Opening Range Breakout, for Futures and Equities

Mr. Ruggiero:

I have several questions for you.

First, regarding Yousef Hashmi, the critical inquiry here is what time frame did he make his million dollar fortune using a the IBD momentum model---was it 5 years in the Internet Era or was it 6 years AFTER the INTERNET ERA?

Second, can you post breakout results for sugar, soybeans and maybe cotton if you have time?

Third, my research shows that you had a successful S&P Trading System that you sold on the market to the big boys and retail customers (those who could afford the $10K price tag) mostly and rated in the top 5 of all commercial systems by Futures Truth Magazine which I looked at a few times. I forgot the name of it. I only saw the data results but did not read a review on how it actually worked. What was the operative mechanism of that highly successful software--I think it made you a millionaire many times over.

Did it use a breakout system? Please describe.
 
I used the system I posted on 12/30/05 with the parameters 0,3. I did not deduct slippage and commission because I wanted to judge the bias of these markets.
I found that soybeans and sugar average about $75.00 a trade since 1980. Coffee and Cotton were better, $213.87 a trade and Cotton $114.45 a trade. This is not Tradable. The problem was that the average trade lasted three days!. This is too short in these markets to get enough movement. This does not mean that opening range breakout can't be used as a entry method for a trend following methodology. I am sure that if we filter the trades in the direction of the trend we could develop a viable system using ORB, and longer term trades.
 
Quote from Murray Ruggiero:

I used the system I posted on 12/30/05 with the parameters 0,3. I did not deduct slippage and commission because I wanted to judge the bias of these markets.
I found that soybeans and sugar average about $75.00 a trade since 1980. Coffee and Cotton were better, $213.87 a trade and Cotton $114.45 a trade. This is not Tradable. The problem was that the average trade lasted three days!. This is too short in these markets to get enough movement. This does not mean that opening range breakout can't be used as a entry method for a trend following methodology. I am sure that if we filter the trades in the direction of the trend we could develop a viable system using ORB, and longer term trades.
More...

Sorry to seem daft but can you give an example of a system that uses ORB as a entry but is a longer term trend following system for these types of commodity markets.
 
I have had meeting the past few days . I will post something by the end of the week to give you an example of a longer term system with a opening range breakout entry.
 
I decided that this is a good example of how to build a system. I will go though this step by step and make multiple posts of each step so that people can see the process. If you have any questions along the way let me know.
 
Let's start our series on developing a trading system. We will test the premise that many trends are noisy and we get a market breakout, pullback and then a real move. We will develop a trend following system which trades on a pullback in a trend after a trigger to indicate the trend has continued. The case study will walk you though the steps including things that don't work. I want you to be able to follow along with the process.

This system is composed of three main components. A trend detector. A pullback detector and then a entry method which confirms the continuation of the trend. We will start testing our model as a stop and reverse system, later we will see if we can improve it by developing exits.

We will start our next installment with testing several different trend components on this basket.
 
It sounds interesting. What will be the pace you'll follow?
Quote from Murray Ruggiero:

Let's start our series on developing a trading system. We will test the premise that many trends are noisy and we get a market breakout, pullback and then a real move. We will develop a trend following system which trades on a pullback in a trend after a trigger to indicate the trend has continued. The case study will walk you though the steps including things that don't work. I want you to be able to follow along with the process.

This system is composed of three main components. A trend detector. A pullback detector and then a entry method which confirms the continuation of the trend. We will start testing our model as a stop and reverse system, later we will see if we can improve it by developing exits.

We will start our next installment with testing several different trend components on this basket.
More...
 
Here are the markets we will be using in this case study

Corn , Euro Currency,
Live Hogs, Australian Dollar
Copper , Municipal Bonds
Cocoa , Heating oil
Natural Gas, Canadian dollar
Unleaded Gas, Palladium
Crude oil , Orange Juice
Soybeans , Cotton
Japanese Yen, Sugar
Dollar Index, Coffee
Swiss Franc, Eurodollar
Lumber, Ten-Year Note
Live Cattle, soybean oil

We will be using back adjusted data for this analysis. We will start our analysis on the trend detection module in our next installment.
 
I trade stocks using the Fisher's ACD with some variations of my own and with some filters I have added in only 3 stocks which I have found that bounce against the OR and the pivots.

I am very happy with the results, this method has allowed me to churn less and have more profitable trades.

My P&L looks better every day. :D
 
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