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Open Range Breakout
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Open Range Breakout

  #1 (permalink)
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Open Range Breakout

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

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  #3 (permalink)
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breakout trades


More details about the method , so that it can be determined amount of work involved.

Thanks,

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  #4 (permalink)
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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 ...

:-) Markus

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  #5 (permalink)
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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.

https://futures.io/download/ninjatrader-7/indicators/750-download.html?view

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  #6 (permalink)
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seveneigthtsix View Post
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 ...

:-) Markus

@trendisyourfriend ans @mfbreakout have already given answer, but I will try to be more general. There are several approaches to determine the breakout levels.

All of those approaches have in common that they use a reference point and then add or subtract a volatility measure to or from that reference point.


Reference:

(A) Floor Pivot
(B) RTH Open
(C) Midpoint of the RTH Opening Range


Volatility Measure:

(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

(A1) Session Pivots S2 and R2, Jackson Zones

https://futures.io/download/ninjatrader-7/indicators/371-download.html

(A2) Session Pivots Rolling

https://futures.io/download/ninjatrader-7/indicators/714-download.html?view

(A3) Session Pivots S1 or R1

https://futures.io/download/ninjatrader-7/indicators/371-download.html

(B2) Session Volatility Bands

https://futures.io/download/ninjatrader-7/indicators/713-download.html?view

(B4) Session Noise Bands

https://futures.io/download/ninjatrader-7/indicators/750-download.html?view

(C2) Logical Trader Method (good AUp and good ADown)

https://futures.io/traders-hideout/6742-acd-trading-mark-fisher.html

(C5) Initial Balance Range Bands

https://futures.io/download/ninjatrader-7/indicators/851-download.html?view


For trading breakouts, I have found the Session Noise Bands (see above B4) most effective.

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Is it possible to make an indicator that can calculate levels similar to ib range bands but the A levels based on percentage of ADR? i.e. opening range high + % of adr for a-up, and opening range low - % of adr. I can't seem to for the life of me find one already built nor do I know how to code in ninja

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Hi there, good idea, but not available on forum / free stuff. I had to hire a programmer to build what I wanted done. I thought that was actually a good sign as not too many are using this approach. Open range breakout is still a very profitable approach if done correctly across a range of markets. Good luck to you !


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Is it possible to make an indicator that can calculate levels similar to ib range bands but the A levels based on percentage of ADR? i.e. opening range high + % of adr for a-up, and opening range low - % of adr. I can't seem to for the life of me find one already built nor do I know how to code in ninja


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Opstar View Post
Is it possible to make an indicator that can calculate levels similar to ib range bands but the A levels based on percentage of ADR? i.e. opening range high + % of adr for a-up, and opening range low - % of adr. I can't seem to for the life of me find one already built nor do I know how to code in ninja


This can be done, but the idea is sort of extravagant.

The opening range measures today's volatility during the opening period, the ADR measures the average volatility over the prior days. Mixing these do elements (adding the volatility of the prior days to today's volatility during the opening range period) does not convince me immediately.

If you wish to use the average volatility of the prior days - that is the ADR - I would rather use it to get a projected range for today. I would calculate

upper target = today's current low + percentage of ADR
lower target = today's current high - percentage of ADR

Alternatively, you could also set up targets by starting from the open. In that case you would not use the ADR but measure the average of maximum/minimum distance from the current open over the last days. This is a concept that was pioneered by Toby Crabel in his method to trade opening range breakouts.

Not using the opening range to determine volatility further has the advantage that you do not need to wait for the completion of the opening period, but you may draw your targets with the very first tick of the new session.

Please have a look at the noise bands, volatility bands and the ADR targets that are integrated with the CurrentDayOHL / CurrentWeekOHL / CurrentMonth OHL indicators here: https://futures.io/download/ninjatrader-7/indicators/371-download.html

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Fat Tails View Post
This can be done, but the idea is sort of extravagant.

The opening range measures today's volatility during the opening period, the ADR measures the average volatility over the prior days. Mixing these do elements (adding the volatility of the prior days to today's volatility during the opening range period) does not convince me immediately.




Hi Fattails,

Thank you for the advice. While I'm aware of your stance on using the two together (i.e. OR+%ADR) from I believe the ACD thread awhile back, I do find some value in applying them together for my analysis. I managed to put them together on TOS but wanted to just have them all in Ninjatrader as the datafeed and versatility is much better in ninja.

To me the idea is that OR shows today's opening volatility as you mentioned, and once the dust settles, I want to see what the market behaves like in relevance to previous days volatility.

I'm a big fan of your indicators and I have been using the mentioned OHL indicators daily. I find the ADN levels helpful especially for the first 30mins or so. Beyond that, I found it hard to manage my trades accordingly with ADN and wanted to apply some further levels to help me manage my trades.

Also, do you still have the indicator that tracked ADR per time? Where the ADR band expands according the the measured time? i.e. ADR for the past n days of the first 30min then moves on to first hour ADR then 1.5hr etc. I think you had something like this but was not available for download. If you don't mind me asking, was it helpful at all?

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