Opening Range/Volatility breakout in the Age of the Electronic Markets
- Thread starter Murray Ruggiero
- Start date
Does it work on bitcoin?
He's a sponsor. He's entitled to promote his products. Doesn't seem hard to understand.
Here is a scholastic paper purporting that ORB is a profitable system:
In this paper, we present our studies on the design of timing parameters of ORB strategies in index futures markets. We first show that, based on cross-sectional analysis on 10-year historical data, trading volume and fluctuation of return on each one-minute interval of trading hours of the futures markets reach their peaks at the opening and closing of the underlying stock markets. We test ORB strategies on the index futures of DJIA, S&P, NASDAQ, HIS, and TAIEX from 2003 to 2013. We find that by optimizing the trading timing, ORB achieves over 10% annual return with p-value no greater than 2% in each futures market. The best performance, 22:6% annual return at p-value of 1 108, occurs in TAIEX.
(Source: http://www.kafo.or.kr/eng_image/pdf/Yi_Cheng_Tsai.pdf)
I did a quick online search and found a copy of Crabel's book circulating on the web. I won't debate whether that's legal or not. :eek:
There is a long running thread on opening range trading, "ACD" based on Mark Fishers book. Using report/catalyst/event driven opening range has come up in that thread but not in any detail as I remember.Seems aside from a variable, expected increase in volatility, well........you must have found something else.
Here is a scholastic paper purporting that ORB is a profitable system:
In this paper, we present our studies on the design of timing parameters of ORB strategies in index futures markets. We first show that, based on cross-sectional analysis on 10-year historical data, trading volume and fluctuation of return on each one-minute interval of trading hours of the futures markets reach their peaks at the opening and closing of the underlying stock markets. We test ORB strategies on the index futures of DJIA, S&P, NASDAQ, HIS, and TAIEX from 2003 to 2013. We find that by optimizing the trading timing, ORB achieves over 10% annual return with p-value no greater than 2% in each futures market. The best performance, 22:6% annual return at p-value of 1 108, occurs in TAIEX.
(Source: http://www.kafo.or.kr/eng_image/pdf/Yi_Cheng_Tsai.pdf)
I did a quick online search and found a copy of Crabel's book circulating on the web. I won't debate whether that's legal or not. :eek:
Simply back test it on several asset classes in fut's markets and you will have interest, other than that its talk, since you are dealing in "electronic" markets you can get down to tick movements, no excuses
Murray Ruggiero
Sponsor
Want proof? Check out our results below using Crabel breakout. No slippage and commission for the electronic open and my new Dynamic Open:
Classic Open Dynamic Open™
Market Net Profit Avg. Trade Drawdown Net Profit Avg. Trade Drawdown
Corn $35,237.50 $58.24 ($15,400.00) $81,162.50 $129.03 ($7,337.50)
Soy Bean $40,150.00 $62.06 ($24,850.00) $90,712.50 $141.08 ($17,225.00)
Wheat $28,300.00 $48.96 ($15,700.00) $64,000.00 $106.49 ($13,500.00)
Crude $31,390.00 $47.35 ($40,470.00) $73,840.00 $116.47 ($34,390.00)
Live Cattle $24,560.00 $40.07 ($15,420.00) $39,640.00 $85.25 ($11,490.00)
Gold ($9,760.00) ($15.57) ($74,630.00) $46,130.00 $77.40 ($43,680.00)
US $17,406.25 $27.33 ($31,812.50) $75,875.00 $131.04 ($14,656.25)
Coffee $1,312.50 $2.90 ($46,256.25) $65,962.50 $105.54 ($41,981.25)
Natural Gas $49,850.00 $79.51 ($20,630.00) $58,340.00 $94.25 ($23,390.00)
$218,446.25 $595,662.50
*Results for past 5 years, simple stop and reverse system no slippage and commission
*Dynamic open uses 2 tuneable parameters which control the sensitively to trigger the open
Dynamic Open™ makes 2.7 times more on the basket!
Article is interesting and for stock indexes they are right, for the most part the 9:30 am open follows the volume patterns. This is not true of other futures markets and commodities that where Dynamic open comes in.
Classic Open Dynamic Open™
Market Net Profit Avg. Trade Drawdown Net Profit Avg. Trade Drawdown
Corn $35,237.50 $58.24 ($15,400.00) $81,162.50 $129.03 ($7,337.50)
Soy Bean $40,150.00 $62.06 ($24,850.00) $90,712.50 $141.08 ($17,225.00)
Wheat $28,300.00 $48.96 ($15,700.00) $64,000.00 $106.49 ($13,500.00)
Crude $31,390.00 $47.35 ($40,470.00) $73,840.00 $116.47 ($34,390.00)
Live Cattle $24,560.00 $40.07 ($15,420.00) $39,640.00 $85.25 ($11,490.00)
Gold ($9,760.00) ($15.57) ($74,630.00) $46,130.00 $77.40 ($43,680.00)
US $17,406.25 $27.33 ($31,812.50) $75,875.00 $131.04 ($14,656.25)
Coffee $1,312.50 $2.90 ($46,256.25) $65,962.50 $105.54 ($41,981.25)
Natural Gas $49,850.00 $79.51 ($20,630.00) $58,340.00 $94.25 ($23,390.00)
$218,446.25 $595,662.50
*Results for past 5 years, simple stop and reverse system no slippage and commission
*Dynamic open uses 2 tuneable parameters which control the sensitively to trigger the open
Dynamic Open™ makes 2.7 times more on the basket!
Here is a scholastic paper purporting that ORB is a profitable system:
In this paper, we present our studies on the design of timing parameters of ORB strategies in index futures markets. We first show that, based on cross-sectional analysis on 10-year historical data, trading volume and fluctuation of return on each one-minute interval of trading hours of the futures markets reach their peaks at the opening and closing of the underlying stock markets. We test ORB strategies on the index futures of DJIA, S&P, NASDAQ, HIS, and TAIEX from 2003 to 2013. We find that by optimizing the trading timing, ORB achieves over 10% annual return with p-value no greater than 2% in each futures market. The best performance, 22:6% annual return at p-value of 1 108, occurs in TAIEX.
(Source: http://www.kafo.or.kr/eng_image/pdf/Yi_Cheng_Tsai.pdf)
I did a quick online search and found a copy of Crabel's book circulating on the web. I won't debate whether that's legal or not. :eek:
Article is interesting and for stock indexes they are right, for the most part the 9:30 am open follows the volume patterns. This is not true of other futures markets and commodities that where Dynamic open comes in.
Murray Ruggiero
Sponsor
See What I am selling is a statistical way of coming up with a opening time which is dynamic can change from day to day for tomorrow. This is important because the 24 hr open is not useful for trading because it happens when the world is not actively trading. I am wrapping some classic methods around this technology and showing how similar they work to when opening range breakout actually worked before 2007. Fisher'sbook was written in 2002, so it was during a time that the pit still traded and there was no need for this concept.
I think the point is, you can purchase his software and test it on NG yourself.