Opening Range Breakout, for Futures and Equities

Quote from Murray Ruggiero:

One example of this is my Adaptive Channel breakout concept, I developed in 1995, and originally published in Futures Magazine in January 1996. This methodology still works well today.

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Murray,
If it isn't too much trouble would you reprint this article or give some rules to your Adaptive Channel breakout system ?
Peace.
 
Quote from Murray Ruggiero:

It is true that some can fail out of the box after good backtesting results, while other can continue to work for a decade or more. One example of this is my Adaptive Channel breakout concept, I developed in 1995, and originally published in Futures Magazine in January 1996. This methodology still works well today.
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Murray,

Is that the system known as the "Dynamic Break Out" system? (If so, I've seen the origination of this system being attributed to George Pruitt).

Nevertheless, would you mind listing what basket of commodities would you trade with this system?

Richard
 
Quote from rickty:

Murray,

Is that the system known as the "Dynamic Break Out" system? (If so, I've seen the origination of this system being attributed to George Pruitt).

Nevertheless, would you mind listing what basket of commodities would you trade with this system?

Richard
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It is not "Dynamic Break Out". It is totally different, my orginal methodology used the "MEM" algorithm to find the dominant cycle. I then used that to set the channel length. I originally did this work in 1995. In 2001 I retested it using the Hilbert Transform which is another way of finding the dominant cycle. It is not as accurate and has more lag the "MEM" but it allowed me to open up this research to a lot more traders, since it did not require the "MEM" software.

I am speaking at Traders Expo this week. In my talk I am showing how we increased the profits of the classic Turtle systems by using Adaptive channel breakout. We did this by set the three channel lengths in the system to different percentages of the dominant cycle.

Here is that Excel Workbook as produced using TradersStudio 2.0 beta for regular turtle and Adaptive Turtle. This is not the complete set of rules but we are including:

Donchian Entry/Exit Channels
Contingency Risk Stop at 2N (2*ATR)
Skip Rule after profitable trade
Failsafe Entry exception to skip rule
Features of the system not implemented
Pyramiding – does not work
We are also using $75.00 slippage and commission
 

Attachments

Besides the Turtle based systems ,I am also covering a bond system based on intermarket analysis and a intermediate term SP500 Mini system.

My talk also has something for equity traders. My Nasdaq Trading system has done well the second half of the year. Using TradersStudio 2.0 , I show a simulation based on evenly dividing your money across all 100 stocks. This system has produced the following since Jan 1995:

Return Over Period 955.54%
annual return 95.72%
Compound Annual Growth Rate 26.63%

These results were produced using TradersStudio stock contracts and TradersStudio 2.0. This system ships free with TradersStudio.
 
I got my schedule. My talk at Traders Expo is 5.00 pm in Chablis. The talk will last to 6.30. I hope to see your there
 
Can you give me a little more information about the 'TradersStudio stock contract'?

I wasn't able to make it to the conference in Las Vegas in case you covered it there in your talk, but it is mentioned in your post.

Thanks in advance.

:confused:
 
ORB doesn't work in 90% of the crap out there. Not in a dead market like this. Why hype it more? Please show where it works with any consistency.
 
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