Opening Range Breakout, for Futures and Equities
- Thread starter Murray Ruggiero
- Start date
Murray Ruggiero
Sponsor
I know many of you have enjoyed part 2 of my opening range breakout video. Since it requires registration to be able to view it, I have talked TradersStudio into change the registration requirements. We now only require
First Name,Last Name ,E-Mail and of course you pick your using name and password.
You no longer need to put a phone number and address.
I really want more people to watch this, so please register since we have now effectively limited the personal information to a E-Mail address since , First and last name is not really unique
Please register at
http://tradersstudio.com/Default.aspx?tabid=56
First Name,Last Name ,E-Mail and of course you pick your using name and password.
You no longer need to put a phone number and address.
I really want more people to watch this, so please register since we have now effectively limited the personal information to a E-Mail address since , First and last name is not really unique
Please register at
http://tradersstudio.com/Default.aspx?tabid=56
Murray Ruggiero
Sponsor
That is not the point , the point is this method has worked for 25 years , so not working for a year or does not mean it does not work. Every method goes though period of drawdown. Remember 95% of traders lose money so the market needs to make popular trading methods not work for periods of time , so that less people trade them. Then they will start to work again. This is a way of the market protecting them.
wow!
Murray Ruggiero
Sponsor
TradersStudio has announced that it is raising the price of my opening range breakout video October 15th to 24.95.
You can still view the first two parts of the video ,20 minutes of the 120 of video for free on TradersStudio.com. Everyone can watch the first part about 8-10 minutes, that does not even require registration. The second part requires registration which is free in order to watch it, we changed our registration requirements a while ago so you need only a E-Mail address,name, and then your user login and password to register.
Everyone should watch part 1. I am sure if you do, you will have questions which I am very happy to answer.
http://www.tradersstudio.com/Default.aspx?tabid=129
You can still view the first two parts of the video ,20 minutes of the 120 of video for free on TradersStudio.com. Everyone can watch the first part about 8-10 minutes, that does not even require registration. The second part requires registration which is free in order to watch it, we changed our registration requirements a while ago so you need only a E-Mail address,name, and then your user login and password to register.
Everyone should watch part 1. I am sure if you do, you will have questions which I am very happy to answer.
http://www.tradersstudio.com/Default.aspx?tabid=129
Murray Ruggiero
Sponsor
It depends on the market. Let's look at a simple classic opening range breakout system, with a counter trend filter.
Sub SimpleOpenRangeBreakOut(MULT)
Dim AveTr
Dim Nxtopen
If BarNumber<LastBar Then
Nxtopen=NextOpen(0)
Else
Nxtopen=0
End If
If Close > Open Then
Sell("SellBrk",1,Nxtopen-MULT*TrueRange,Stop,Day)
End If
If Close < Open Then
Buy("BuyBrk",1,Nxtopen+MULT*TrueRange,Stop,Day)
End If
End Sub
We will run this system on various markets. We want to judge if the system gives you a statistical edge as a strategy, not if it is tradable, so we did not include any deductions for slippage and commissions. This system is a free system included with TradersStudio. We ran it using several markets:
Crude, Cotton, Coffee, SP500, Nasdaq, Natural Gas, Ten-year note.
In some of these markets like SP500,Nasdaq and Natural Gas the average trade is high enough to make it tradable. In Cotton and Coffee the average trade is not high enough to think about trading, but high enough to make it interesting if we add a few more filters. In Crude oil and the ten-year note our point is just that it show a positive returns both long and short in markets with strong bias.
Please review attached spreadsheets.
Many people say Opening range breakout does not work anymore. You can see that this is not true, volatility makes it work. In fact out of our list of seven markets the only losing markets are the stock indexes. It was profitable in every other market in this limited study. I have included the Spreadsheet produced by TradersStudio as an attachment.
Remember you can also watch the first two parts of the opening range breakout video for free on TradersStudio.com
http://www.tradersstudio.com/Default.aspx?tabid=129
Sub SimpleOpenRangeBreakOut(MULT)
Dim AveTr
Dim Nxtopen
If BarNumber<LastBar Then
Nxtopen=NextOpen(0)
Else
Nxtopen=0
End If
If Close > Open Then
Sell("SellBrk",1,Nxtopen-MULT*TrueRange,Stop,Day)
End If
If Close < Open Then
Buy("BuyBrk",1,Nxtopen+MULT*TrueRange,Stop,Day)
End If
End Sub
We will run this system on various markets. We want to judge if the system gives you a statistical edge as a strategy, not if it is tradable, so we did not include any deductions for slippage and commissions. This system is a free system included with TradersStudio. We ran it using several markets:
Crude, Cotton, Coffee, SP500, Nasdaq, Natural Gas, Ten-year note.
In some of these markets like SP500,Nasdaq and Natural Gas the average trade is high enough to make it tradable. In Cotton and Coffee the average trade is not high enough to think about trading, but high enough to make it interesting if we add a few more filters. In Crude oil and the ten-year note our point is just that it show a positive returns both long and short in markets with strong bias.
Please review attached spreadsheets.
Many people say Opening range breakout does not work anymore. You can see that this is not true, volatility makes it work. In fact out of our list of seven markets the only losing markets are the stock indexes. It was profitable in every other market in this limited study. I have included the Spreadsheet produced by TradersStudio as an attachment.
Remember you can also watch the first two parts of the opening range breakout video for free on TradersStudio.com
http://www.tradersstudio.com/Default.aspx?tabid=129
Murray Ruggiero
Sponsor
I decided to put one of my spreadsheet from my Futures articles on opening range breakout up on Elite Trader. This spreadsheet shows NR_X patterns . All trades are exited at the end of the day. This spreadsheet was produced with TradersStudio custom report feature, which allows any system to produce a custom report which can be access with just one mouse click. This report can be printed as well as exported to Excel.
Murray,
I have followed your work for some time through Cybernetic Strategies and Futures Mag. I was pleased to see that you post on this website when I signed on.
It seems to me that much of your work involves researching filtering of various types to improve system performance. Have you done any research using 'day-of-week' filtering with ORB and if you have, does it still work?
agtrader777
I have followed your work for some time through Cybernetic Strategies and Futures Mag. I was pleased to see that you post on this website when I signed on.
It seems to me that much of your work involves researching filtering of various types to improve system performance. Have you done any research using 'day-of-week' filtering with ORB and if you have, does it still work?
agtrader777