[Soultrader]

This information is only available in Tony Crabel's, "Day Trading With Short Term Price Patterns and Opening Range Breakout". This is a mathematical formula used to play the opening range breakout. If you are unfamiliar with this method it may sound complicated but bear with me.

First Step: you get the (High - Open) and the (Open - Low)

For example: Let's take the S&P 500 emini contract

High: 1294
Low: 1281.5
Open: 1290.50

(High - Open) = 3.5
(Open - Low) = 9

2nd Step: You take the minimum of the two numbers. In this example the minimum would be 3.5.

3rd Step: Add the minimum for the last 10 trading days and divide it by 10. So you would add 3.5 to the minimum of the previous 9 days. In total you will have 10 numbers. Divide that by 10 to get the average.

4th Step: For example, let's say you get a 10 day average of 2.5. You simply play the breakout of the opening range. If prices open up at 1293, you would buy a breakout above 1295.5 and short a breakdown below 1290.50.

Simple and easy. I have not tested this to work but I know this was a famous opening break method amongst the professionals for many years. Alot of traders still use this method. Some may chose to take the 10 day average minimum and multiply it by 1.1 or 1.2 to make slight adjustments to the markets they are trading. Hope it helps.

[Bollis]

This is good strategy, Do you know if there is some AFL for Amibroker that implements these rules?

Br

[thrunner]

The title of this thread looked funny until you realized that Crabel's first name is Toby and not Tony.

The practice of opening range breakout (ORB) has changed since Crabel's book came out and some would say it is not working - although some say it could work if one modified the concept of ORB and optimal entry points. In any case, the Amibroker file you are likely to come across will not be profitable as is, unless you understand how Crabel came up with the ORB concept - Steenbarger has some good articles on this.

Subsequent to Crabel, Clayburg has done some work on ORB and called it Day Directional Filter (DDF). Some would say that doesn't work either as Clayburg seems to be curve fitting his strategy constantly to make it appear better than it is.

The attached file is such an example of DDF for Amibroker and the dll file has to be installed in the Amibroker plugin folder.

[bakrob99]

Personally, I don't like the ORB concept as it ends up being a "Buy the Highs, or Sell the Lows" too often for my liking. It's great of you can support it with a trend day confirmation, easier said than done. But if the TRIN and TICKS suggest it's a possible trendday forming, then look at the ORB as potential support for an entry which you would want to hold for a longer than normal time, to the Close if possible.

I guess I should add that my suggestion is only meant for the Stock Index Futures. Other markets I'm sure have different conditions which may very well support a more generous use of the ORB strategy.

[fivev]

Got interested in this . . . as an All.Data.Everywhere. project . . .

Here is the last 10 sessions of Data on the ES . . .


Plotted on a 30min chart . . .


. . . will have to run further tests, but my eyeballs tell me that these ranges are a bit much . . .

Have I done the formula for the range calculation correctly ?

FiveV

[Xuanxue]

Hey there, fivev.

The mean pivot is high+low+session close/3

The pivot range is found by adding and subtracting to and from the mean pivot the differential of calculating high+low/2 and subtracting the number from the mean pivot.

My personal preference is to use data from regular trading hours - a glance at my chart should indicate why.

Tommorow's RTH pivot range that's already under attack overnight:

Mean pivot: 904.33

H+L/2 = 903.12

Differential: 1.21

Pivot range: 905.54 - 903.12

Best to you;

[BlowFish]

There is something appealing about setting your orders at the open and then taking off for the day. Those interested in OR BO's might like these threads on Mark Fishers ACD. I think he uses the pivot mid point range that Xanxue describes.

http://www.traderslaboratory.com/for...ethod-689.html
http://www.traderslaboratory.com/for...inar-3367.html

The Rumpled Ones 'milk the cows' is also an opening range break out system.

[fivev]

Forgive me . . . but I don't see any references to "pivots" in Soultrader's explanation about how to calculate Toby Crabel's opening range break-out formula . . . .

FiveV