Has anyone ever programmed an Open Range Breakout system for NT ? There are many different approaches to this concept, and I'd love to throw in all my knowledge and experience if someone would be willing to program it ? It's a highly profitable approach, and has been and still is being used by many professional traders.
To be a little bit more specific, I don't mean breaking out of the range established after the opening on a given day. I rather mean breaking above / below a "value" added / subtracted to / from the opening price, whereas that "value" is based on calculations derived from the action of previous bars / days...
Anyone interested and up to it ?
Happy smiles :-) Markus
The basic concept is very simple:
+ you add an "amount" to today's open and get your buy stop to go long.
+ you subtract an "amount" from today's open and get your sell stop to go short.
+ once long, you re-calculate and place the sell stop for the following bars / days until it is hit to reverse the position to go short.
+ and vice versa...
+ The most basic way to calculate the "amount" is to take x percentage of the average range of the last y bars / days.
Example: if the average range of the last 5 days was 120 and we use 60 percent, then you add 72 to the open to go long, and subtract 72 from the open to go short.
Let's say we're flat and open price is 13010, you would go long at 13082 and short at 12938. Let's say you are stopped in long at 13082, you would keep that long position until the sell stop is hit, which is re-calculated the same way (60 percent of average range of last 5 days) at the beginning of each new bar / day.
There are many variations:
+ using different percentages for buy stop and sell stop (depending on certain conditions / variables).
+ using different ways to determine "range", for example: max(highest high minus lowest close, highest close minus lowest low) over x days, or using the single biggest range over the last x days, or using the median of the open-close range, or ...
+ using a profit target (eg. xx percentage of average range...)
Hope that helps ...
The following user says Thank You to seveneigthtsix for this post:
The indicator identifies the intraday volatility generated by noise traders. The daily noise is defined as the smaller of (High - Open) and (Open - Low). The indicator detects the average daily noise (ADN) for two selectable periods and uses them to calculate intraday targets, which are displayed as noise bands. The upper band is calculated by adding the expected noise to the current open, the lower band is calculated by subtracting the expected noise from the current open.
The daily noise can be calculated and displayed for the full session or any intraday (RTH) session defined via the template. The indicator also can display OHL and Dynamic Fib Lines for the current session.
(1) The range of the prior day
(2) The range of the prior N days (arithmetic average of daily range)
(3) The noise of the prior day (noise is the smaller of high - open and open - low)
(4) The noise of the prior N days (arithmetic average of daily noise)
(5) The opening range of the Current Session
Determination of Breakout or Reflection Points
Now let us combine some of these elements, and see what we get