Opening Range on e-mini s&p 500 - Useful? What values are you using?

[Howard]

So if it worked in the past decade but not before that, you would trade it? For a single instrument that's pretty brave.

Most certainly.

IMO, the most recent past is what matters, not what worked a decade ago. But sure, I wouldn't mind using something that worked a decade ago and still works today.

 

[Howard]

Opening ranges if I remember were in 1980's-90's, there were gaps back then, and each contract would start/stop after the nearest was opened/closed, and after all were traded for "opening ranges", then all be trading altogether. Electronic markets killed most of it off.

Sundays and whenever markets have closed periods, gaps can happen but not like before. Coffee sometimes have sizeable gaps.

Back in early 90's I remember some courses were made on how to trade it, but it is like anything, every few years vendors sell some gibberish till next "label" comes out.

I chart RTH data. SPX/SPY still have regular trading hours from 09:30-16:00, yes?

ES would not be any different.

Yesterday's closing price at 16:00 is still a highly significant level. The same with the daily open. High/low prices are less significant, IME, but still worth paying attention to.

I will share my findings here when I'm done.

 

[SunTrader]

Never tested but I do plot and take note of first 5 mins and first 30 mins (starting at 930 ET) high, low and midpoint between.

 

[AAAintheBeltway]

I'll be curious of the results and methodology. A number of posters over the years have done work on opening ranges. Opening gaps have always fascinated traders, although I'm not sure how much significance there is to them in the world of 24 hour trading.

I did some backtesting years ago on ORs, and, like d08, found the results underwhelming. It is certainly a fertile area to research because that time period is where the action usually is. I am fairly confident a simple breakout or reversion strategy will not have a positive expectancy.

 

[Howard]

Hi all,

A bit behind on this...

Never tested but I do plot and take note of first 5 mins and first 30 mins (starting at 930 ET) high, low and midpoint between.

But if you plot these - surely you must have some experience with these levels...?

What I'm noticing so far is that the midpoint on the 30 minute range seems to have some significance and is a price point the market typically reverts back to. ES is a market which typically reverts or oscillates, so there are far better instruments to consider for OR breakout strategies I'm sure.

Picture below shows 30 minute OR with the midpoint in blue. I took the liberty to mark out the midpoint reversion trades. Seems like it can be used both as a potential target as soon as the market trades toward it or as a reversal/pivot level.

 

[Howard]

As for the High/Low lines or the actually 30 minute OR - it does not seem to be very significant. At least not if you want precision.

 

[Howard]

Okay - I'm a bit behind on the visual backtest. That stuff is time consuming. But I will rigorously work through it eventually.

I am however running a few statistical test and I'm getting probabilities that are 75 % +. So I'm sure something interesting can be found.

I was about to reveal a few findings, but maybe research is best kept private? Or what?

 

[slugar]

It's meaningless. There are days when it works but those are cherry picked examples. I'd say this is one of the easiest things to backtest, you're operating only on bar data.

I don’t think it’s meaningless at all but like most edges it doesn’t work all of the time

 

[maxinger]

Newbies (including me decades ago) uses it.

Opening range is total garbage. anyway when you do back testing, you can see it for yourself.

Americans might continue to move the market from where Europeans have left.
Americans might not like what Europeans have done. and Americans will simply reverse the trend.
During US opening session, Americans might make up up their minds very fast and move the market right away. OR Americans might make up their minds hours later and then move the market.
etc etc etc etc etc.

anyway if you find opening range useful, by all means go use it.

 

[d08]

I don’t think it’s meaningless at all but like most edges it doesn’t work all of the time

No-one suggested it always works. I'm saying there's no consistent profit in it as I've backtested it in every way I can imagine. Opinions irrelevant.