Opening range breakout in new electronic markets

[mizhael]

Quote from Murray Ruggiero:

I have done some research. I discussed it in my upcoming futures article and will share more after it comes out. What I can tell you is that in the old Pit days "Open" worked well across many markets. Now in 24hr e-trading, Close at a bigger spread and (High+Low+Close)/3 work well in different markets. If one works well in that market the other one does not. I have not figured out why yet.
I will report more soon.

how does a usual OBR strategy work?

 

[Murray Ruggiero]

Quote from mizhael:

how does a usual OBR strategy work?

You use the open as the reference point and then take a breakout based on some volatility measure from there.

If your using intra-day data, you might buy on a breakout of the first hours range + fudge factor.

 

[Scipio]

I have been researching intraday volatility breakouts in individual stock and like any other entry technique, it works sometimes and not in others. Has your research identified any other variables or specific market environments that consistenty impact the success of volatility breakout style entries? Some of the ideas I am looking into include daily range, volatility, trend, liquidity, pattern effects, etc.

Thanks for any insight.

Scipio

 

[mizhael]

Quote from Murray Ruggiero:

You use the open as the reference point and then take a breakout based on some volatility measure from there.

If your using intra-day data, you might buy on a breakout of the first hours range + fudge factor.

Is your article out?

 

[Murray Ruggiero]

Quote from mizhael:

Is your article out?

A few more days I think, not sure when they ship the issue.

 

[SuperCruz]

Mr. Murray, it has been over two months, since you mentioned about the article. When can we expect to know more of the same?

 

[Murray Ruggiero]

Quote from SuperCruz:

Mr. Murray, it has been over two months, since you mentioned about the article. When can we expect to know more of the same?

I am currently working on a article on backtesting systems and producing realistic results. I have to once again deal with both contract rollover and switching between the pit and electronic market. This article will be out in the June issue.

 

[Murray Ruggiero]

Quote from Scipio:

I have been researching intraday volatility breakouts in individual stock and like any other entry technique, it works sometimes and not in others. Has your research identified any other variables or specific market environments that consistenty impact the success of volatility breakout style entries? Some of the ideas I am looking into include daily range, volatility, trend, liquidity, pattern effects, etc.

Thanks for any insight.

Scipio

I have just begun to get a chance to start doing research again on various topics. You might of noticed I am also posting more often now. I will post some comments here about these topics soon.

 

[SuperCruz]

Quote from Murray Ruggiero:

I have just begun to get a chance to start doing research again on various topics. You might of noticed I am also posting more often now. I will post some comments here about these topics soon.

That is true, Murray Have seen your posts in other places also, do keep updating, and hope to hear more in this thread soon.

 

[Murray Ruggiero]

Quote from SuperCruz:

That is true, Murray Have seen your posts in other places also, do keep updating, and hope to hear more in this thread soon.

I am out of town. I will be doing some research and posting more stuff when I get back next week