
sorry - I'm a little late to this party, but I'm getting the impression that the ORB discussion was more about mechanical entries and then backtesting the results?
No mention made of using a one hour break out strategy? As per my own ongoing trading/testing, I demaracte the high and low of the first hour (on the ES, YM or RUSSELL) then see where the bias heads. You're not buying or selling the breakout, but waiting on the pullback from the breakout.
I find a high probability of OR breaks to the upside eventually continue to the upside (the operative word being eventually), meaning of course that sometimes uncomfortable slippage has to be allowed and wide stops used. However, I am trying to use both indicator and candle filters to spot potential breakout failures vs. winners; I find, for example, that if the OR break to the upside is less than 10% of the total range (of the OR), then pullbacks can be long and extended; here, larger time frames can help to re-identify moves back to the upside. Contrarily, when upside breaks are fast and furious and everyone is most likely trying to board the train, the OR bias is negated until further notice.
Critical is the avoidance of mechanically sought after profits (such as EOD); usually a percentage of the OR range itself can accurately predict profit targets a good percentage of the time and one has to be happy with 1.25 to 2 points on most days.
Shorts are a different ball game and there must be at least two lower closes below the OR to even consider going short.
I have been profitable, but have drawn down when getting impatient with the OR system itself and trying to trade moves or counter moves within the OR itself---on days when the OR trades don't materialize. This is still a work in progress.
traderon
No mention made of using a one hour break out strategy? As per my own ongoing trading/testing, I demaracte the high and low of the first hour (on the ES, YM or RUSSELL) then see where the bias heads. You're not buying or selling the breakout, but waiting on the pullback from the breakout.
I find a high probability of OR breaks to the upside eventually continue to the upside (the operative word being eventually), meaning of course that sometimes uncomfortable slippage has to be allowed and wide stops used. However, I am trying to use both indicator and candle filters to spot potential breakout failures vs. winners; I find, for example, that if the OR break to the upside is less than 10% of the total range (of the OR), then pullbacks can be long and extended; here, larger time frames can help to re-identify moves back to the upside. Contrarily, when upside breaks are fast and furious and everyone is most likely trying to board the train, the OR bias is negated until further notice.
Critical is the avoidance of mechanically sought after profits (such as EOD); usually a percentage of the OR range itself can accurately predict profit targets a good percentage of the time and one has to be happy with 1.25 to 2 points on most days.
Shorts are a different ball game and there must be at least two lower closes below the OR to even consider going short.
I have been profitable, but have drawn down when getting impatient with the OR system itself and trying to trade moves or counter moves within the OR itself---on days when the OR trades don't materialize. This is still a work in progress.
traderon
I read the Crabel book and tried to adapt the ideas to intraday periods with little success. It was a similar experience, the stops had to be pretty wide. I got fooled by looking at charts and not realizing how much price would dither around inside the bar. Backtesting was great until I tested to the tick level, then it was a disaster.
The opening range ideas are great if you have lots of BP, I'm just trading my retail account but I might get back to the ideas at some point. Some guys at the other big forum from England, I can't recall the URL, worked up an ORB scheme and they were finding it worked fine but what had happened over time was that the "opening" range was best defined as several hours into the day. Crable had a factor that he calculated from previous days that had to be added to the opening range to get a signal, I can't recall exactly how that worked. I was not doing that with the intraday ideas. I have little doubt that with more work I could have gotten it working but I found better things to do. Were you following Crabel's ideas?
The opening range ideas are great if you have lots of BP, I'm just trading my retail account but I might get back to the ideas at some point. Some guys at the other big forum from England, I can't recall the URL, worked up an ORB scheme and they were finding it worked fine but what had happened over time was that the "opening" range was best defined as several hours into the day. Crable had a factor that he calculated from previous days that had to be added to the opening range to get a signal, I can't recall exactly how that worked. I was not doing that with the intraday ideas. I have little doubt that with more work I could have gotten it working but I found better things to do. Were you following Crabel's ideas?
