Opening Range Breakout, for Futures and Equities

actually i am paying much more attention to market profile and Steidlmayer's work for opening range breakout trades each day for trading the s&p mini. i am starting to "get it" for the theory behind MP and i have been spending time over the past several weeks in the IOAMT room in hotcomm {institute of auction market theory}. i have learned a whole new philosophy for trading the index futures that i feel can really enhance a persons manual trading. when i see moves now right out of the open, i feel i have a better understanding of the potential for the move to be a head fake or an actual move with follow through potential. i have even increased my position size for the opening trades due to what i have learned from studying market profile. in the past i used to load up right after a breakout on the first pullback --- now, if i see the potential for an initial opening trend i will get into a heavier position right after the open.

for me, MP is the only thing that i have ever found that i feel helps me to pick a potential direction out of the open with any level of confidence.
 
You are correct in a perfect world you would like to use intra-day data. I have built many systems, which enter off of the open and entered biased to direction, for example a day was a buy day or a sell day. My real time results and the results from End of day bars were close enough as long as I don't allow a protective stop till the next day.
I do see your point that testing long and short separate but on the same day can not be valid, because you can go long and short on the same day using a daily bar.
Seperate the long and short side using daily bars allow you to gather information quickly without intra-day data and see if it is ever worth researching you patterns further.

1) You can build ORB system which are biased, buy days and sell days using daily data
2) You can't build systems, which are not biased without intra-day data, but you can do some quick and dirty research, which will show the potential of a given pattern.
 
Hmm, I guess, whats in the air here, is that you can't discuss an old public domain concept that has worked badly for the past year or two and expect excitement, much less sell it. poof.
 
how do you test to optimize the opening range time frame; 5-, 15- or 60-minute bar... also, do you use volatility to set the envelope to trigger a signal?
 
Quote from mdl060374:

Not to be rude or skeptical, but I cant believe anything worth selling for $19.95 is that valuable...

And if it was, why would be selling it so cheap, if at all?
More...

I'm afraid he has a point, Murray. Raise the price to $12,000 and you may be backordered.
 
Murray,

I am aware of two reasonable, yet contradictory concepts. One is that, at least for the S&P, the day's high or low is made disproportionately during the first hour or maybe half hour. The other is that opening range is meaningless for tradeables that trade around the clock, eg currencies, energy, stock indexes.

What's your take on this?
 
It not really that simple, because all trading methods go though flat or drawdown period. There are a lot of systems who have there core logic are in the public domain, but the variations are proprietary and in fact manage billions of dollars. Many CTA trade variation of trend following methods based on public domain concepts but how they filter the signals, how they set the parameters, how they exit there trades are proprietary. In addition these hedge funds that manage billions of dollars have done badly over the past few years, so we could have the same conversation we are having with opening range breakout about trend following systems.


My goal is to make people look into these simple concepts deeper, that take work and thought. Have you ever thought that system drawdown or flat period is a way of protecting a methodology because weak trader stops trading it. Once enough people stop following it, then it starts to make money again.


Opening range breakout is a concept, which we could spend years researching to try to understand the best way to use and filter the concept and the best way to set the offsets. If you watched part 2 of my video you will learn three different offset, William, Knight and Crabel which will all give you different trades.
In these three methods performed differently over the past few years depending on the markets, they don't perform the same. Profits differ by 30%-50% between these three entries.
I hope people register on TradersStudio.com so they can watch the second part of the video, there is alot of good information there and from just watching both parts 20 minutes of the 80 minute video you will see the concept is not as simple as you think.
 
I am uploading a copy of the spreadsheets results I share with Future magazine readers. These spreadsheets were producted in TradersStudio using a custom report feature.
TradersStudio is very powerful. The four screen shots on the front page show tutorials showing the basics of TradersStudio. These are free and do not require registration.

http://www.tradersstudio.com/Default.aspx?tabid=56

In addition we are sending out a seven part E-Mail course on trading system development free to people who register on the site. The course is great for beginning and intermediate traders interested in developing trading systems.
 

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I have decided to share with you spreadsheet which I shared with my Future Magazine article readers. These show results of opening range breakout patterns. These reports were produced as custom reports in TradersStudio. You can see TradersStudio custom report features are very powerful.


In addition we are going to be sending out a E-Mail course on trading system development for beginning and intermediate traders interested in developing trading systems. This course is free for all registered people on our site.
The registration link is

http://www.tradersstudio.com/Default.aspx?tabid=56
 

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