Opening Range Breakout, for Futures and Equities

Here's something to help get the thread back on track. The theory behind orb is that the high/low of the day is likely to be made early and the low/high of the closeout is likely to be done later in the day. This is why it would be called a breakout.

It's pretty easy to check if the hypothesis is true or false. First check to see the time of either the high/low of the day (whichever is first). Here's the last 10 years of % time one of the legs is made. In 2002 more than 70% of the time the high or low was made in the first hour. Now, it's dropped down to 58%, so the timeframe for the initial orb has extended.
 

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Next, you'd check the time both sides of the high/low are made. As you can see, if you've caught the day high/low early, it's to your benefit to hold the trade until the close.
 

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acrary,
I understand what you're saying but due to the barrage of fake "breakouts'' in the last couple of years, the difference between the Close and when the breakout trade is placed, *on average* has become negligible if not negative, again due to the fact that there is practically NO range expansion to speak of.
How about a spreadsheet showing the close of the day minus whatever breakout point that would have been taken? The Net is negative!

Or how about this...measure the first 45-60 min range compared to the average trading day's range. The result will prove that a HUGE portion of the day occurs in that time frame and then it goes DEAD. This was not the case 3-4-5-6 years ago.

Too many people, too much money chasing the same idea=loss.
 
Quote from acrary:

Here's something to help get the thread back on track. The theory behind orb is that the high/low of the day is likely to be made early and the low/high of the closeout is likely to be done later in the day. This is why it would be called a breakout.

It's pretty easy to check if the hypothesis is true or false. First check to see the time of either the high/low of the day (whichever is first). Here's the last 10 years of % time one of the legs is made. In 2002 more than 70% of the time the high or low was made in the first hour. Now, it's dropped down to 58%, so the timeframe for the initial orb has extended.
More...

I think this hypohesis would prove true for pure random walk data.
 
Murray,
I haven't had a chance to ask you how the conference went. I hope it went well. Sorry that I was unable to attend. Were you profitable at the blackjack tables??

Instead of going to the conference, I ordered the Technology in Trading and ORB video. I am looking forward to receiving it and working with it. Santa is bringing it to me :D

Regards
 
Quote from risktaker:

acrary,
I understand what you're saying but due to the barrage of fake "breakouts'' in the last couple of years, the difference between the Close and when the breakout trade is placed, *on average* has become negligible if not negative, again due to the fact that there is practically NO range expansion to speak of.
How about a spreadsheet showing the close of the day minus whatever breakout point that would have been taken? The Net is negative!

Or how about this...measure the first 45-60 min range compared to the average trading day's range. The result will prove that a HUGE portion of the day occurs in that time frame and then it goes DEAD. This was not the case 3-4-5-6 years ago.

Too many people, too much money chasing the same idea=loss.
More...
You might want to consider the value of the $VIX: 3-4-5-6 years ago the index was swinging at 20 and above, this year was below 16.
I doubt this is the result of too much money chasing the same idea: http://ideas.repec.org/h/rba/rbaacv/acv2003-07.html
 
Murray,
I received the Technology in Trading package today. I should have a chance to look at it over the long weekend between football games. It looks good and I am reallly looking forward to working with it.

Regards,
 
Ok,
I have read up on all these variants of the Opening Breakout System. And, I understand that this system has been negatively affected by the flat/dead market and maybe to some extent by its popularity. I understand Crabel stopped using them?

But, for those of us recent converts to this system who don't know how to code and would like to test out and refine this system, could someone please provide a Tradestation compatible SYSTEM or INDICATOR version, even if its just a basic version for us to build. Williams doesn't give his codes in his books and the ACD system (also ATR based) guy just sells the signals as a service even though he just copied Williams and Crabel.

This would be very helpful. Thank you.
 
Here is an example of a simple ORB system in TradersStudio

'********************************
' ClassicIndexSys Mult is % of range off of the open and SType is either range or truerange
' 0 is range and 1 is truerange
' The system also exits all trades after five days
' TradersStudio(r) 2004 , All rights reserved
Sub ClassicORBSys(Mult,SType)
Dim Nxtopen
dim MyRange as bararray

Nxtopen=NextOpen(0)
if SType=0 then
MyRange=range
else
MyRange=truerange
end if
' We do not have a NextOpen on the last bar so we need to set it to zero
' This way the active order is reported as a change off of the open
if barnumber=lastbar then
Nxtopen=0
end if
If Close>Open then
Sell("SellBrk",1,Nxtopen-Mult*average(MyRange,3,0),STOP,DAY)
end if
If Close<Open then
Buy("BuyBrk",1,Nxtopen+Mult*average(MyRange,3,0) ,STOP,DAY)
end if
End Sub
 
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