This guy does an opening range breakout using a 3 minute opening range. He waits for the first three minute bar on ER2 to complete then goes with whichever way it breaks from there. He seems to do pretty well with it.
http://www.tradersparadise.blogspot.com/
http://www.tradersparadise.blogspot.com/
<This guy does an opening range breakout using a 3 minute opening range. He waits for the first three minute bar on ER2 to complete then goes with whichever way it breaks from there. He seems to do pretty well with it>
There are so many variations on that theme (Fisher's AC up, down, etc., Mother of All Futures, etc.) and many seem to have some issues.
I was sent a copy of Mother of all Futures and thankfully, for free -I would have been very pissed off had I thrown 150USD out the window. This, yet another variation on the opening bar theme (5 minutes I believe). Interestingly, there was quite a long thread of what seemed to be fairly new traders all very "enthusiastic" about trades they were conducting. Then eventually and with time, one trader after another left the thread and many were complaining of significant draw downs. Black Jack trader is yet another version of the OR breakout based on one hour time frame.
The last posters were correct; you do need a fair amount of BP, but I am still trying to tweak some filters on a one hour based scheme that will improve entry precision and mitigate slippage.
For example, take a look at MACD (10,18,10), True Strength Index and CCI (18). Again using the one hour breakout strategy, wait for a bias to be established, but only enter trades when all three indicators have rotated from over sold to buy zone and then retreating for shorts, vica versa for longs---though with longs, the indicators may not rotate all the way back to their opposite extreme, insteda making higher lows or higher highs. Play with it a little and see if you can detect common patterns.
There are so many variations on that theme (Fisher's AC up, down, etc., Mother of All Futures, etc.) and many seem to have some issues.
I was sent a copy of Mother of all Futures and thankfully, for free -I would have been very pissed off had I thrown 150USD out the window. This, yet another variation on the opening bar theme (5 minutes I believe). Interestingly, there was quite a long thread of what seemed to be fairly new traders all very "enthusiastic" about trades they were conducting. Then eventually and with time, one trader after another left the thread and many were complaining of significant draw downs. Black Jack trader is yet another version of the OR breakout based on one hour time frame.
The last posters were correct; you do need a fair amount of BP, but I am still trying to tweak some filters on a one hour based scheme that will improve entry precision and mitigate slippage.
For example, take a look at MACD (10,18,10), True Strength Index and CCI (18). Again using the one hour breakout strategy, wait for a bias to be established, but only enter trades when all three indicators have rotated from over sold to buy zone and then retreating for shorts, vica versa for longs---though with longs, the indicators may not rotate all the way back to their opposite extreme, insteda making higher lows or higher highs. Play with it a little and see if you can detect common patterns.
Guys, in case you are interested, Toby Crabel's book, Day Trading With Short Term Price Patterns and Opening Range Breakout, is now on Ebay, starting bid $100!
http://cgi.ebay.com/ws/eBayISAPI.dl...MESE:IT&viewitem=&item=290112689744&rd=1&rd=1
http://cgi.ebay.com/ws/eBayISAPI.dl...MESE:IT&viewitem=&item=290112689744&rd=1&rd=1
Murray Ruggiero
Sponsor
This thread has a lot of information on the topic, plus I am willing to answer questions on the ORB , just ask me.
I covered most of the topics in the Crabel book , plus the work of Williams and Knight in my video , which is sold on TradersStudio.com for $24.95.
http://www.tradersstudio.com/Produc...ID/5/psnavcmd/CatalogItemDetails/Default.aspx
I covered most of the topics in the Crabel book , plus the work of Williams and Knight in my video , which is sold on TradersStudio.com for $24.95.
http://www.tradersstudio.com/Produc...ID/5/psnavcmd/CatalogItemDetails/Default.aspx
Murray Ruggiero
Sponsor
We have released TradersStudio 2.5 and I will have more time for making posts , If anyone has question on opening range breakout, let's restart this thread or move to a new one and cover the topic there.