How about proving that it works before putting another worthless TA book on the market? From what I hear, ORB works about as well as OBV.
Opening Range Breakout, for Futures and Equities
- Thread starter Murray Ruggiero
- Start date
Murray Ruggiero
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I would not use it for commodities anymore. There the standard ORB does not work. It still works for stock indexes,ETF's and stocks.
Can you post or link to some backtests?
I would be interested.
A few friends of mine and I tried this on earnings stocks a few years ago. Fully automated. But even when our programmer got co-located, the slippage was insane.
But maybe if you are willing to have a small percentage of your trades be huge winners, and hang on to them longer than the other guy.... Hmm...
Yeah systems that depend on a few huge winners to succeed tend to be losers in the real world because most traders just can't psychologically endure the associated huge drawdowns required to make the darn thing work. So unless the OP has some new twist on ORB that avoids big drawdowns, we just get another TA book that ultimately leaves its readers frustrated.
Murray Ruggiero
Sponsor
In general your correct , most technical analysis books are not very useful. I always try to go deeper when I work on a topic. Not just give curve fitted example. For example , are there any patterns on which type of stocks hold breakouts best. What patterns lead to what number of ATR move off of a breakout point so you can gauge expected trade returns and is the trade worth the risk. How long does a given pattern stay above the breakout, what does that time distribution look like.
I think the ORB based on some designated time interval isn't that helpful.... If you look at some sort of bands that are based off of ADR that change and are flexible it paints a clearer picture...
My point is that you can jump around from 5 minute, 15 minute, 30 minute and not get too far and end up running around in circles...... you create the bands from something else than time.
Murray Ruggiero
Sponsor
See I like using a offset from a key value like the open and using a directional bias setup, so I know before the open if I will go long or short at the open/yesterdays close or some balance point at X above or below that point. This kind of testing takes all the time element away. I will also study time based analysis when I do this book but I am just telling you what I currently do.
The bias for the day can be simple Close>Open , then you can only go short. If Close<Open then you can only go long. This was a filter in Larry Williams Long term secrets of short term trading book.